Table of Contents

1. Product Descriptions...................................................................................................................................2

1.1. Mandatorily Cleared CEA 2(h)(1) Products as of August 5th, ..............................................................2

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

1.2. Made Available to Trade CEA 2(h)(8) Products...................................................................................6

1.3. Interest Rate Swaps ............................................................................................................................9

1.3.1.Interest Rate Swaps ...................................................................................................................10

1.3.2.Interest Rate Options..................................................................................................................25

1.4. Commodities......................................................................................................................................30

1.5. Credit Derivatives ..............................................................................................................................33

1.6. Equity Derivatives ..............................................................................................................................40

1.6.1.Option on Variance Swaps .........................................................................................................41

1.6.2.Variance & Volatility Swaps ........................................................................................................43

1.7. Non Deliverable Forwards .................................................................................................................46

1.8. Currency Options...............................................................................................................................49

1.8.1.FX Currency Options ..................................................................................................................49

1.8.2.Non-Deliverable FX Options .......................................................................................................51

2. Appendices ...............................................................................................................................................55

2.1. Appendix A - Business Day (Date) Conventions) Conventions .........................................................55

2.2. Appendix C - Conventions Used........................................................................................................59

2.3. Appendix D - General Definitions ......................................................................................................60

General Definitions ..................................................................................................................................60

2.4. Appendix E - Market Fixing Indices ...................................................................................................60

2.5. Appendix F - Interest Rate Swap & Option Tenors (Super-Major Currencies) ..................................63
BGC Derivative Markets, L.P. Contract Specifications

Product Descriptions

Mandatorily Cleared CEA 2(h)(1) Products as of 5

th August, 2023,

BGC Derivative Markets, L.P. Contract Specifications

Product Descriptions

Mandatorily Cleared Products

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

here for the convenience of the reader.

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

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

Specification Fixed-to-floating swap class

1. Currency Australian

Dollar (AUD)

Canadian

Dollar (CAD) Euro (EUR) Hong KongDollar (HKD)

Mexican

Peso (MXN)

Norwegian

Krone (NOK).

2. Floating Rate

Indexes BBSW CDOR EURIBOR HIBOR TIIE-BANXICO NIBOR.

3. Stated Termination

Date Range 28 days to 30

years

28 days to 30

years

28 days to 50

years

28 days to

10 years

28 days to 21

years

28 days to 10

years.

4. Optionality No No No No No No.

5. Dual Currencies No No No No No No.

6. Conditional Notional

Amounts No No No No No No.

Specification Fixed-to-floating swap class

1. Currency Polish Zloty (PLN) Swedish Krona (SEK)

2. Floating Rate Indexes WIBOR STIBOR

3. Stated Termination Date

Range

28 days to 10 years 28 days to 15 years
4. Optionality No No

5. Dual Currencies No No

6. Conditional Notional

Amounts

No No

Specification

Basis swap class

1. Currency Australian Dollar (AUD) Euro (EUR)

2. Floating Rate Indexes BBSW EURIBOR

3. Stated Termination Date Range 28 days to 30 years 28 days to 50 years

4. Optionality No No

5. Dual Currencies No No

6. Conditional Notional Amounts No No

Specification

Forward rate agreement class

1. Currency Euro (EUR) Polish

Zloty

(PLN)

Norwegian

Krone (NOK)

Swedish

Krona (SEK)

2. Floating Rate Indexes EURIBOR WIBOR NIBOR STIBOR

3. Stated Termination Date

Range 3 days to 3 years 3 days to 2

years

3 days to 2 years 3 days to 3 years

4. Optionality No No No No

5. Dual Currencies No No No No

6. Conditional Notional

Amounts

No No No No
Specification

Overnight index swap class

1. Currency Australian Dollar (AUD)

Canadia

n Dollar

(CAD)

Euro

(EUR)

Singapore

Dollar

(SGD)

Sterlin

g

(GBP)

Swiss

Franc

(CHF

)

U.S.

Dollar

(USD)

U.S.

Dollar

(USD)

Yen

(JPY)

.

2. Floating Rate

Indexes AONIA-OIS CORRA- OIS €STR SORA SONIA SARON FedFunds SOFR TONA.

3. Stated

Termination

Date Range 7 days to 2 years

7 days to 2

years

7 days

to 3

year

s

7 days to

10 years

7 days to

50 years

7 days to

30 years

7 days to

3 years

7 days

to 50

year

s

7 days to

30 years.

4. Optionality No No No No No No No No No.

5. Dual

Currencies No No No No No No No No No.

6.

Conditional

Notional

Amounts

No No No No No No No No No.

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

1. Reference 

Entities

Corporate

2. Region North America

3. Indices MARKIT 

CDX.NA.IG 

MARKIT 

CDX.NA.HY

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

7Y, 10Y MARKIT CDX.NA.HY: 

5Y

5. Applicable 

Series

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

including the current Series

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

including the current Series

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

current Series

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

including the current Series

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

including the current Series

6. Tranched No

Specification North American Untranched CDS Indices Class
Credit LLC, CME, Inc., and LCH.Clearnet SA, having the following characteristics:

Specification European Untranched CDS Indices Class

1. 

Reference 

Entities

Corporate

2. Region Europe

3. Indices MARKIT ITRAXX EUROPE

MARKIT ITRAXX EUROPE CROSSOVER

MARKIT ITRAXX EUROPE HIVOL

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

MARKIT ITRAXX EUROPE CROSSOVER : 5Y

MARKIT ITRAXX EUROPE HIVOL: 5Y

5. Applicable 

Series

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

including the current Series

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

the current Series

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

and including the current Series

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

to and including the current Series

6. Tranched No
Made Available to Trade CEA 2(h)(8) Products

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

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

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

GBP)

Currency Euro (EUR)

Floating Rate 

Indexes

EURIBOR

Trade Start Type Spot Starting (T+2)

Optionality No

Fixed Leg

Payment Frequency Semi-Annual, Annual

Day Count 

Convention

30/360, Actual/360

Floating Leg

Reset Frequency Quarterly, Semi-Annual

Day Count 

Convention

Actual/360

Dual Currencies No

Notional Fixed Notional

Fixed Rate Par

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

Specification Untranched Credit Default Swap Indices

Reference 

Entities

Corporate Corporate

Region North America Europe
Indices MARKIT CDX.NA.IG 

MARKIT CDX.NA.HY

MARKIT ITRAXX EUROPE

MARKIT ITRAXX EUROPE 

CROSSOVER

Tenor MARKIT CDX.NA.IG 5Y 

MARKIT CDX.NA.HY 5Y

MARKIT ITRAXX EUROPE 

5Y

MARKIT ITRAXX EUROPE 

CROSSOVER 5Y

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

and the preceding series that was replaced by the current 

one
Interest Rate Swaps

1 Interest Rate Swaps

1.1.1.1 Overview

1.1.2 General Definitions

1.2 Rate Index Swaps

1.2.1 Interest Rate Swap (IRS), Fixed/Float

1.2.2 Overnight Index Swap (OIS), Fixed/Float

1.2.3 Currency Basis Swap, Float/Float

1.2.4 Cross-Currency Basis Swap, Float/Float

1.2.5 Cross-Currency Swap, Fixed/Fixed

1.2.6 Cross-Currency Swap, Fixed/Float

1.2.7 Non-Deliverable IRS, Fixed/Float

1.3 Inflation Swaps

1.3.1 Inflation Swap, Fixed/Float

1.3.2 Inflation-Linked Swap vs Floating

1.3.3 ConsConstant Maturity Swap (CMS), Float/Float

1.3.4 Constant Maturity Swap, Fixed/Float

1.4 Forward Rate Agreements

1.4.1 Forward Rate Agreement (FRA)

1.4.2 DTCC GCF Repo Swaps, Fixed/Float

2 Interest Rate Options

2.1.1 Overview

2.2 Swap Options

2.2.1 Interest Rate Swaption

2.2.2 Cancellable Swap

2.3 Other Options

2.3.1 Interest Rate Option

2.3.2 Interest Rate Option - IR/Inflation Cap/Floor

1.5 Constant Maturity Swaps
Interest Rate Swaps

Overview

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

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

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

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

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

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

instruments only, including but not limited to:

• Deposit indices such as Euribor, Libor, SOFR etc.

• Constant Maturity indices, e.g. 5Y IRS

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

Note: We expect Fixed-to-Floating IRS vs LIBOR to be removed from the list of products on September 30, 2024, 

when Swaps referencing and/or trading in USD LIBOR has permanently ceased. While the number of trades 

executed using LIBOR as a benchmark has significantly decreased to a level almost non-existent, the contracts will 

still remain listed as a permitted product of the facility as an accommodation to customers until the permanent 

cessation of LIBOR. .

General Definitions

Swap 

Transaction

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

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

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

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

reference to a fixed rate

Floating Rate 

Payer

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

reference to a floating rate index

Floating Rate 

Index

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

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

the 2008 ISDA Inflation Derivatives Definitions.

Up Front 

Payment 

Amount

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

Upfront Amount Payer will pay to the other Party
Quoting 

Convention and 

Minimum 

Increment

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

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

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

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

Confirmation Documents or other confirming evidence exchanged between the counterparties which 

confirm all of the terms of the Swap Transaction

Business Day A day on which banks settle payments

Date Convention The convention used for adjusting any relevant date that would otherwise fall on a nonBusiness Day (see conventions list)

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

Termination Date

Effective (Start) 

Date

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

agreed Date Convention.

Termination 

Date

The last day of the Term of the Swap Transaction

Maturity Date Start Date + Term (Tenor)

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

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

Swap.

Trade Types The following swap types may be executed:

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

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

thereof.

Trade Start 

Types

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

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

standard.

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

swap of that Currency and floating Index.

Settlement 

Procedure

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

for non-cleared trades

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

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

Rate Index Swaps

Interest Rate Swap (IRS), Fixed/Float

Contract 

Definition

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

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

Trading 

Conventions

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

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

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

basis point (see Appendix D).

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

percent of par of face value

Specific 

Trade Types

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

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

Treasuries and combinations thereof.

Swap Term 

(Tenor)

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

Swap 

Conventions

Fixed Leg:

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

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

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

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

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

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

Floating Leg

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

Libor, SOFR, Euribor, BSBY etc.

