February 5, 2017

Via CFTC Portal

Christopher J. Kirkpatrick

Secretary of the Commission

Commodity Futures Trading Commission

Three Lafayette Centre

1155 21st Street, N.W.

Washington, D.C. 20581

RE: trueEX LLC Amendment of Product Terms and Conditions (trueEX LLC 

submission #2017-02S)

Dear Mr. Kirkpatrick: 

Pursuant to Section 5c(c)(1) of the Commodity Exchange Act, as amended (the “Act”), and 

Commission Regulation 40.6(a), trueEX LLC (“trueEX” or the “Exchange”) hereby 

submits to the U.S. Commodity Futures Trading Commission (the “Commission”) certain 

amendments to terms and conditions of fixed vs. floating interest rate swaps offed for 

trading on trueEX. 

Summary of Amendments

trueEX Rule Nature of Amendment

Rule 1001 – Added language to clarify that interest rate 

swaps covered by this rule can be traded as Cleared 

Transactions or Uncleared Transactions on the SEF Trading 

System.

CFTC Regulation 40.6(a)

Schedule 1001 – added the specific terms applicable for 

each Currency itemized in Rule 1001to be traded as an 

Uncleared Transaction on PTC.

CFTC Regulation 40.6(a)

Exhibit 1 contains the redlined amendments to Rules 1001. Exhibit 2 contains 

redlined amendments to indicate the terms applicable for each Currency to be 

traded as an Uncleared Transaction (columns Y though AF).

trueEX certifies that these amendments complies with the Act and the Commission’s 

regulations thereunder. trueEX’s analysis of the operation, purpose and effect of the 

proposed rule change and its compliance with the Act, core principles and Commission’s 

regulations thereunder is included in the chart above. There were no substantive opposing 
views expressed by the trueEX governing board or market participants to the rule 

amendments.

trueEX certifies that this certification has been concurrently posted on the Exchange’s Web 

Site at http://www.trueex.com/rules-and-notices. These amendments will be effective on 

February 17, 2017. 

If you have questions regarding this notice, please contact me at (312) 320-8934 or by 

email at fran@trueex.com.

Sincerely,

Fran Kenck

Chief Compliance Officer
83

CHAPTER 10

INTEREST RATE SWAP CONTRACTS

RULE 1001. Fixed for Floating Interest Rate Swap Contracts

(a) Contract Description. Fixed for Floating Interest Rate Swap. This is an Interest Rate

Swap for which settlement is in the form of periodic fixed interest payments and a stream of periodic 

floating interest payments based on floating rate index over a term to maturity. The interest rate payments 

are exchanged for a specified period based on a notional amount. This Rule 1001 contains general 

information about the Contract terms and conditions. Contracts eligible for trading on the DCM Trading 

System and SEF Trading System as Cleared Transactions or Uncleared Transactions (SEF only), as well as 

the specific terms attributesavailable for related to each Currency can be found on Schedule 1001, which

forms an integral part of this Rule, at on the Web Site (www.trueex.com). Contracts traded on the SEF 

Trading System may be traded as Cleared Transactions or as Uncleared Transactions if not subject to a 

clearing mandate or if the market participant qualifies for a clearing exception/exemption. 

(b) Trading Hours.

(i) DCM Trading Hours. The Trading Hours of the DCM Trading System that are

applicable to the Contract described in this Rule 1001 will commence each Business Day at 8:00 

a.m. London time (BST/GMT) and end each Business Day at 5:00 p.m. New York time

(EST/EDT).

(ii) SEF Trading Hours. The Trading Hours of the SEF Trading System that are

applicable to the Contract described in this Rule 1001 will be as follows:

• The RFQ Trading Hours will commence each Business Day at 8:00 a.m. London time

(BST/GMT) and end each Business Day at 5:00 p.m. New York time (EST/EDT).

• The PTC Trading Hours will commence each Business Day at 8:00 a.m. London time

(BST/GMT) and end each Business Day at 6:00 p.m. New York time(EST/EDT).

(c) Currency.

(i) Super-Major Currencies

• United States dollar (USD)

• European Union Euro Area euro (EUR)

• Japan yen (JPY)

• United Kingdom pound sterling (GBP)

(ii) Major Currencies

• Australia dollar (AUD)

• Canada dollar (CAD)

• Denmark krone (DKK)

• Kingdom of Norway krone (NOK),

• Kingdom of Sweden krona (SEK)

• New Zealand dollar (NZD)

• Republic of South Africa rand (ZAR)

• Switzerland franc (CHF)

Exhibit 1
84

(iii) Non-Major Currencies

• Brazilian Real (BRL)

• Chilean Peso (CLP)

• Czech Koruna (CZK)

• Hong Kong dollar (HKD)

• Hungarian Forint (HUF)

• Mexican Peso (MXN)

• Polish Zloty (PLN)

• Singapore dollar (SGD)

(d) Trading Conventions. 

(i) Buyer (Payer) pays fixed interest rate and receives floating interest rate. 

(ii) Seller (Receiver) receives fixed interest rate and pays floating interest rate.

(e) Swap Leg Conventions. The terms of Fixed vs. Floating Interest Rate Swaps are based on 

a number of combinations of the criteria below. Approved contracts available for trading on the Exchange 

can be found on the Web Site (www.trueex.com).

(i) Fixed Leg

(A) Payment Frequency. 28 Days, Monthly (1M), Quarterly (3 M), SemiAnnually (6 M), Annually (12 M), One Time (1T)

(B) Day Count Convention. 

• 30/360

• 30E/360

• 30E/360.ISDA

• ACT/360

• ACT/365.Fixed

• ACT/365.ISDA

• ACT/ACT.ISMA

• ACT/ACT.ISDA

• ACT/ACT.ICMA

• BUS/252

(C) Holiday Calendar. Dependent on Currency

• US – New York (USNY)

• Europe – Target (EUTA)

• Great Britain – London (GBLO)

• Japan – Tokyo (JPTO)

• Australia – Sydney (AUSY) 

• Canada – Toronto (CATO)

• Denmark – Copenhagen (DKCO)

• New Zealand – Wellington (NZWE)

• New Zealand – Auckland (NZAU)

• Norway – Oslo (NOOS)

• South Africa – Johannesburg (ZAJO)
85

• Sweden – Stockholm (SEST)

• Switzerland – Zurich (CHZU)

• Brazil – Brazil Business Day (BRBD)

• Chile – Santiago (CLSA)

• Czech Republic – Prague (CZPR)

• Hong Kong –(HKHK)

• Hungary – Budapest (HUBU Singapore – (SGSI)

• Mexico – Mexico City (MXMC)

• Poland – Warsaw (PLWA)

• Singapore – Singapore (SGSI)

(D) Business Day Convention. Modified Following with adjustment to period

end dates. Business days in this convention must be valid business days in respect to 

Holiday Calendar associated with Currency for effective and payment dates. If not, it will 

be the next day that is a business day. If the adjusted end dates fall at the end of the month, 

the day rolls to the preceding day. 

(E) Fixed Rate. The traded interest rate yield or basis points on Trade Date.

(ii) Floating Leg

(A) Reset Frequency. One Day (1D), 28 Days, Monthly (1M), Quarterly (3

M), Semi-Annually (6 M), or Annually (12 M).

(B) Day Count Convention.

• 30/360

• 30E/360

• ACT/360

• ACT/365.Fixed

• ACT/ACT.ISDA

• 30E/360.ISDA

• ACT/ACT.ICMA

• BUS/252

(C) Holiday Calendar. Dependent on Currency

• US – New York (USNY)

• Europe – Target (EUTA)

• Great Britain – London (GBLO)

• Japan – Tokyo (JPTO)

• Australia – Sydney (AUSY)

• Canada – Toronto (CATO)

• Denmark – Copenhagen (DKCO)

• New Zealand – Wellington (NZWE)

• New Zealand – Auckland (NZAU)

• Norway – Oslo (NOOS)

• South Africa – Johannesburg (ZAJO)

• Sweden – Stockholm (SEST)

• Switzerland – Zurich (CHZU)

• Brazil – Brazil Business Day (BRBD)

• Chilie – Santiago (CLSA)
86

• Czech Republic – Prague (CZPR)

• Hong Kong –(HKHK)

• Hungary – Budapest (HUBU)

• Mexico – Mexico City (MXMC)

• Poland – Warsaw (PLWA)

• Singapore – Singapore (SGSI), London (GBLO)

(D) Business Day Convention. Modified Following with adjustment to period 

end dates. Business days in this convention must be valid business days in respect to 

Holiday Calendar associated with Currency for effective and payment dates. If not, it will 

be the next day that is a business day. If the adjusted end dates fall at the end of the month, 

the day rolls to the preceding day.

(E) Payment Frequency. 28 Days, Monthly (1M), Quarterly (3 M), SemiAnnually (6 M), Annually (12 M), One Time (1T)

(F) Float Rate Index. 