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

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

Act/365 etc (see Appendix C)

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

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

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

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

Periodic 

Settlement

Payment and Resets:

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

Day Count Convention and Fixed Interest Rate.

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

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

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

Overnight Index Swap (OIS), Fixed/Float

Contract 

Definition

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

rate to a specified notional over a term to maturity.

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

Conventions

Buy/Pay = Pay Fixed, Receive Floating OIS Index 

Sell/Receive = Receive Fixed, Pay Floating OIS Index

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

basis point (see Appendix D).

Specific 

Trade Types

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

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

Treasuries and combinations thereof.

Swap Term 

(Tenor)

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

Swap 

Conventions

Fixed Leg:

Payment: Annual or as agreed by Participants.

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

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

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

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

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

Floating Leg

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

Sonia, Ronia, Eonia, FedFunds, SOFR - see Appendix E)

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

agreed by Participants.

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

Act/365 etc (see Appendix C)

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

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

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

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

Periodic 

Settlement

Payment and Resets:

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

Day Count Convention and Fixed Interest Rate.

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

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

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

Currency Basis Swap, Float/Float

Contract 

Definition

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

a term to maturity.

Basis 

Spread

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

BSBY - See Appendix

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

Types

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

floating indices as agreed by Participants.

Specific 

Trade Types

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

Spreads, Butterflies

Trading 

Conventions

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

Basis Spread

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

Basis Spread

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

Appendix D).

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

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

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

shorter index can be 3 separate monthly payments.

Swap Term 

(Tenor)

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

Swap 

Conventions

Floating Legs 1 & 2:

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

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

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

Participants.

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

Act/365 etc (see Appendix C)

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

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

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

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

Periodic 

Settlement

Payment and Resets:

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

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

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

Cross-Currency Basis Swap, Float/Float

Contract 

Definition

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

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

Basis 

Spread

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

See Appendix

Basis Swap 

Types

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

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

Floating Rate OIS Index (e.g. Eonia) v Floating Rate OIS Index (e.g. FedFunds, SOFR, BSBY), 

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

Trade Types

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

Spreads, Butterflies

Trading 

Conventions

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

Spread

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

Spread

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

x D).

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

in Currency 2

Swap Term 

(Tenor)

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

Swap 

Conventions

Floating Legs 1 & 2

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

Libor, 6m Libor, OIS Index, SOFR Index, BSBY – See Appendix E)

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

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

Act/365 (see Appendix C)

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

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

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

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

Periodic 

Settlement

Payment and Resets:

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

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

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

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

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

required.

Cross-Currency Swap, Fixed/Fixed

Contract 

Definition

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

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

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

Currencies – see Appendix B)

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

Specific 

Trade Types

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

Spreads, Butterflies
Trading 

Conventions

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

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

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

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

in Currency 2

Swap Term 

(Tenor)

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

Swap 

Conventions

Fixed Legs 1 & 2:

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

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

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

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

standards

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

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

Periodic 

Settlement

Payment and Resets:

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

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

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

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

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

between Participants.

Cross-Currency Swap, Fixed/Float

Contract 

Definition

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

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

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

Libor, OIS Index, SOFR Index, BSBY – See Appendix E) of a second currency (Super-Major, 

Major & Non-Major Currencies – see Appendix B)

Swap Types Fixed Rate v Floating Index Rate

Specific 

Trade Types

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

Spreads, Butterflies

Trading 

Conventions

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

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

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

basis point (see Appendix D).

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

in Currency 2

Swap Term 

(Tenor)

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

Conventions

Fixed Leg, Currency 1

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

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

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

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

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

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

Floating Leg, Currency 2

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

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

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

Participants.

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

Act/365 etc (see Appendix C)

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

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

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

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

Periodic 

Settlement

Payment and Resets:

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

Day Count Convention and Fixed Interest Rate.

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

Frequency, Day Count Convention, Floating Interest Rate Index and Floating ResetDates.

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

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

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

as agreed between Participants.

Non-Deliverable IRS, Fixed/Float

Contract 

Definition

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

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

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

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

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

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

Swap Types Fixed Rate v Floating Index Rate

Specific 

Trade Types

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

Spreads, Butterflies
Trading 

Conventions

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

Currency 2

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

in Currency 2

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

basis point (see Appendix D).

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

Leg 2 in Currency 2

Swap Term 

(Tenor)

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

Swap 

Conventions

Fixed Leg, Currency 1

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

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

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

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

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

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

Floating Leg, Currency 2

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

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

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

Participants.

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

Act/365 etc (see Appendix C)

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

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

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

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

Periodic 

Settlement

Payment and Resets:

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

Day Count Convention and Fixed Interest Rate.

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

Frequency, Day Count Convention, Floating Interest Rate Index and Floating ResetDates.

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

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

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

Inflation Swaps

Inflation Swap, Fixed/Float

Contract 

Definition

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

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

based instrument, e.g. Mexico UDI

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

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

Trading 

Conventions

Buy/Pay = Pay Fixed, Receive Floating Inflation Index 

Sell/Receive = Receive Fixed, Pay Floating Inflation Index

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

Appendix D).

Specific 

Trade Types

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

Spreads, Butterflies, Spreads between different Inflation Indices.

Swap Term 

(Tenor)

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

Swap 

Conventions

Fixed Leg:

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

payments.

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

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

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

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

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

Floating Leg

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

HICP, RPI etc

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

payments.

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

Act/Act etc (see Appendix C)

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

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

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

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

Settlement

Payment and Resets:

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

Day Count Convention and Fixed Interest Rate:

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

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

where T is the tenor in YearsX, is the Fixed Price.

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

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

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

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

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

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

Inflation-Linked Swap vs Floating 

Contract 

Definition

An agreement to exchange an inflation-linked bond, with an agreement for one party to pay 

the equivalent cash flows of the bond and the other party to pay a floating rate

Asset Swap 

Types

Proceeds-Equivalent, par-par

Trading 

Conventions

Buy/Pay = Buy Inflation-Linked Bond, pay equivalent cash flows and receive 

Floating Rate +/- spread in bps

Sell/Receive = Sell Inflation-Linked Bond, receive equivalent cash flows and pay 

Floating Rate +/- spread in bps

Specific 

Trade Types

The following swap types may be executed: Outright Asset Swap, Asset Swap Switch and Asset 

Swap Butterflies.

Asset 

Swap Term 

(Tenor)

 The term of the underlying asset.
Swap 

Conventions

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

HICP, RPI, USD Libor, SOFR, BSBY, etc

Payment/Resets: As dictated by Market Standard for the Floating Index

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

Act/Act etc (see Appendix C)

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

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

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

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

Periodic 

Settlement Payment and Resets:

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

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

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

Constant Maturity Swaps

Constant Maturity Swap (CMS), Float/Float

Contract 

Definition

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

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

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

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

CMS Spread The spread between two floating rate indices of the same currency (Super-Major, Major & NonMajor Currencies - see Appendix B)

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

6m Euribor - See Appendix E) + spread

Specific 

Trade Types

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

Spreads, Butterflies

Trading 

Conventions

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

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

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

Appendix D).

Swap Term 

(Tenor)

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

Conventions

Floating Leg 1

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

e.g. ISDA Fix CMS Index.

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

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

etc (see Appendix C)

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

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

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

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

Floating Leg 2

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

Euribor etc. - See Appendix E

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

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

Act/365 etc (see Appendix C)

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

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

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

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

Periodic 

Settlement

Payment and Resets:

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

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

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

Constant Maturity Swap, Fixed/Float

Contract 

Definition

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

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

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

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

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

Trading 

Conventions

Buy/Pay = Pay Fixed, Receive Floating CMS 

Sell/Receive = Receive Fixed, Pay Floating CMS

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

basis point (see Appendix D).

Specific 

Trade Types

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

Spreads, Butterflies.

Swap Term 

(Tenor)

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

Conventions

Fixed Leg:

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

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

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

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

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

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

Floating Leg

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

DA Fix CMS Index.

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

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

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

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

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

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

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

Periodic 

Settlement

Payment and Resets:

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

Day Count Convention and Fixed Interest Rate.

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

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

Dates.

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

Forward Rate Agreements

Forward Rate Agreement (FRA)

Contract 

Definition

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

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

of an Index at FRA settlement date.

Trading 

Conventions

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

Fixed - Floating ]

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

receive [ Fixed - Floating ]

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

basis point (see Appendix D).

Specific 

Trade Types

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

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

FRA Term 

(Tenor)

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

to 36 months.
FRA

Conventions

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

Maturity Date: Forward Start Date + FRA Index Tenor

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

[ Fixed - Floating ]

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

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

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

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

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

Periodic 

Settlement

Payment and Resets:

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

Day Count Convention and Fixed Interest Rate.

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

Frequency, Day Count Convention, Floating Interest Rate Index and Floating ResetDates.

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

DTCC GCF Repo Swaps, Fixed/Float

Contract 

Definition

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

rate to a specified notional over a term to maturity.

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

Repurchase Agreement Index

Trading 

Conventions

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

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

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

basis point (see Appendix D).

Specific 

Trade Types

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

Spreads, Butterflies

Swap Term 

(Tenor)

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

Swap 

Conventions

Fixed Leg:

Payment: Annual (or term if < 1 year) 

Day Count Conventions: Act/360 

Holiday Calendar: New York

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

agreed between participants for more bespoke swaps
Floating Leg

Index: DTCC GCF Repo Index, Daily reset

Payment: Daily

Day Count Conventions: Act/360 

Holiday Calendar: New York 

Fixing Calendar: New York

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

agreed between participants for more bespoke swaps

Periodic 

Settlement

Payment and Resets:

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

Day Count Convention and Fixed Interest Rate.

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

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

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

Interest Rate Options

Overview

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

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

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

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

swaption or cap (calls).

Swap Options

Interest Rate Swaption

Contract 

Overview

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

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

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

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

Trade 

Convention

Buy = Buy the right to exercise the option. 

Sell = Sell the right to exercise the option.

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

Trade Date Date on which the trade is conducted.

Price Quote 

Convention

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

point (seeAppendix D).
Premium 

Amount

( Notional * Price )

Premium 

Payment Date

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

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

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

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

Minimum 

Notional

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

Exercise Type European 

American 

Bermudan

Expiry Date Exercise date(s) of the option.