• USD-LIBOR-BBA

• EUR-EURIBOR-REUTERS

• EUR-EURIBOR-Telerate

• EUR-LIBOR

• JPY-LIBOR-BBA

• GBP-LIBOR-BBA

• AUD-BBR-BBSW

• CAD-BA-CDOR

• DKK-CIBOR-DKNA13

• DKK-CIBOR2-DKNA13

• NOK-NIBOR-NIBR

• SEK-STIBOR-SIDE

• NZD-BBR-FRA

• ZAR-JIBAR-SAFEX

• BRL-CDI

• CLP -TNA

• CHF-LIBOR-BBA

• CZK-PRIBOR-PRBO

• HKD-HIBOR-HKAB

• HUF-BUBOR-REUTERS

• MXN-TIIE-Banxico

• PLN-WIBOR-WIBO

• SGD-SOR-REUTERS

• SGD-SOR-VWAP

(f) Effective Date. The first date from which fixed and floating interest amounts accrue. It is 

also referred to as the Start Date. The Effective Date of the Swap must be a business day subject to the 

appropriate Business Day Convention.

(g) Trade Start Type

(i) Spot Starting. A swap with an Effective Date that follows market convention per 

each Currency, ranging from T+0 to T+2. For example USD is 2 business days from the Trade 

Date (T+2). 
87

(ii) Forward Starting. A swap whose Effective Date is anything after the Effective

Date for a Spot Starting swap.

(h) “Maturity Date” means the final date until which Fixed and Floating amounts accrue. The

Maturity Date may also be referred to as the “Termination Date” or “End Date”. 

(i) “Tenor” means the duration of time from the Effective Date to the Maturity Date. The

Exchange will support Tenors of any duration greater than 0 years up to 50 years.

(i) Listed Tenors, with respect to the DCM Trading System, also referred to as Onthe-Run, means whole year Spot Starting Contracts with a Tenor of 2 through 10, 12, 15, 20, 25 

and 30 years. 

(ii) Other Tenors, also referred to as Off-the-Run, means any whole year Tenors other

than the Listed Tenors and any partial year Tenor. Transactions in Other Tenors (with the 

exception of Block Trades), are executed through the System’s Off-the-Run trading functionality. 

All such trades will be subject to the requirements of Exchange Rule 524(c).

(A) Standard Off-the-Run means any whole year Other Tenor that is Spot

Starting.

(B) Non-Standard (or Custom) Off-the-Run means any partial year Tenor that

is Spot Starting and all Forward Starting Contracts (whole and partial year Tenors). 

(j) Roll Day Convention. The date used for determining all fixed and floating Reset Dates.

Roll Days define the beginning and end of Fixed and Floating interest accrual periods. For On-the-Run 

Contracts, the Roll Day is the same date of the month as the Effective Date. For Off-the-Run Contracts, it 

can be any date of the month, subject to the provisions of the Business Day Convention. Roll Day marks 

the start of a new interest accrual period, and is the date on which a Reset Rate takes effect. The Exchange 

supports the following roll types:

(i) Standard. Standard roll will be the same day of the month accordingly aligned to

the roll frequency. For example, Effective date January, 10th, 2013 and Maturity Date January, 

10th, 2015 with a 3M payment, roll frequency will settle on the 10th day every three months.

(ii) End of Month (EOM). For EOM convention, if the roll date falls at the end of the

month the date moves back to the preceding business day based on the applicable Business Day 

Convention employed.

(iii) International Money Market (IMM). IMM roll dates are the 3rd Wednesday of

March, June, September and December.

(k) Floating Reset Dates. Dates utilized to determine the Floating Rate amounts for each

interest accrual period during the Tenor of the contract. Except in the case of a Stub Period, the Reset Date 

is 2 business days prior to the Roll Date for that interest accrual period.

(l) First Period Fixing Date. (Based on Holiday Calendar of the Currency)

(i) For Spot Starting swaps, the Interest Rate for the first interest period is fixed on

the Trade Date, for both Floating and Fixed Rates. 

(ii) For Forward Starting swaps, the Fixed Rate for the first interest period is fixed on

the Trade Date, and the Floating Rate for the first interest period is fixed up to 2 business days 

prior to the Effective Date
88

(m) Stub Period Rate. For swaps with partial year Tenors, a first interest period that is shorter 

than the standard underlying Floating index interest periods may occur between the Effective Date and the 

first Roll Date (knows as a Stub Period). In these cases, the Interest Rate for such Stub Period is 

determined using linear interpolation based on the two index rates that surround the Stub Period.

(i) Stub Index Frequency. 1 Week (1W), 2 Week (2W), 28 Days, 1 Month (1M) to 

12 Month (12M)

(n) Trade Types. The Platform may support the following trade types:

(i) Outrights. An Outright swap is where one party is the payer of the fixed rate and 

receiver of the floating rate and the other party is the receiver of the fixed fate and payer of the 

floating rate.

(ii) Switches. Switches are the simultaneous purchase and sale of two different 

Tenors of the yield curve (e.g. 2 year by 10 year).

(iii) Butterflies. Butterflies are the simultaneous purchase(s) and sale(s) of three 

different Tenors of the yield curve (e.g. 2 year by 5 year by 10 year).