1 day to 50 years from Trade Date.

European

Exercise only on the Expiry Date and Time specified.

American

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

Bermudan

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

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

Settlement 

Type

Cash 

Physical

Cleared Physical

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

Payment 

Amount

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

Underlying 

Swap Effective 

Date

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

Definition of 

Underlying 

Swap

Fixed/Floating Interest Rate Swap

Trade 

Strategies

Payers/Receivers
ISDA OTC

Taxonomy

Asset Class Interest Rate

Base Product IR Swap

Sub-Product Swaption

Included 

Definitions

2006 ISDA Definitions

Cancellable Swap

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

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

Strike.

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

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

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

Sell = Sell the right to exercise the option.

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

Trade Date Date on which the trade is conducted.

Price Quote 

Convention

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

basis point (seeAppendix D).

Premium Amount ( Notional * Price )

Premium Payment 

Date

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

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

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

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

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

Exercise Type European 

American 

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

1 day to 50 years from Trade Date.

European

Exercise only on the Expiry Date and Time specified.

American

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

Bermudan

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

participants.

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

Settlement Type Cash 

Physical

Cleared Physical

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

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

Underlying Swap 

Effective Date

As agreed by the participants.

Underlying Swap 

Termination/Maturity 

Date

Number of business days after the option is exercised.

Definition of 

Underlying Swap

Fixed/Floating Interest Rate Swap

Trade Strategies Payers/Receivers

ISDA OTC Taxonomy

Asset Class Interest Rate

Base Product IR Swap

Sub-Product Swaption

Included Definitions 2006 ISDA Definitions

Other Options

Interest Rate Option
Contract 

Definition

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

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

Trading 

Conventions

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

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

Trade 

Currency

Available currencies as defined in ‘Appendix B’.

Trade Date Date on which the trade is conducted.

Price Quote 

Convention

Quoted in BP

Spot or Forward.

Specific 

Option 

Types

Cap, Floor, CMS Spread Option, Exotic

Swap Term 

(Tenor)

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

Swap 

Conventions

Option Leg:

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

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

2008), and spreads of the aforementioned }

Rate: A function of the index including caps and floors

Payment/Resets: As per ISDA 2006

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

Appendix A

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

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

Business Day Conventions: As agreed by Participants

Floating / Fixed Leg

Index or Fixed Rate: As agreed by Participants

Payment/Resets: As per ISDA 2006

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

Appendix A

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

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

Business Day Conventions: As agreed by Participants

Periodic 

Settlement

Payment and Resets:

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

Day Count Convention and Fixed Interest Rate.

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

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

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

Price Quote 

Convention

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

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

Swap 

Conventions

Option Leg (only leg of structure):

Index:

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

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

as an annualised rate.

Rate:

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

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

Tenors 1 day to 60 years

Strategies Straddle, Strangle, Collar

Commodities

Product 

Name

Metal Options

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

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

asset.

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

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

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

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

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

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

is termed a put option.

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

CFTC Rule 32.3.
Underlying 

metal

Precious metals

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

Silver: 999.0 parts per thousand silver

Platinum: At least 99.95% Platinum 

Palladium: At least 99.95% Palladium

Base metals

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

of the registered designations:

P1020A in the North American and International Registration Record entitled 

“International Designations and Chemical Composition Limits for Unalloyed Aluminum” 

(revised March 2007)

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

remelting”

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

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

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

standards:

BS EN 1978:1998 - Cu-CATH-1 

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

ASTM B115-10 - cathode Grade 1

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

following standards:

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

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

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

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

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

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

composition of one of the following standards:

BS EN 1179:2003 - 99.995% grade 

ISO 752:2004 - ZN-1 grade

ASTM B6-12 - LME grade

GB/T 470-2008 - Zn99.995 grade

Lot size Precious metals

Gold: 1 Troy Ounce 

Silver: 1 Troy Ounce 

Platinum: 1 Troy Ounce 

Palladium: 1 Troy Ounce

Base metals

Aluminium: 25 tonnes 

Aluminium Alloy: 20 tonnes

NASAAC: 20 tonnes

Copper: 25 tonnes

Lead: 25 tonnes

Nickel: 6 tonnes

Tin: 5 tonnes

Zinc: 25 tonnes
Tenors Precious metals

Gold: up to 10 years 

Silver: up to 10 years 

Platinum: up to 10 years 

Palladium: up to 10 years

Base metals

Aluminium: Monthly out to 63 months 

Aluminium Alloy: Monthly out to 27 months 

NASAAC: Monthly out to 27 months 

Copper: Monthly out to 63 months

Lead: Monthly out to 15 months 

Nickel: Monthly out to 27 months 

Tin: Monthly out to 15 months 

Zinc: Monthly out to 27 months

Price 

Quote 

Convention

Precious metals

Gold: tenths of US Dollar cents per Troy Ounce

Silver: thousandths of US Dollar cents per Troy Ounce 

Platinum: tenths of US Dollar cents per Troy Ounce 

Palladium: tenths of US Dollar cents per Troy Ounce

Base metals

Aluminium: US dollars per tonne 

Aluminium Alloy: US dollars per tonne 

NASAAC: US dollars per tonne 

Copper: US dollars per tonne

Lead: US dollars per tonne

Nickel: US dollars per tonne 

Tin: US dollars per tonne 

Zinc: US dollars per tonne

Minimum 

price 

fluctuation 

(tick size)

Precious metals

Gold: $0.001/oz t 

Silver: $0.00001/oz t 

Platinum: $0.001/oz t 

Palladium: $0.001/oz t

Base metals

Aluminium: $0.01 per tonne 

Aluminium Alloy: $0.01 per tonne 

NASAAC: $0.01 per tonne 

Copper: $0.01 per tonne

Lead: $0.01 per tonne 

Nickel: $0.01 per tonne 

Tin: $0.01 per tonne 

Zinc: $0.01 per tonne
Trade 

Types

Call 

Put

Option 

Premium

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

days of the transaction being executed.

Option Premium to be quoted and exchanged in US Dollars

Option 

style

As agreed by Participants

European 

American

Option 

expiry

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

execution.

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

Settlement 

Type

Physical

Holiday 

Calendar

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

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

References:

Good gold and silver delivery: 

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

Good platinum and palladium delivery: 

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

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

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

Good base metal delivery:

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

Credit Derivatives

Credit Derivative Product Details and Contract Specifications 

Products

Credit Default Swap Indices

Credit Index Swaptions

Overview:

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

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

be:

a) a portfolio of single credits assembled as a standardizedrecfrerdeitn“ce index”

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

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

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

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

Basic Credit Derivative contracts

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

a) via a "Credit Default Swap"

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

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

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

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

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

standard reference index of underlying CDS (see below)

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

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

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

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

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

Credit Default Swap Indices

Product Description:

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

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

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

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

of the World. The generic MARKIT CDX and MARKITITRAXX indices are subdivided according to the number and 

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

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

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

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

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

100bps or 500bps (though can be 25 or 1000bps in exceptional situations) depending upon the credit quality of the 

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

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

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

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

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

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

L.P.

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

(Y)

Cleared 

Series

(as of 

2nd Oct 

2013)

Swap Convention Recovery(%)

MARKIT 

CDX.

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

Current

Traded on 

Spread/ Coupon

100bps

40

5Yr 11 to 

Current

7Yr and 

10Yr 8 to 

Current

MARKIT 

CDX.

NA.HY 100 High Yield 5 12 to 

Current

Traded on 

Price/ Coupon 

500bps

30

MARKIT 

CDX.

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

Current

Traded on 

Spread/ Coupon 

100bps

40

MARKIT 

CDX.

NA.EM 14 (can vary) Emerging 

Market Sovereign 

Issuers

5 14 to 

Current

Traded on 

Price/ Coupon 

500bps

25

MARKIT 

ITRAXX

EUROPE 125 liquid European 

investment grade names

3,5,7,10 5yr 10 to 

Current

Traded on 

Spread/ Coupon

100bps

40

10yr 7 to 

Current

MARKIT 

ITRAXX

EUROPE 

CROSSOVER

50 most liquid sub 

investment grade names

3,5,7,10 5y 10 to 

Current

Traded on 

Spread/ Coupon 

500bps

40

MARKIT 

ITRAXX

EUROPE 

HIVOL

30 widest spread 

non-financial credits

3,5,7,10 5y 10 to 

Current

Traded on 

Spread/ Coupon 

100bps

40

MARKIT 

ITRAXX

EUROPE 

SENIOR 

FINANCIALS

25 European Senior 

Financial Entities

5, 10yr Traded on 

Spread/ Coupon 

100bps

40

MARKIT 

ITRAXX

EUROPE SUB 

FINANCIALS

25 European 

Subordinated Financial 

Entities

5, 10yr Traded on 

Spread/ Coupon 

100bps

20

MARKIT 

ITRAXX

JAPAN 50 Japanese entities 5yr Traded on 

Spread/ Coupon 

100bps

35
MARKIT 

ITRAXX

ASIA-EX JAPAN 40 Asian - ex Japan 

entities

5yr Traded on 

Spread/ Coupon 

100bps

40

MARKIT 

ITRAXX

AUSTRALIA 25 Australian entities 5yr Traded on 

Spread/ Coupon 

100bps

40

MARKIT 

CDX

LatAm Corp 20 Latin American 

Corporates

5yr Traded on 

Price/ Coupon 

500bps

25

MARKIT 

MCDX

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

Spread/ Coupon 

500bps

80

MARKIT 

ITRAXX

SOVX Top 15 Western Europe 

Sovereign entities

5,10yrs Traded on 

Spread/ Coupon 

100bps

40

MARKIT 

ITRAXX

SOVX EXEU 10 CEEMEA names ex. 