(iv) Spreads. A Spread trade consists of a transaction where the payer and receiver of 

the fixed rate on the Interest Rate Swap simultaneously enter into a transaction for a treasury 

security of an equivalent Tenor. For the treasury transaction, the payer of the fixed rate on the 

swap buys and the receiver of the fixed rate on the swap sells either a single treasury security or 

two treasury securities using a simple weighted average to match the risk,

(v) Invoice Spreads. An Invoice Spread trade consists of a transaction where two 

parties enter into a treasury futures contract and simultaneously enter into an interest rate swap 

transaction. The buyer of the futures contract is the payer of the fixed rate on the interest rate 

swap transaction and the seller of the futures contract is the receiver of the fixed rate on the 

interest rate swap transaction. The interest rate swap is of an equivalent Tenor to match the risk. 

(vi) Block Trades has the meaning as defined in Chapter 1 of this Rulebook.

(o) Contract Size.

(i) On-the-Run. Minimum notional size of $1 million USD or multiple thereof and 

increments of $1 million USD depending on Tenor.

(ii) Off-the-Run. Minimum notional size of $1 million USD and increments of $1,000 

USD. 

(iii) Block Trades. Minimum notional size as indicated in Rule 1001(t) and increments 

of $1,000 USD.

(p) Quoting Convention

(i) Outrights. Outrights are quoted in interest rate yield.

(A) On-the-Run. The interest rate yield is quoted to 3 decimal places. 

(B) Off-the-Run. The interest rate yield is quoted to 5 decimal places.
89

(C) Block Trades. The interest rate yield, regardless of Tenor, is quoted to 5

decimal places.

(ii) Switches, Butterflies. These trade types are quoted in basis points. The basis

points are quoted to 1 decimal place.

(iii) Spreads, Invoice Spreads. These trade types are quoted in basis points. The basis

points are quoted to 1 decimal place.

(q) Minimum Price Fluctuation.

(i) Outrights. The interest rate yield is quoted in increments of .001 (1/10th of a basis

point).

(ii) Switches, Butterflies. The basis points are quoted in increments of .1 (1/10th of a

basis point).

(iii) Spreads, Invoice Spreads. The basis points are quoted in increments of .1 (1/10th

of a basis point).

(r) Last Trading Day.

(i) Spot Starting. Close of business on Trade Date.

(ii) Forward Starting. Close of business three business days prior to the Effective Date

of the swap. 

(s) Final Settlement Price. Multiple payments take place during the term of the swap.

Settlement price used for the periodic exchange of fixed and floating payments is based on the following 

factors:

(i) Fixed Leg. Payment amount on the fixed leg is based on the trade price of the

swap on Trade Date. Payment timing on the fixed leg is based on the Payment Frequency, Day 

Count Convention, Business Day Convention, and Roll Day. 

(ii) Floating Leg. Payment on the floating leg is based on the Interest Rate

Benchmark of the swap. Payments on the floating leg are based on the Payment Frequency, Day 

Count Convention, Business Day Convention, Roll Day Convention and Floating Reset Dates. 

(t) Block Trades.

(i) Minimum Notional Sizes. The Exchange has established the following minimum

Block Trade sizes in accordance with Appendix F to Part 43 of the CFTC Regulations:
90

Minimum Block Size ($ Notional)

Initial Maturity greater 

than

Initial Maturity less 

than or equal to

Super Major 

Currencies

Major 

Currencies

Non-Major 

Currencies

0 days 46 days $6.4 billion $2.2 billion $230 million

46 days 3 months (107 days) $2.1 billion $580 million $230 million

3 months (107 days) 6 months (198 days) $1.2 billion $440 million $150 million

6 months (198 days) 1 year (381 days) $1.1 billion $220 million $110 million

1 year (381 days) 2 years (746 days) $460 million $130 million $54 million

2 years (746 days) 5 years (1,842 days) $240 million $88 million $27 million

5 years (1,842 days) 10 years (3,668 days) $170 million $49 million $15 million

10 years (3,668 days) 30 years (10,973 days) $120 million $37 million $16 million

30 years (10,973 days) $67 million $15 million $15 million

(ii) For non-US dollar denominated swaps, the minimum block sizes will be based on

a currency exchange rate that is widely published within the preceding two business days from the 

date of execution of the swap transaction. 

(iii) Terminations. When executing a Transaction that is terminating an existing

Contract, the Maturity Date of the Contract shall be its remaining time to maturity and not the 

original Tenor of the Contract.

(iv) Reporting. All Block Trades must be reported to the Exchange as soon as

technologically practicable after execution but in no event more than 10 minutes after the parties 

have agreed to the terms of such Block Trade. 

(u) Clearing House. CME or LCH. Choice of Clearing House is determined at the time of

order entry. Trades that are not intended to be cleared will not have a Clearing House associated with the 

order. 
Currency Float Rate Index Product Type

Start Date 

(Spot 

Starting)

Fixing Date 

Offset Roll Types

Holiday 

Business 

Centers - Float 

Fixing Dates

Holiday Business 

Centers - Effective 

and Payment Dates

Max Te

(yrs)

AUD AUD-BBR-BBSW IRS 1 0

Standard, 

IMM, EOM, 

None

AUSY AUSY 30 

BRL BRL-CDI IRS 0 0 None BRBD BRBD, USNY 10 

CAD CAD-BA-CDOR IRS 0 0 None CATO CATO 30 

Holiday Business Day 

Convention

Schedule 1001

IRS Fixed for Floating Swaps eligible for Portfolio Terminations and 

Compactions ("PTC") on The SEF Trading System.

Exhibit 2
Currency Float Rate Index Product Type

Start Date 

(Spot 

Starting)

Fixing Date 

Offset Roll Types

Holiday 

Business 

Centers - Float 

Fixing Dates

Holiday Business 

Centers - Effective 

and Payment Dates

Max Te

(yrs)

Holiday Business Day 

Convention

Schedule 1001 

IRS Fixed for Floating Swaps eligible for Portfolio Terminations and 

Compactions ("PTC") on The SEF Trading System.

CHF CHF-LIBOR-BBA IRS 2 -2

Standard, 

IMM, EOM, 

None

GBLO CHZU, GBLO 30 

CLP CLP-TNA IRS 2 0

Standard, 

IMM, EOM, 

None

USNY, CLSA USNY, CLSA n/a 

CZK CZK-PRIBOR-PRBO IRS 2 -2

Standard, 

IMM, EOM, 

None

CZPR CZPR 10 
Currency Float Rate Index Product Type

Start Date 

(Spot 

Starting)

Fixing Date 

Offset Roll Types

Holiday 

Business 

Centers - Float 

Fixing Dates

Holiday Business 

Centers - Effective 

and Payment Dates

Max Te

(yrs)

Holiday Business Day 

Convention

Schedule 1001 

IRS Fixed for Floating Swaps eligible for Portfolio Terminations and 

Compactions ("PTC") on The SEF Trading System.

DKK DKK-CIBOR-DKNA13, DKK-CIBOR2-DKNA13 IRS 2 0 (-2 for CIBOR2) Standard, IMM, EOM, None DKCO DKCO 30 

EUR

EUR-EURIBORReuters, EUR-EURIBORTelerate, EUR-LIBOR 

(Libor LCH only) 

IRS 2 -2

Standard, 

IMM, EOM, 

None

EUTA EUTA 50 

GBP GBP-LIBOR-BBA IRS 0 0

Standard, 

IMM, EOM, 

None

GBLO GBLO 50 
Currency Float Rate Index Product Type

Start Date 

(Spot 

Starting)

Fixing Date 

Offset Roll Types

Holiday 

Business 

Centers - Float 

Fixing Dates

Holiday Business 

Centers - Effective 

and Payment Dates

Max Te

(yrs)

Holiday Business Day 

Convention

Schedule 1001 

IRS Fixed for Floating Swaps eligible for Portfolio Terminations and 

Compactions ("PTC") on The SEF Trading System.

HKD HKD-HIBOR-HKAB IRS 0 0

Standard, 

IMM, EOM, 

None

HKHK HKHK 15 

HUF HUF-BUBOR-REUTERS IRS 2 -2

Standard, 

IMM, EOM, 

None

HUBU HUBU 10 

JPY JPY-LIBOR-BBA IRS 2 -2

Standard, 

IMM, EOM, 

None

GBLO JPTO, GBLO 30 
Currency Float Rate Index Product Type

Start Date 

(Spot 

Starting)

Fixing Date 

Offset Roll Types

Holiday 

Business 

Centers - Float 

Fixing Dates

Holiday Business 

Centers - Effective 

and Payment Dates

Max Te

(yrs)

Holiday Business Day 

Convention

Schedule 1001 

IRS Fixed for Floating Swaps eligible for Portfolio Terminations and 

Compactions ("PTC") on The SEF Trading System.

MXN MXN-TIIE-Banxico IRS 2 -2 None MXMC MXMC 21 

NOK NOK-NIBOR-NIBR IRS 2 -2

Standard, 

IMM, EOM, 

None

NOOS NOOS 30 

NZD NZD-BBR-FRA IRS 2 0

Standard, 

IMM, EOM, 

None

NZWE NZWE, NZAU 15 
Currency Float Rate Index Product Type

Start Date 

(Spot 

Starting)

Fixing Date 

Offset Roll Types

Holiday 

Business 

Centers - Float 

Fixing Dates

Holiday Business 

Centers - Effective 

and Payment Dates

Max Te

(yrs)

Holiday Business Day 

Convention

Schedule 1001 

IRS Fixed for Floating Swaps eligible for Portfolio Terminations and 

Compactions ("PTC") on The SEF Trading System.