Europe

5yr Current 

Series 10

Traded on Price/ 

Coupon 100bps

25

MARKIT 

ITRAXX

CEEMEA 

CORPX

25 Corporate EM names 5yr Current 

Series 20

Traded on Price/ 

Coupon 100bps

25

SUB-INDICES

MARKIT 

CDX

NA.HY.BB Sub-basket MARKIT 

CDX.NA.HY that are BB 

rated

5yr Traded on Price/ 

Coupon 500bps

30

MARKIT 

CDX

NA.HY.B Sub-basket MARKIT 

CDX.NA.HY that are B 

rated

5yr Traded on 

Price/ Coupon 

500bps

30

MARKIT 

CDX

NA.IG.CONS Sub-basket MARKIT 

CDX.NA.IG that are 

Consumer

5yr Traded on 

Spread/ Coupon 

100bps

40

MARKIT 

CDX

NA.IG.ENRG Sub-basket MARKIT 

CDX.NA.IG that are 

Energy

5yr Traded on 

Spread/ Coupon 

100bps

40

MARKIT 

CDX

NA.IG.FIN Sub-basket MARKIT 

CDX.NA.IG that are 

Financials

5yr Traded on 

Spread/ Coupon 

100bps

40

MARKIT 

CDX

NA.IG.INDU Sub-basket MARKIT 

CDX.NA.IG that are 

Industrials

5yr Traded on 

Spread/ Coupon 

100bps

40
MARKIT 

CDX

NA.IG.TMT Sub-basket MARKIT 

CDX.NA.IG that are

Telecoms, Media & 

Technology

5yr Traded on 

Spread/ Coupon 

100bps

40

* number of constituents can vary according to series.

Terms and Conditions : Credit Default Swap Index

CREDIT DEFAULT SWAP INDEX

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

.

Index (Name & Series)

Currency EUR or USD dependent on Index

Quoting Convention 

& Minimum 

Increment

As agreed by counterparties.

Minimum Size As agreed by counterparties.

Trading Conventions

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

occurring

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

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

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

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

Conventions) and exchanged on a quarterly basis

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

Maturity Date 20th March or September of tenor years

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

Frequency: Quarterly 20 Mar/Jun/Sep/Dec

Daycount: Act/360

Business Day Convention: Following

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

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

Recovery Rate Index dependent - as provided in Table A

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

pursuant to the 2014 ISDA Credit Derivatives Determination Committees and Auction 

Settlement Supplement, (the "Big Bang Protocol").

Fixed Quarterly cash payments - reflected in basis points and paid by the 

protection buyer to the protection seller.

Upfront fee payment - The upfront fee is a portion of the payments, expressed

in percentage points of the notional, which is present valued and paid immediately to the 

seller

Trade Types Outright

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

issued series)

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

tenor)

Trading Hours and 

Venue

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

Clearing Venue Where applicable per Index: ICE Clear Credit, CME Clearing, LCH.Clearnet SA and ICE 

Clear Europe

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

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

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

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

price manipulation.

Credit Index Swaptions

Product Description

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

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

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

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

effectively provides exposure to the volatility of the underlying index.

Terms & Conditions: MARKIT CDX and MARKIT ITRAXX Swaption

CREDIT INDEX SWAPTION

Contract 

Overview

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

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

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

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

Conventions

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

specified strike spread on a specified date.

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

spread on a specified date.

Underlying 

Index

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

Option Style European

Strike Price Agreed as a spread

Premium Cents upfront

Premium 

Payment Date

Trade Date + 3 days

Expiration 

Date/Time

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

Settlement Physical, into the underlying Index

Settlement 

Terms

Expiry + 1 day

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

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

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

Settlement Physical : On exercise the buyer enters the underlying contract

Settlement 

Amount

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

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

then trigger the underlying contract under credit events

Trade Types Outright: Payer or Receiver

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

strike payer

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

Minimum Size As agreed by Participants

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

Clearing, LCH.Clearnet SA and ICE Clear Europe as directed by CEA 2(h)1 or as agreed 

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

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

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

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

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

Equity Derivatives

Broad Market Index Equity Derivative Product Details and Contract Specifications

Equity Index Swaps

Product Description:

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

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

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

members without the physical sale of assets.

Example Terms and Conditions

EQUITY INDEX 

SWAP

Contract 

description

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

exchange for a notional based return performance of an equity index

An Equity Swap may be either a Total Return Swap whereupon the return performance of an 

equity index includes a dividend stream or Price Return Swap whereupon the return performance 

of an equity index excludes a dividend stream

Trading 

Conventions

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

appreciation/depreciation of the equity index on the notional amount

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

appreciation/depreciation of the equity index on the notional amount

Where the Equity Swap is structured as a Total Return Swap, the appreciation/depreciation includ 

es returns due (e.g. dividends) from the underlying index over the swap period.

Where the Equity Swap is structured as a Price Return Swap, the appreciation/depreciation 

excludes returns due from the underlying index over the swap period.
Underlying 

Equity

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

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

GFA MSCI Daily TR Net Emerging Markets AsiaN, DEUSKO MSCI Daily TR Net Emerging 

Markets Korea, NDEUCHF MSCI Daily TR Net China, NDEUSTW MSCI Daily TR Net Emerging 

Markets Taiwan, NDEUSIA MSCI Emerging Markets India Net TRN, DEUPH MSCI Daily TR Net 

Emerging Markets Philippines, NDDUMAF MSCI Daily TR Net MalaysNiaD, EUTHF MSCI Dail

TR Net Emerging Markets Thailand, NDDUHK MSCI Daily TR Net Hong KonNgD, DUSG M 

Daily TR Net Singapore, NDDUP MSCI Daily TR Net PacifGicD, DUP MSCI Daily Gross Pacifi 

NDDUPXJ MSCI Daily TR Net Pacific Ex JapaHnS, I Hang Seng Index, HSCEI Hang Seng

China Enterprises Index , TWII Taiwan Weighted Exchange Capitalization Weighted Stock Index, 

NSEI S&P CNX Nifty IndeTxA,MSCI MSCI Taiwan Index, SIMSCI MSCI Singapore Free Index

Currency USD, EUR, JPY, SGD, HKD, CNH, CNY dependent on Underlying Equity

Trade Date Date which trade terms agreed

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

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

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

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

DayCount : Act/360

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

Settlement Cash settlement as per floating rate schedule

Business 

Day 

Convention

As agreed by Participants

Quote 

Convention

Quoted in bps as a spread or fixed rate.

Trade Types Outright

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

Tenors As agreed by Participants, 1 day to 50 Years

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

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

resilient to price manipulation.

Option on Variance Swaps

Product Description:

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

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

expiration of the option.
Example Terms and Conditions

OPTION ON 

EQUITY INDEX 

VARIANCE 

SWAP

Contract 

description

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

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

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

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

Trading 

Conventions

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

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

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

the option buyer's right to exercise at expiry

Underlying 

Equity

Closing Price of any valid index listed on a registered Exchange

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

100, DAX Dax 30, NKYNikkei 225, VIX on S&P 500, DIA Dow Jones 30, MIDS&P Mid 400

Currency USD, EUR or JPY dependent on Underlying Equity

Vega 

Notional

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

per 1% change in volatility)

Reference 

Vol Strike

As agreed by Participants e.g 17.90

Ref Var 

Strike

As agreed by Participants e.g. 320.21

Option 

Premium

cents upfront of vega notional

Option Style European

Option Type Call or Put

Option 

Volatility 

Strike

As agreed by Participants e.g. 40

Option 

Variance 

Strike

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

Premium 

Payment

T + 3

Option 

Payoff at 

Final 

Valuation 

Date

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

variance swap

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

variance swap
Maturity or 

Final 

Valuation 

Date of 

Variance 

Swap

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

Observation 

Frequency

Daily

Number of 

Observations

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

start date and Maturity)

Realized 

Volatility 

(RV)

m equals n, unless there is a market disruption event

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

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

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

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

Business Days per Year = 252

Business 

Day 

Convention

As agreed by Participants

Quote 

Convention

Variance % points

Trade Types Outright : Long or short call or put

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

Straddle: Long a call and a put at same strike

Market 

Disruption

Refer to ISDA 2002 Equity Definitions

Tenors As agreed by Participants, 1 day to 10 Years

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

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

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

Variance & Volatility Swaps
Product Description:

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

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

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

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

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

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

substantially.

Example Terms and Conditions

EQUITY INDEX 

VARIANCE 

SWAP

Contract 

description

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

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

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

Trading 

Conventions

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

payout based on the daily realised variance

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

a payout based on the daily realised variance

Underlying 

Equity

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

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

DAX Dax 30, NKYNikkei 225, VIX on S&P 500, DIA Dow Jones 30, MIDS&P Mid 400

Currency USD, EUR or JPY dependent on Underlying Equity

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

begin

Maturity or 

Final 

Valuation 

Date

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

Observation 

Frequency

Daily

Number of 

Observations

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

start date and Maturity)

Vega 

Notional

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

1% change in volatility)

Volatility 

Strike

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

not volatility)

Variance 

Strike

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

(Var) Units

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

Variance Cap

?

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

Realized 

Volatility 

(RV)

m equals n, unless there is a market disruption event

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

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

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

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

Business Days per Year = 252

Settlement Cash settlement of:

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

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

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

Business 

Day 

Convention

As agreed by Participants

Quote 

Convention

Volatility % points, Variance % Points

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

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

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

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

starting

Market 

Disruption

Refer to ISDA 2002 Equity Definitions

Tenors As agreed by Participants, 1 day to 10 Years

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

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

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

Non Deliverable Forward

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

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

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

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

exchange of principle or upfront payments on these contracts.

NDF

Convention 

Definitions

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

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

CNY Chinese Renminbi 

IDR Indonesian Rupiah 

INR Indian Rupee 

KRW South Korean Won 

MYR Malaysian Ringgit 

PHP Philippine Peso 

TWD Taiwan Dollar 

VND Vietnamese ng 

EGP Egyptian pound 

RUB Russian ruble

KZT Kazakh tenge 

ARS Argentine Peso 

BRL Brazilian Real 

CLP Chilean Peso 

COP Colombian Peso

GTQ Guatemalan quetzal 

PEN Peruvian nuevo sol 

UYU Uruguayan peso 

VEB Venezuelan bolívar 

UAH Ukranian hryvnia 

AZN Azeri manta

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

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

Currency

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

Quoting 

Convention and 

Minimum 

Increment

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

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

forward rate (as above)

Notional amount and minimum increment as agreed by Participants

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

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

using a particular fixing source as agreed between Participants

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

agreed between Participants

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

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

agreed between Participants

Settlement 

Procedure

As agreed between Participants for non-cleared trades

As dictated by the Clearinghouse for trades subsequently novated for clearing

Contract Types: Outrights 

Curve (Tenor)

Spreads, Butterflies, Condors

Tenors Listed benchmark tenors are 1d 2d 3d 1w 2w 3w 1m 2m 3m 6m 9m 12m 15m 18m 2y2

1⁄2y 3y 4y 5y

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

and 10 years.