PLN PLN-WIBOR-WIBO IRS 2 -2

Standard, 

IMM, EOM, 

None

PLWA PLWA 10 

SEK SEK-STIBOR-SIDE IRS 2 -2

Standard, 

IMM, EOM, 

None

SEST SEST 30 

SGD SGD-SOR-REUTERS IRS 2 -2

Standard, 

IMM, EOM, 

None

SGSI SGSI 15 
Currency Float Rate Index Product Type

Start Date 

(Spot 

Starting)

Fixing Date 

Offset Roll Types

Holiday 

Business 

Centers - Float 

Fixing Dates

Holiday Business 

Centers - Effective 

and Payment Dates

Max Te

(yrs)

Holiday Business Day 

Convention

Schedule 1001 

IRS Fixed for Floating Swaps eligible for Portfolio Terminations and 

Compactions ("PTC") on The SEF Trading System.

USD USD-LIBOR-BBA IRS 2 -2

Standard, 

IMM, EOM, 

None

GBLO USNY, GBLO 50 

ZAR ZAR-JIBAR-SAFEX IRS 0 0

Standard, 

IMM, EOM, 

None

ZAJO ZAJO 10 
Float Leg Day 

Count

Fixed Leg Day 

Count

Max Tenor 

(yrs)

Valid Fixed 

Payment 

Frequencies

Valid Float 

Designated 

Maturities

Valid Float 

Payment 

Frequencies

Valid Float 

Reset 

Frequencie

s

Valid Stub Index 

Frequencies

Float Leg 

Day Count

F

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

30 1M, 3M, 6M, 12M, 1T 1M, 3M, 6M 1M, 3M, 6M, 12M, 1T 1M, 3M, 6M 1M, 2M, 3M, 4M, 5M, 6M ACT/365.FIX ED

A

A

A

A

3

A

BUS/252 BUS/252 n/a n/a n/a n/a n/a n/a n/a 

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

30 1M, 3M, 6M, 12M, 1T 1M, 3M, 6M, 12M 1M, 3M, 6M, 12M, 1T 1M, 3M, 6M, 12M 1M, 2M, 3M, 6M, 12M ACT/365.FIX ED

A

A

A

A

3

A

LCH 
Float Leg Day 

Count

Fixed Leg Day 

Count

Max Tenor 

(yrs)

Valid Fixed 

Payment 

Frequencies

Valid Float 

Designated 

Maturities

Valid Float 

Payment 

Frequencies

Valid Float 

Reset 

Frequencie

s

Valid Stub Index 

Frequencies

Float Leg 

Day Count

F

LCH 

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

30 1M, 3M, 6M, 12M, 1T 1M, 3M, 6M, 12M 1M, 3M, 6M, 12M, 1T 1M, 3M, 6M, 12M 1W, 1M, 2M, 3M, 6M, 12M ACT/360

A

A

A

A

3

A

n/a n/a n/a n/a n/a n/a n/a n/a n/a 

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

ACT/ACT.ICMA

30E/360

30E/360.ISDA

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

ACT/ACT.ICMA

30E/360

30E/360.ISDA

10 1M, 3M, 6M, 12M, 1T 1M, 3M, 6M, 12M 1M, 3M, 6M, 12M, 1T 1M, 3M, 6M, 12M 1W, 2W, 1M, 2M, 3M, 6M, 9M, 12M ACT/360

A

A

A

A

3

A
Float Leg Day 

Count

Fixed Leg Day 

Count

Max Tenor 

(yrs)

Valid Fixed 

Payment 

Frequencies

Valid Float 

Designated 

Maturities

Valid Float 

Payment 

Frequencies

Valid Float 

Reset 

Frequencie

s

Valid Stub Index 

Frequencies

Float Leg 

Day Count

F

LCH 

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

10 1M, 3M, 6M, 12M, 1T 1M, 3M, 6M, 12M 1M, 3M, 6M, 12M, 1T 1M, 3M, 6M, 12M 1W, 1M, 2M, 3M, 4M, 5M, 6M, 9M, 12M ACT/360

A

A

A

A

3

A

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

50 1M, 3M, 6M, 12M, 1T 1M, 3M, 6M, 12M 1M, 3M, 6M, 12M 1T 1M, 3M, 6M, 12M

EURIBOR:

1W, 2W, 1M, 2M, 

3M, 6M, 9M, 12M

LIBOR: 1W, 1M, 

2M, 3M, 6M, 12M

ACT/360

A

A

A

A

3

A

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

50 1M, 3M, 6M, 12M, 1T 1M, 3M, 6M, 12M 1M, 3M, 6M, 12M, 1T 1M, 3M, 6M, 12M 1W, 1M, 2M, 3M, 6M, 12M ACT/365.FIX ED

A

A

A

A

3

A
Float Leg Day 

Count

Fixed Leg Day 

Count

Max Tenor 

(yrs)

Valid Fixed 

Payment 

Frequencies

Valid Float 

Designated 

Maturities

Valid Float 

Payment 

Frequencies

Valid Float 

Reset 

Frequencie

s

Valid Stub Index 

Frequencies

Float Leg 

Day Count

F

LCH 

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

10 1M, 3M, 6M, 12M, 1T 1M, 3M, 6M, 12M 1M, 3M, 6M, 12M, 1T 1M, 3M, 6M, 12M 1M-12M ACT/365.FIX ED

A

A

A

A

3

A

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

10 1M, 3M, 6M, 12M, 1T 1M, 3M, 6M, 12M 1M, 3M, 6M, 12M, 1T 1M, 3M, 6M, 12M 1W, 2W, 1M- 12M ACT/360

A

A

A

A

3

A

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

40* 1M, 3M, 6M, 12M, 1T 1M, 3M, 6M, 12M 1M, 3M, 6M, 12M, 1T 1M, 3M, 6M, 12M 1W, 1M, 2M, 3M, 6M, 12M ACT/360

A

A

A

A

3

A
Float Leg Day 

Count

Fixed Leg Day 

Count

Max Tenor 

(yrs)

Valid Fixed 

Payment 

Frequencies

Valid Float 

Designated 

Maturities

Valid Float 

Payment 

Frequencies

Valid Float 

Reset 

Frequencie

s

Valid Stub Index 

Frequencies

Float Leg 

Day Count

F

LCH 

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

ACT/ACT.ICMA

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

ACT/ACT.ICMA

10.5 28D 28D 28D 28D 28D ACT/360

A

A

3

A

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

10 1M, 3M, 6M, 12M, 1T 1M, 3M, 6M, 12M 1M, 3M, 6M, 12M, 1T 1M, 3M, 6M, 12M 1W, 2W, 1M, 2M, 3M, 4M, 5M, 6M, 9M, 12M ACT/360

A

A

A

A

3

A

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

15 1M, 3M, 6M, 12M, 1T 1M, 3M, 6M 1M, 3M, 6M, 12M, 1T 1M, 3M, 6M 1M, 2M, 3M, 4M, 5M, 6M ACT/365.FIX ED

A

A

A

A

3

A
Float Leg Day 

Count

Fixed Leg Day 

Count

Max Tenor 

(yrs)

Valid Fixed 

Payment 

Frequencies

Valid Float 

Designated 

Maturities

Valid Float 

Payment 

Frequencies

Valid Float 

Reset 

Frequencie

s

Valid Stub Index 

Frequencies

Float Leg 

Day Count

F

LCH 

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

10 1M, 3M, 6M, 12M, 1T 1M, 3M, 6M, 12M 1M, 3M, 6M, 12M, 1T 1M, 3M, 6M, 12M 1W, 2W, 1M, 3M, 6M, 9M, 12M ACT/365.FIX ED

A

A

A

A

3

A

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

30 1M, 3M, 6M, 12M, 1T 1M, 3M, 6M, 12M 1M, 3M, 6M, 12M, 1T 1M, 3M, 6M, 12M 1W, 1M, 2M, 3M, 6M, 9M, 12M ACT/360

A

A

A

A

3

A

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

10 1M, 3M, 6M, 12M, 1T 1M, 3M, 6M, 12M 1M, 3M, 6M, 12M, 1T 1M, 3M, 6M, 12M 1W, 1M, 2M, 3M, 6M, 9M, 12M ACT/365.FIX ED

A

A

A

3

A
Float Leg Day 

Count

Fixed Leg Day 

Count

Max Tenor 

(yrs)