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

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

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

FX Transactions applicable to the Reference Currencyh:ttp://www.emta.org/ndftt.aspx

Disruption 

Fallbacks:

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

FX Transactions applicable to the Reference Currencyh:ttp://www.emta.org/ndftt.aspx

USD US Dollar

AUD Australian Dollar

CAD Canadian Dollar

CHF Swiss Franc

EUR Euro

GBP British Pound

JPY Japanese Yen
Other Terms: As set forth in the EMTA TEMPLATE TERMS for Non-Deliverable Forward

FX Transactions applicable to the Reference Currencyh:ttp://www.emta.org/ndftt.aspx

Currency Options

FX Currency Options

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

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

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

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

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

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

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

FX Option

Contract 

Overview

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

rate equal to the Strike.

Convention 

Definitions

1998 ISDA FX and Currency Option Definitions as updated 

(https://www.emta.org/documentation/emta-standard-documentation/fx-and-currencyderivatives-documentation/)

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

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

mostly including:

USD US Dollar 

EUR Euro

GBP British Pound 

JPY Japanese Yen 

CAD Canadian Dollar 

CHF Swiss Franc 

AUD Australian Dollar

Notional 

Amount

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

Currency

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

Option 

Type

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

currency)

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

currency)

Quoting 

Convention 

and 

Minimum 

Increment:

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

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

adjusted Black-Scholes pricing model

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

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

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

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

between Participants before execution

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

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

Exercise 

Type

European (options can only be exercised at expiration).

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

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

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

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

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

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

Participants

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

Expiry

Date

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

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

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

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

Participants).

Minimum 

Size

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

Holiday 

Calendar

Dependent upon Currencies as agreed between Participants

Settlement As agreed between participants 

Physical FX trade settlement 

Cash settlement
Settlement 

Date

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

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

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

Settlement 

Procedure

As agreed between Participants for non-cleared trades

Contract 

Types

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

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

between Participants:

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

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

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

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

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

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

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

a vega hedge

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

years.

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

Trading 

Hours

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

Non-Deliverable FX Options

Overview

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

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

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

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

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

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

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

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

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

Non-Deliverable FX Option (NDO)

Contract 

Overview

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

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

Definitions

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

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

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

CNY Chinese Renminbi

IDR Indonesian Rupiah 

INR Indian Rupee 

KRW South Korean Won 

MYR Malaysian Ringgit 

PHP Philippine Peso 

TWD Taiwan Dollar 

VND Vietnamese ng 

EGP Egyptian pound 

RUB Russian ruble

KZT Kazakh tenge 

ARS Argentine Peso 

BRL Brazilian Real 

CLP Chilean Peso 

COP Colombian Peso

GTQ Guatemalan quetzal 

PEN Peruvian nuevo sol 

UYU Uruguayan peso 

VEB Venezuelan bolívar 

UAH Ukranian hryvnia 

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

Notional 

Currency

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

Settlement 

Currency

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

Notional 

Amount

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

Notional 

Currency

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

Option 

Type

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

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

Quoting 

Convention 

and 

Minimum 

Increment

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

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

Black-Scholes pricing model

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

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

premium payable), as agreed between Participants

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

between Participants before execution

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

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

Exercise 

Type

European (options can only be exercised at expiration).

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

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

USD US Dollar

EUR Euro

GBP British Pound

JPY Japanese Yen

CAD Canadian Dollar

CHF Swiss Franc

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

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

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

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

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

Expiry 

Date (NDO 

Fixing 

date)

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

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

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

using a particular fixing source as agreed between Participants

Minimum 

Size

Dependant on currency pair and tenor or as agreed between participants

Holiday 

Calendar

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

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

Settlement 

Procedure

As agreed between participants

Settlement 

Date

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

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

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

Settlement 

Procedure

As agreed between Participants for non-cleared trades

Contract 

Types

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

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

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

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

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

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

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

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

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

a vega hedge

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

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

Trading 

Hours

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

Additional 

Terms:

Applicable Non-Deliverable Currency Option Transactions covered by recommended EMTA 

TEMPLATE TERMS:-
Disruption 

Events:

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

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

Disruption 

Fallbacks:

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

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

Other 

Terms:

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

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

Appendices

Appendix A - Business Day (Date) Conventions

Appendix B - Currencies and Holiday Centers

Appendix C - Conventions Used

Appendix D - General Definitions

Appendix E - Market Fixing Indices

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

Appendix A - Business Day (Date) Conventions) Conventions

Business Day (Date) Conventions

Following The first following day that is a good Business Day

Modified 

Following

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

in which case the first preceding good Business Day

Preceding The first preceding day that is a good Business Day

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

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

Appendix B - Currencies and Holiday Centers

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

Currency 

Group

Currencies - Interest Rate Swaps

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

sterling (GBP) and Japan yen (JPY).

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

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

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

Currency 

Code

Description Financial 

Centre

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

AFN Afghani Afghani and "AFN" each refer to the legal currency of Afganistan Kabul

AMD Armenian Dram and "AMD" each refer to the legal currency of Armenia Yerevan

AZN Azeri Manta and "AZN" each refer to the legal currency of the Azerbaijan Republic Baku

ANG Netherlands Antilies Guilder and "ANG" each refer to the legal currency of the 

Netherlands Antilies

Willemstad

ARS Argentine Peso and “ARS” each refer to the legal currency of the Argentine 

Republic.

Buenos Aires

AUD Australian Dollar, “A$” and “AUD” each refer to the legal currency of Australia. Sydney

AWG Aruban Guilder and "AWG" each refer to the legal currency of Aruba Oranjestad

BGN Bulgarian Lev and "BGN" each refer to the legal currency of Bulgaria Sofia

BHD Bahraini Dinar and "BHD" each refer to the legal currency of Bahrain Al Manamah

BIF Burundian Franc and "BIF" each refer to the legal currency of Burundi Bujumbura

BND Bruneian Dollar and "BND" each refer to the legal currency of Brunei Bander Seri 

Begawan

BRL Brazilian Real, “Brazilian Reais” and “BRL” each refer to the legal currency of the 

Federative Republic of Brazil.

São Paulo

CAD Canadian Dollar, “C$” and “CAD” each refer to the legal currency of Canada. Toronto

CHF Swiss Franc, “Sfr”, “CHF” and “SWF” each refer to the legal currency of 

Switzerland.

Zürich

CLP Chilean Peso and “CLP” each refer to the legal currency of the Republic of Chile. Santiago

CNY Chinese Renminbi (Yuan), “CNY” and “RMB” each refer to the legal currency of the 

People’s Republic of China.

Beijing

CNH Hong Kong Delivered Chinese Renminbi (Yuan), CNH each refer to the legal 

currency of the People’s Republic of China.

Hong Kong

COP Columbian Peso and "COP" each refer to the legal currency of Colombia Bogotá

CRC Costa Rican Colon and "CRC" each refer to the legal currency of Costa Rica San Jose

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

except for: GBP (T+0), CAD (T+0) and AUD (T+1)
CUP Cuban Peso and "CUP" each refer to the legal currency of Cuba Havana

CZK Czech Koruna and “CZK” each refer to the legal currency of the Czech Republic. Prague

DKK Danish Krone, “DKr” and “DKK” each refer to the legal currency of the Kingdom of 

Denmark.

Copenhagen

EUR Euro, “euro”, “€” and “EUR” each refer to the legal currency of the member states of 

the European Union that have adopted the single currency in accordance with the 

EC Treaty.

TARGET

EGP Egyptian Pound and "EGP" each refer to the legal currency of the Arab Republic of 

Egypt

Cairo

GEL Georgian Lari and "GEL" each refer to the legal currency of Georgia Tbilisi

GTQ Guatemalan Quetzal and "GTQ" each refer to the legal currency of the Republic of 

Guatemala

Guatemala 

City

GBP Sterling, “£”, “GBP” and “STG” each refer to the legal currency of theUnited 

Kingdom.

London

HKD Hong Kong Dollar, “HK$” and “HKD” each refer to the legal currency of Hong Kong. Hong Kong

HUF Hungarian Forint and “HUF” each refer to the legal currency of the Republic of 

Hungary.

Budapest

INR Indian Rupee and “INR” each refer to the legal currency of India. Mumbai

IDR Indonesian Rupiah and “IDR” each refer to the legal currency of the Republic of 

Indonesia.

Jakarta

ILS Israeli Shekel and “ILS” each refer to the legal currency of the State of Israel. Tel Aviv

ISK Icelandic Krona and "ISK" each refer to the legal currency of Iceland Reykjavik

JPY Japanese Yen, “Yen”, “¥” and “JPY” each refer to the legal currency of Japan. Tokyo

KRW Korean Won and “KRW” each refer to the legal currency of the Republic of Korea. Seoul

KWD Kuwaiti Dinar and "KWD" each refer to the legal currency of the State of Kuwait Kuwait City

LBP Lebanese Pound and “LBP” each refer to the legal currency of the Republic of 

Lebanon.

Beirut

LKR Sri Lankan Rupee and “LKR” each refer to the legal currency of the Democratic 

Socialist Republic of Sri Lanka.

Colombo

KZT Kazakhstani Tenge and "KZT" each refer to the legal currency of Kazakhstan Almaty

MXN Mexican Peso, “MXN” and “MXP” each refer to the legal currency of the United 

Mexican States.

Mexico City
MYR Malaysian Ringgit and “MYR” each refer to the legal currency of the Federation of 

Malaysia.

Kuala Lumpur

NOK Norwegian Krone, “NKr” and “NOK” each refer to the legal currency of the Kingdom 

of Norway.

Oslo

NZD New Zealand Dollar, “NZ$” and “NZD” each refer to the legal currency of New 

Zealand.

Wellington & 

Auckland

PEN Peruvian Nuevo Sol and "PEN" each refer to the legal currency of Peru Lima

PHP Philippine Peso and “PHP” each refer to the legal currency of the Republic of the 

Philippines.

Manila

PKR Pakistani Rupee and “PKR” each refer to the legal currency of the Islamic Republic 

of Pakistan.

Karachi

PLN Polish Zloty and “PLN” each refer to the legal currency of the Republic of Poland. Warsaw

QAR Qatari Riyal and "QAR" each refer to the legal currency of the State of Qatar. Doha

RON Romanian Leu. “Romanian Leu” and “RON” each refer to the legal currency of 

Romania.

Bucharest

RUB Russian Ruble. “Russian Ruble”, “Russian Rouble”, “RUR” and “RUB” each refer to 

the legal currency of the Russian Federation.

Moscow

SAR Saudi Arabian Riyal. “Saudi Arabian Riyal”, “Saudi Riyal”, “Saudi Arabian Rial”, 

“SAR” and “Riyal” refer to the legal currency of the Kingdom of Saudi Arabia.

Riyadh

SEK Swedish Krona. “Swedish Krona”, “SKr” and “SEK” each refer to the legal currency 

of the Kingdom of Sweden.

Stockholm

SGD Singapore Dollar. “Singapore Dollar”, “S$” and “SGD” each refer to the legal 

currency of the Republic of Singapore.

Singapore

SKK Slovak Koruna. “Slovak Koruna” and “SKK” each refer to the legal currency of the 

Slovak Republic.

Bratislava

THB Thai Baht. “Thai Baht” and “THB” each refer to the legal currency of the Kingdom of 

Thailand.

Bangkok

TND Tunisian Dinar and "TND" each refer to the legal currency of Tunisia Tunis

TRY Turkish Lira. “Turkish Lira” and “TRY” each refer to the legal currency of the 

Republic of Turkey. “New Turkish Lira” means, in respect of a Swap Transaction 

with a Trade Date prior to the date upon which the Republic of Turkey ceases 

officially to use the prefix “New” in relation to the currency introduced on 1 January 

2005, the legal currency of the Republic of Turkey.

Istanbul
TWD Taiwanese Dollar. “Taiwanese Dollar”, “New Taiwanese Dollar” and “TWD” each 

refer to the legal currency of the Republic of China.

Taipei

UAH Ukrainian Hryvnia and "UAH" each refer to the legal currency of the REpublic of 

Ukraine

Kiev

UYU Uruguayan Peso and "UYU" each refer to the legal currency of the Eastern 

Republic of Uruguay

Montevideo

USD U.S. Dollar. “U.S. Dollar”, “Dollar”, “U.S.$”, “$” and “USD” each refer to the legal 

currency of the United States of America.

New York

UZS Uzbekistani Som and "UZS" each refer to the legal currency of the legal currency of 

Uzbekistan

Tashkent

VND Vietnamese Dong. “Vietnamese Dong” and “VND” each refer to the legal currency 

of the Socialist Republic of Vietnam.

Hanoi

ZAR South African Rand. “South African Rand”, “Rand”, “R” and “ZAR” each refer to the 

legal currency of the Republic of South Africa.

Johannesburg

Appendix C - Conventions Used

Day Count Convention

ACT360 

ACT365F 

ACTACT_ISMA 

ACTACT_BOND 

ACTACT_ISDA

ACTACT_HISTORICAL 

ACTACT_ACTUAL365, 

ACTACT_AFB, 

ACTACT_EURO 

BUSINESS252

ONE 

SIMPLE

THIRTY360_USA 

THIRTY360_BONDBASIS 

THIRTY360_EUROPEAN 

THIRTY360_EUROBONDBASIS 

THIRTY360_ITALIAN 

NOADJUSTMENT
Appendix D - General Definitions

General Definitions

Basis point - 1 bp = 0.01%

Appendix E - Market Fixing Indices

Interbank 

Indices

Description Currencies Day 

Count

Fixings 

Calendar

BBA LIBOR London Interbank Offered Rate USD Act/360 London

JPY Act/360 London

CHF Act/360 London

GBP Act/365 London

EUR Act/365 London

EURIBOR Euro Interbank Offered Rate EUR Act/360 TARGET

SOFR Secured Overnight Financing Rate USD Act/360 New York

BSBY Bloomberg Short-Term Yield Index USD Act/360 New York

MUNIPSA SIFMA Municipal Swap Index Yield USD Act/Act New York

CDOR Canada Bankers Acceptances CAD Act/365 Toronto

TIBOR Euro Yen Tibor Fixing Rates JPY Act/365 Tokyo

STIBOR Stockholm Interbank Offered Rates SEK Act/360 Stockholm

EIBOR Emirates Interbank Offer Rate AED Act/360 Abu Dhabi

APDRC ARS Deposit ARS Act/360 Buenos Aries
ADBB AUD Bank Bills AUD Act/365 Sydney

SOFIBOR Bulgaria SOFIBOR BGN Act/360 Sofia

BHIBOR Bahrain Association of Banks BHIBOR Rate - ASK BHD Act/360 Al Manamah

CLICP Sinacofi Chile Interbank Rate Avg (CAMARA) CLP Act/360 Santiago

CNRR China Fixing Repo Rates CNY Act/365 Beijing

DTF RATE Colombia DTF Rate COP Act/360 Bogotá

PRIBOR Czech Interbank Offered Rates CZK Act/360 Prague

CIBO Copenhagen Interbank Offered Rates DKK Act/360 Copenhagen

HIBOR HKAB Hong Kong Interbank Offered Rates HKD Act/365 Hong Kong

BUBOR Budapest Interbank Offered Rates HUF Act/360 Budapest

BITD Bank Indonesia Term Deposit IDR Act/360 Jakarta

TELBOR Tel Aviv Interbank Offered Rate ILS Act/365 Tel Aviv

REIBOR Central Bank of Iceland ISK REIBOR Interest Rates 

Fixing

ISK Act/360 Reykjavik

KWCDC KRW Certificate of Deposit KRW Act/365 Seoul

KIBOR Kuwait Interbank Rate KWD Act/365 Kuwait City

MXIBTIIE Mexico Interbank TIIE 28 Day MXN Act/360 Mexico City

KLIB Klibor Interbank Offered Rate Fixing MYR Act/365 Kuala Lumpur

NIBOR Norway Interbank Offered Rate Fixing NOK Act/360 Oslo

NDBB NZD Bank Bill NZD Act/365 Wellington 

and 

Auckland

PHIREF Philippines Interbank Reference Rate PHIREF at 

1130am

PHP Act/360 Manila

PKDP State Bank of Pakistan KIBOR Fixing PKR Act/365 Karachi

WIBR Warsaw Interbank Offered Rates. PLN Act/365 Warsaw

QRIFR QIBOR Fixing 3 Month Rate QAR Act/360 Doha

BUBR Romania ROBOR RON Act/360 Bucharest

MOSKP MosPrime Rate RUB Act/Act Moscow

SAIB Saudi Riyal Interbank Average Offered Rate SAR Act/360 Riyadh

SORF Association of Banks in Singapore Swap Offer Rate 

Fixing

SGD Act/365 Singapore

THFX Bloomberg Thailand Fixing Rate THB Act/365 Bankok

TRLIB Bank Association of Turkey TRLIBOR Rates TRY Act/360 Istanbul
TDSF TDCC Taiwan Depository & Clearing Corp Secondary 

Mkt

TWD Act/365 Taipei

VIFOR Bloomberg Vietnam Onshore Forward Fixings 3 Month TWD Act/360 Hanoi

JIBA South Africa Johannesburg Interbank Agreed Rate ZAR Act/365 Johannesburg

OIS Indices Description Currencies Day 

Count

Fixings 

Calendar

SONIO/A Sterling Overnight Index Average GBP Act/365 London

RONIA GBP Repo Overnight Index Average GBP Act/365 London

EONIA Effective Overnight Index Average Eonia EUR Act/360 TARGET

FEDFUNDS Federal Funds Effective Rate US USD Act/360 Fed Reserve

SOFR Secured Overnight Financing Rate USD Act/360 New York

DTCC GCF

Repo

Depository Trust & Clearing Corp (DTCC) General 

Collateral Finance (GCF) Repurchase Agreement Index

USD Act/360 New York

CAONREPO Bank of Canada Overnight Repo Rate (CORRA)soni CAD Act/365 Toronto

TOIS Fixing Rate on CHF Tomnext Offered Indexed Swaps CHF Act/360 Xurich

MUTSCALM Bank of Japan Estimate Unsecured Overnight Call Rate JPY Act/365 Tokyo

STIB1D Stockholm Interbank Offered Rate T/N SEK Act/360 Stockholm

APDR1T ARS Overnight Deposit ARS Act/360 Buenos Aries

RBACOR RBA Cash Rate Overnight AUD Act/365 Sydney

SOBRON Bulgaria SOFIBOR Rates BGN Act/360 Sofia

BHIBORON Bahrain Association of Banks Overnight BHIBOR Rate BHD Act/360 Al Manamah

HICNHON ON CNH Hong Kong Interbank Offered Rate (CNH 

Hibor) Fixing

CNH Act/360 Hong Kong

SHIFON Shanghai Interbank Offered Rate Fixing - O/N CNY Act/360 Shanghai

COOVIBR Colombia IBR Overnight Interbank Reference Rate COP Act/360 Bogota

PRIBOVN Czech Interbank Offered Rates O/N CZK Act/360 Prague

DETNT/N Denmark Tomorrow/Next DKK Act/360 Copenhagen

H$ONWGHT HKFEDBA Hong Kong Overnight Index Swap Reference 

Rate

HKD Act/365 Hong Kong

BUBORON Budapest Interbank Offered Rates Overnight Index HUF Act/360 Budapest

JSORON Jakarta Swap Offer Rate Overnight IDR Act/360 Jakarta

NSERO India National Stock Exchange NSE Interbank Offer 

Rate

INR Act/365 Mumbai

SEDAONRE Central Bank of Iceland ISK REIBOR O/N Intersest Rate 

Fixing

ISK Act/360 Reykjavik
IWARWAOV Bank Negara Malaysia Interbank Weighted Avg Rates 

Overnight

MYR Act/365 Kuala Lumpur

NOBRON Norway Overnight Lending Rate Effective Rate NOK Act/360 Oslo

NZOCRS New Zealand Official Cash Daily Rate NZD Act/365 Wellington 

and 

Auckland

PZCFPLNI Polonia Fixing PLN Act/365 Warsaw

QRIFROVN QIBOR Overnight Fixing Rate QAR Act/360 Doha

BUBRON Romania ROBOR Overnight RON Act/360 Bucharest

RUONIA Ruble OverNight Index Average RUB Act/Act Moscow

SORF1D Association of Banks in Singapore Swap Offer Rate 

Fixing 1 Day

SGD Act/365 Singapore

NTON Taiwan New Taiwan Dollar Overnight Rate Weighted 

Avg

TWD Act/365 Taipei

SAONBOR South Africa Benchmark Overnight Rate on deposits 

(Sabor)

ZAR Act/365 Johannesburg

[ Interbank Indices ] [ OIS Indices ]

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

Vanilla Interest Rate Swaps (IRS)

Vanilla Overnight Index Swaps (OIS)

Vanilla Cross-Currency Currency Basis Swaps

Forward Rate Agreements (FRAs)

Interest Rate Swaptions

Interest Rate Caps & Floors

Inflation Swaps

Inflation Caps & Floors

Vanilla Interest Rate Swaps (IRS)

Currency Day Count 

Conventions

Standard Tenors Non-Standard 

Tenors
GBP 1w-21m

Short-Term

Fixed: 

Annual 

Act/365 

Float: 

Quarterly 

Act/365 

Index: 3m 

Libor/SOFR 

(Also A/M 1m 

Libor)

3m 6m 9m 12m 15m 18m 21m, 2y, 21⁄2y, 3y, IMM Dates

N.B 1m Libor swaps are also traded usually up to no more 

than 2y in 1m intervals.

1d-60y Any 

start / end date. 

As agreed by 

participants.

GBP 6m-60y

Medium-Term

Fixed: Semi 

Act/365 

Float: Semi 

Act/365 

Index: 6m 

Libor/SOFR 

(Also Q/Q 3m 

Libor)

6m 1y 18m 2y 21⁄2y 3y 4y 5y 6y 7y 8y 9y 10y 11y 12y 13y 

14y 15y 20y 25y 30y 35y 40y 45y 50y

Spreads (e.g. 2x10), Butterflies (e.g. 2x5x10), Forwards 

(e.g. 5y/5y). IMM dates.

N.B. S/Q v 3m Libor swaps also trade, though infrequently.

1d-60y Any 

start / end date. 

As agreed by 

participants.

GBP Basis 3vSonia 

(Fra/Ois), 3v1, 

6v3

3m 6m 9m 12m 15m 18m 2y 21⁄2y 3y 4y 5y 6y 7y 8y 9y 10y 

12y 15y 20y 25y 30y 35y 40y 45y 50y

IMM dates to 3Y

1d-60y Any 

start / end date. 

As agreed by 

participants.

USD 3m-21m

Short-Term

Fixed: 

Annual 

Act/360 

Float: 

Quarterly 

Act/360 

Index: 3m 

Libor/SOFR

3m 6m 9m 12m 15m 18m 21m, IMM Dates (including 

serials)

N.B 1m Libor swaps are also traded usually up to no more 

than 2y in 1m intervals.

1d-60y Any 

start / end date. 

As agreed by 

participants.

USD 1y-60y Fixed: Semi 1y 18m 2y 21⁄2y 3y 4y 5y 6y 7y 8y 9y 10y 11y 12y 13y 14y 1d-60y Any

Medium-Term 30I/360 15y 20y 25y 30y 35y 40y 45y 50y start / end date.

Float: Spreads (e.g. 2x10), Butterflies (e.g. 2x5x10), Forwards As agreed by

Quarterly Act (e.g. 5y/5y) participants.

/360

Index: 3m

Libor/SOFR

USD Basis 3vOIS

(Fra/Ois), 3v1, 

6v3

3m 6m 9m 12m 15m 18m 2y 21⁄2y 3y 4y 5y 6y 7y 8y 9y 10y 

12y 15y 20y 25y 30y 35y 40y 45y 50y

IMM dates to 3Y

1d-60y Any 

start / end date. 

As agreed by 

participants.
EUR 1m-24m Fixed: 1m 2m 3m 4m 5m 6m 7m 8m 9m 10m 11m 12m 15m 18m 1d-3y Any start

Short-Term Annual Act/3 21m 2y / end date.

60 IMM Dates As agreed by

Float: participants.

Monthly Act/3

60

Index: 1m

Euribor

EUR 3m-60y

Medium-Term

Fixed: 

Annual 

30U/360

Float: Semi A 

ct/360

Index: 6m 

Euribor

(Also A/Q 3m 

Euribor)

6m 1y 18m 2y 21⁄2y 3y 4y 5y 6y 7y 8y 9y 10y 11y 12y 13y 

14y 15y 20y 25y 30y 35y 40y 45y 50y

Spreads (e.g. 2x10), Butterflies (e.g. 2x5x10), Forwards 

(e.g. 5y/5y)

N.B. 6m EuroLibor A/365 swaps are also traded, though 

less frequently.

N.B. 6m Euribor swaps are predominant over 3m the 

longer the maturity beyond 3y.

1d-60y Any 

start / end date. 

As agreed by 

participants.

EUR Basis 3vEonia 

(Fra/Ois), 3v1, 

6v3

3m 6m 9m 12m 15m 18m 2y 21⁄2y 3y 4y 5y 6y 7y 8y 9y 10y 

12y 15y 20y 25y 30y 35y 40y 45y 50y

IMM dates to 3Y

1d-60y Any 

start / end date. 

As agreed by 

participants.

JPY 1m-2y Fixed: 1m 2m 3m 4m 5m 6m 7m 8m 9m 10m 11m 12m 1d-2y Any start

Short-Term Annual Act/3 IMM Dates / end date.

60 As agreed by

Float: participants.

Monthly Act/3

60

Index: 1m

Libor/SOFR

JPY 3m-30y

Medium-Term

Fixed: Semi 

Act/365 

Float: Semi A 

ct/360

Index: 6m 

Libor/SOFR

3m 6m 9m 1y 18m 2y 21⁄2y 3y 4y 5y 6y 7y 8y 9y 10y 12y 1 

5y 20y 25y 30y

Spreads (e.g. 2x10), Butterflies (e.g. 2x5x10), Forwards 

(e.g. 5y/5y)

1d-30y Any 

start / end date. 

As agreed by 

participants.

JPY Basis 3vTonar 

(Fra/Ois), 3v1, 

6v3

3m 6m 9m 12m 15m 18m 2y 21⁄2y 3y 4y 5y 6y 7y 8y 9y 10y 

12y 15y 20y 25y 30y

IMM dates to 3Y

1d-30y Any 

start / end date. 

As agreed by 

participants.

Vanilla Overnight Index Swaps (OIS)

Currency Day_Count_Conventions Standard Tenors Non_Standard_Tenor 

s
GBP Fixed:_Annual_Act/365 

Floating:_Annual_Act/36 

5

Index: Sonia

1w 2w 3w 1m 2m 3m 4m 5m 6m 7m 8m 9m 

10m 11m 12m 15m 18m 21m 2y 21⁄2y 3y 4y 

5y 6y 7y 8y 9y 10y 11y 12y 13y 14y 15y 

20y 25y 30y 35y 40y 45y 50y, Quarterly 

IMM dates, MPC (BoE Monetary Policy 

Committee) meeting dates.

1d-60y Any start / end 

date.

As agreed by 

participants.

USD Fixed:_Annual_Act/360 

Floating:_Annual_Act/36 

0

Index: FedFunds

1w 2w 3w 1m 2m 3m 4m 5m 6m 7m 8m 9m 

10m 11m 12m 15m 18m 21m 2y 21⁄2y 3y 4y 

5y 6y 7y 8y 9y 10y 11y 12y 13y 14y 15y 

20y 25y 30y 35y 40y 45y 50y, Quarterly 

IMM dates, FOMC (Federal Oversight 

Monetary Committee) meeting dates, 

FedFunds Futures expiry dates.

1d-60y Any start / end 

date.

As agreed by 

participants.

EUR Fixed:_Annual_Act/360 

Floating:_Annual_Act/36 

0

Index: Eonia

1w 2w 3w 1m 2m 3m 4m 5m 6m 7m 8m 9m 

10m 11m 12m 15m 18m 21m 2y 21⁄2y 3y 4y 

5y 6y 7y 8y 9y 10y 11y 12y 13y 14y 15y 

20y 25y 30y 35y 40y 45y 50y, Quarterly 

IMM dates, ECB (Euro Central Bank 

Governing Council) meeting dates.

1d-60y Any start / end 

date.

As agreed by 

participants.

JPY Fixed:_Annual_Act/365 

Floating:_Annual_Act/365 

Index: Tonar

1w 2w 3w 1m 2m 3m 4m 5m 6m 7m 8m 9m 

10m 11m 12m 15m 18m 21m 2y 21⁄2y 3y 4y 

5y 6y 7y 8y 9y 10y 12y 15y 20y 25y 30y, Q 

uarterly IMM dates, BoJ (Bank of Japan 

Monetary Policy) meeting dates.

1d-60y Any start / end 

date.

As agreed by 

participants.

Vanilla Cross-Currency Currency Basis Swaps

Currency Day_Count_Conventions Standard Tenors Non 

Standard 

Tenors

USD/EUR

Q/Q

USD = 3m Libor/SOFR 

Act/360 EUR = 3m Euribor 

Act/360

3m 6m 9m 12m 18m 2y 3y 4y 5y 6y 7y 8y 9y 10y 11y 

12y 13y 14y 15y 20y 25y 30y 40y 50y

3m-60y Any 

start / end 

date.

As agreed by 

participants.

USD/EUR

Q/Q

USD = FedFunds Act/360 

EUR = Eonia Act/360

3m 6m 9m 12m 18m 2y 3y 4y 5y 6y 7y 8y 9y 10y 12y 

15y 20y 25y 30y

3m-60y Any 

start / end 

date.

As agreed by 

participants.

USD/JPY

Q/Q

USD = 3m Libor/SOFR 

Act/360 JPY = 3m 

Libor/SOFR Act/360

3m 6m 9m 12m 18m 2y 3y 4y 5y 6y 7y 8y 9y 10y 11y 

12y 13y 14y 15y 20y 25y 30y 35y 40y 50y

3m-60y Any 

start / end 

date.

As agreed by 

participants.
USD/JPY

Q/Q

USD = FedFunds Act/360 

JPY = Tonar Act/360

3m 6m 9m 12m 18m 2y 3y 4y 5y 6y 7y 8y 9y 10y 12y 

15y 20y 25y 30y

3m-60y Any 

start / end 

date.

As agreed by 

participants.

USD/GBP

Q/Q

USD = 3m Libor/SOFR 

Act/360 GBP = 3m 

Libor/SOFR Act/365

3m 6m 9m 12m 18m 2y 3y 4y 5y 6y 7y 8y 9y 10y 11y 

12y 13y 14y 15y 20y 25y 30y 40y 50y

3m-60y Any 

start / end 

date.

As agreed by 

participants.

USD/GBP

Q/Q

USD = FedFunds Act/360 

GBP = Sonia Act/365

3m 6m 9m 12m 18m 2y 3y 4y 5y 6y 7y 8y 9y 10y 12y 

15y 20y 25y 30y

3m-60y Any 

start / end 

date.

As agreed by 

participants.

GBP/EUR

Q/Q

GBP = 3m Libor/SOFR 

Act/365 EUR = 3m Euribor 

Act/360

3m 6m 9m 12m 2y 3y 4y 5y 6y 7y 8y 9y 10y 11y 12y 

13y 14y 15y 20y 25y 30y

3m-60y Any 

start / end 

date.

As agreed by 

participants.

JPY/EUR

Q/Q

JPY = 3m Libor/SOFR 

Act/360 EUR = 3m Euribor 

Act/360

1y 2y 3y 4y 5y 6y 7y 8y 9y 10y 12y 15y 20y 25y 30y 3m-60y Any 

start / end 

date.

As agreed by 

participants.

Forward Rate Agreements (FRAs)

Currency Day Count 

Conventions

Standard Tenors Non-StandardTenors

GBP Annual Act/365 Spot Start: 0x1 1x2 2x3 IMM Dates, End of month Turns

USD Annual Act/360 ... 35x36 Any date chosen by the trade originator, e.g. "1x4

EUR Annual Act/360 Spot Start: 0x3 1x4 2x5 over the 9th"

JPY Annual Act/365 ... 33x36

Spot Start: 0x6 1x7 2x8

... 30x36

*JPY Max end date =

24m

Interest Rate Swaptions

Currency IRS Day Count 

Conventions

Standard Tenors Off-The-Run 

Tenors
GBP Up to 18m -

Annual/3s 

2y+ - Semi/6s

Option Expiries: 1d 2d 1w 2w 1m 2m 3m 6m 9m 1y 18m 2y 3y 

4y 5y 6y 7y 8y 9y 10y 12y 15y 20y 25y 30y

Underlying Swaps: 1y 18m 2y 3y 4y 5y 6y 7y 8y 9y 10y 12y 15y 

20y 25y 30y 40y 50y 60y

1d-50y Any 

expiry date. 

As agreed by 

participants.

USD Up to 18m -

Annual/3s 

2y+ - Semi/3s

Option Expiries: 1d 2d 1w 2w 1m 2m 3m 6m 9m 1y 18m 2y 3y 

4y 5y 6y 7y 8y 9y 10y 12y 15y 20y 25y 30y

Underlying Swaps: 1y 18m 2y 3y 4y 5y 6y 7y 8y 9y 10y 12y 15y 

20y 25y 30y 40y 50y 60y

1d-50y Any 

expiry date. 

As agreed by 

participants.

EUR Up to 18m -

Annual/3s

2y+ - Annual/6s

Option Expiries: 1d 2d 1w 2w 1m 2m 3m 6m 9m 1y 18m 2y 3y 

4y 5y 6y 7y 8y 9y 10y 12y 15y 20y 25y 30y

Underlying Swaps: 1y 18m 2y 3y 4y 5y 6y 7y 8y 9y 10y 12y 15y 

20y 25y 30y 40y 50y 60y

1d-50y Any 

expiry date. 

As agreed by 

participants.

JPY Up to 18m -

Annual/3s 

2y+ - Semi/6s

Option Expiries: 1d 2d 1w 2w 1m 2m 3m 6m 9m 1y 18m 2y 3y 

4y 5y 6y 7y 8y 9y 10y 12y 15y 20y 25y 30y

Underlying Swaps: 1y 18m 2y 3y 4y 5y 6y 7y 8y 9y 10y 12y 15y 

20y 25y 30y

1d-30y Any 

expiry date. 

As agreed by 

participants.

Interest Rate Caps & Floors

Currency Underlying 

Index

Standard Tenors Off-The-Run 

Tenors

GBP Up to 18m - 3m 

Libor

2y+ - 6m 

Libor/SOFR

Option Tenors: 1y 18m 2y 3y 4y 5y 6y 7y 8y 9y 10y 12y 15y 

20y 25y 30y, IMM Expiries

Strikes from -1% to +20%

3m-60y any 

expiry.

As agreed by 

participants

USD All Tenors - 3m 

Libor/SOFR

Option Tenors: 1y 18m 2y 3y 4y 5y 6y 7y 8y 9y 10y 12y 15y 

20y 25y 30y, IMM Expiries

Strikes from -1% to +20%

3m-60y any 

expiry.

As agreed by 

participants

EUR Up to 18m - 3m 

Euribor

2y+ - 6m 

Euribor

Option Tenors: 1y 18m 2y 3y 4y 5y 6y 7y 8y 9y 10y 12y 15y 

20y 25y 30y, IMM Expiries

Strikes from -1% to +20%

3m-60y any 

expiry.

As agreed by 

participants

JPY Up to 18m - 3m 

Libor/SOFR 

2y+ - 6m 

Libor/SOFR

Option Tenors: 1y 18m 2y 3y 4y 5y 6y 7y 8y 9y 10y 12y 15y 

20y 25y 30y, IMM Expiries

Strikes from -1% to +20%

3m-30y any 

expiry.

As agreed by 

participants

Inflation Swaps

Currency Underlying 

Index

Standard Tenors Non-Standard 

Tenors
GBP UK RPI 2m Lag 

Act/Act

ZC & YoY T+0

Vanilla Swaps: 1y 18m 2y 3y 4y 5y 6y 7y 8y 9y 10y 12y 15y 

20y 25y 30y 35y 40y 45y 50y 55y 60y 70y

Fixing Swaps: Previous 12m YoY monthly RPI fixingsC. PI 

Swaps also traded 30/360 Daycount.

1d-70y Any 

start / end date. 

As agreed by 

participants

USD US CPI 3m Lag 

Act/Act

ZC & YoY T+2

Vanilla Swaps: 1y 18m 2y 3y 4y 5y 6y 7y 8y 9y 10y 12y 15y 

20y 25y 30y 35y 40y 45y

1d-60y Any 

start / end date. 

As agreed by 

participants

EUR EUR HICPxT 3m

Lag 30/360 

ZC & YoY T+2

Vanilla Swaps: 1y 18m 2y 3y 4y 5y 6y 7y 8y 9y 10y 12y 15y 

20y 25y 30y 40y 50y

Fixing Swaps: Previous 12m YoY monthly HICPxT fixings

1d-60y Any 

start / end date. 

As agreed by 

participants

France

(Euro)

Fr CPI 3m Lag 

30/360

ZC & YoY T+2

Vanilla Swaps: 1y 18m 2y 3y 4y 5y 6y 7y 8y 9y 10y 12y 15y 

20y 25y 30y 40y 50y 55y

1d-60y Any 

start / end date. 

As agreed by 

participants

JPY Yen CPI 3m Lag 

30/360

ZC T+2

Vanilla Swaps: 1y 18m 2y 3y 4y 5y 6y 7y 8y 9y 10y 12y 15y 

20y 25y 30y

1d-30y Any 

start / end date. 

As agreed by 

participants

Inflation Caps & Floors

Currency Underlying 

Index

Standard Tenors & Strikes Non-Standard Tenors 

& Strikes

GBP UK RPI ZC & Option Tenors: 1y 2y 3y 4y 5y 6y 7y 8y 9y 10y 12y 3m-50y any expiry date,

YoY 15y 20y 25y 30y Any strike from -5% -

Cap Strikes: 1.0% 1.5% 2.0% 2.5% 3.0% 3.5% 4.0% +15%,

4.5% 5.0% 6.0% As agreed by

Floor Strikes: -3.0% -2.0% -1.0% -0.5% 0.0% 0.5% participants

1.0% 1.5% 2.0% 3.0%

USD US CPI ZC & Option Tenors: 1y 2y 3y 4y 5y 6y 7y 8y 9y 10y 12y 3m-50y any expiry date,

YoY 15y 20y 25y 30y Any strike from -5% -

Cap Strikes: 1.0% 1.5% 2.0% 2.5% 3.0% 3.5% 4.0% +15%,

4.5% 5.0% 6.0% As agreed by

Floor Strikes: -3.0% -2.0% -1.0% -0.5% 0.0% 0.5% participants

1.0% 1.5% 2.0% 3.0%

EUR EUR HICPxT ZC Option Tenors: 1y 2y 3y 4y 5y 6y 7y 8y 9y 10y 12y 3m-50y any expiry date,

& YoY 15y 20y 25y 30y Any strike from -5% -

Cap Strikes: 1.0% 1.5% 2.0% 2.5% 3.0% 3.5% 4.0% +15%,

4.5% 5.0% 6.0% As agreed by

Floor Strikes: -3.0% -2.0% -1.0% -0.5% 0.0% 0.5% participants

1.0% 1.5% 2.0% 3.0%
France Fr CPI ZC &

YoY

Option Tenors: 1y 2y 3y 4y 5y 6y 7y 8y 9y 10y 12y 

15y 20y 25y 30y

Cap Strikes: 1.0% 1.5% 2.0% 2.5% 3.0% 3.5% 4.0%

4.5% 5.0% 6.0%

Floor Strikes: -2.0% -1.0% -0.5% 0.0% 0.5% 1.0%

1.5% 2.0% 3.0%

3m-50y any expiry date, 

Any strike from -5% -

+15%,

As agreed by 

participants

JPY Yen CPI N/A