Valid Fixed 

Payment 

Frequencies

Valid Float 

Designated 

Maturities

Valid Float 

Payment 

Frequencies

Valid Float 

Reset 

Frequencie

s

Valid Stub Index 

Frequencies

Float Leg 

Day Count

F

LCH 

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

50 1M, 3M, 6M, 12M, 1T 1M, 3M, 6M, 12M 1M, 3M, 6M, 12M, 1T 1M, 3M, 6M, 12M 1W, 1M, 2M, 3M, 6M, 12M ACT/360

A

A

A

A

3

A

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

10 1M, 3M, 6M, 12M, 1T 1M, 3M, 6M, 12M 1M, 3M, 6M, 12M, 1T 1M, 3M, 6M, 12M 1M, 3M, 6M, 9M, 12M ACT/365.FIX ED

A

A

A

A

3

A
Valid Float Reset 

Frequencies

Valid Stub 

Index 

Frequencies

Float Leg Day 

Count

Fixed Leg Day 

Count

1M, 3M, 6M, 12M

1D, 1M, 2M, 

3M, 4M, 5M, 

6M

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA

1D n/a BUS/252 BUS/252

1M, 3M, 6M, 12M 

1T

1M, 2M, 3M, 

6M, 12M

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA

CLEARED
Valid Float Reset 

Frequencies

Valid Stub 

Index 

Frequencies

Float Leg Day 

Count

Fixed Leg Day 

Count

CLEARED

1M, 3M, 6M, 12M, 

1T

1W, 1M, 2M, 

3M, 6M, 12M

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

1M, 3M, 6M, 12M, 

1T

1M, 2M, 3M, 

6M, 12M

30/360

30E/360

30E/360.ISDA

ACT/360

ACT/365.Fixed

ACT/ACT.ISDA

ACT/ACT.ICMA

30/360

30E/360

30E/360.ISDA

ACT/360

ACT/365.Fixed

ACT/ACT.ISDA

ACT/ACT.ICMA

1M, 3M, 6M, 12M, 

1T

1W, 2W, 1M, 

2M, 3M, 6M, 

9M, 12M

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 
Valid Float Reset 

Frequencies

Valid Stub 

Index 

Frequencies

Float Leg Day 

Count

Fixed Leg Day 

Count

CLEARED

1M, 3M, 6M, 12M, 

1T

1W, 1M, 2M, 

3M, 4M, 5M, 

6M, 9M, 12M

30/360

30E/360

30E/360.ISDA

ACT/360

ACT/365.Fixed

ACT/ACT.ISDA

ACT/ACT.ICMA

30/360

30E/360

30E/360.ISDA

ACT/360

ACT/365.Fixed

ACT/ACT.ISDA

ACT/ACT.ICMA

1M, 3M, 6M, 12M, 

1T

1W, 2W, 1M, 

2M, 3M, 6M, 

9M, 12M

30/360

30E/360

30E/360.ISDA

ACT/360

ACT/365.Fixed

ACT/ACT.ISDA

ACT/ACT.ICMA

30/360

30E/360

30E/360.ISDA

ACT/360

ACT/365.Fixed

ACT/ACT.ISDA

ACT/ACT.ICMA

1M, 3M, 6M, 12M, 

1T

1W, 1M, 2M, 

3M, 6M, 12M

30/360

30E/360

30E/360.ISDA

ACT/360

ACT/365.Fixed

ACT/ACT.ISDA

ACT/ACT.ICMA

30/360

30E/360

30E/360.ISDA

ACT/360

ACT/365.Fixed

ACT/ACT.ISDA

ACT/ACT.ICMA
Valid Float Reset 

Frequencies

Valid Stub 

Index 

Frequencies

Float Leg Day 

Count

Fixed Leg Day 

Count

CLEARED

1M, 3M, 6M, 12M, 

1T

1W, 2W, 1M, 

2M, 3M, 4M, 5M, 6M, 7M, 

8M, 9M, 10M, 

11M, 12M

30/360

30E/360

30E/360.ISDA

ACT/360

ACT/365.Fixed

ACT/ACT.ISDA

ACT/ACT.ICMA

30/360

30E/360

30E/360.ISDA

ACT/360

ACT/365.Fixed

ACT/ACT.ISDA

ACT/ACT.ICMA

1M, 3M, 6M, 12M, 

1T

1W, 2W, 1M, 

2M, 3M, 6M, 

9M, 12M

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

1M, 3M, 6M, 12M, 

1T

1W, 1M, 2M, 

3M, 6M, 12M

30/360

30E/360

30E/360.ISDA

ACT/360

ACT/365.Fixed

ACT/ACT.ISDA

ACT/ACT.ICMA

30/360

30E/360

30E/360.ISDA

ACT/360

ACT/365.Fixed

ACT/ACT.ISDA

ACT/ACT.ICMA
Valid Float Reset 

Frequencies

Valid Stub 

Index 

Frequencies

Float Leg Day 

Count

Fixed Leg Day 

Count

CLEARED

28D 28D

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA

1M, 3M, 6M, 1T 1W, 1M, 2M, 3M, 6M

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

1M, 3M, 6M, 12M, 

1T

1D, 1M, 2M, 

3M, 4M, 5M, 

6M

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA
Valid Float Reset 

Frequencies

Valid Stub 

Index 

Frequencies

Float Leg Day 

Count

Fixed Leg Day 

Count

CLEARED

1M, 3M, 6M, 12M, 

1T

1W, 2W, 1M, 

3M, 6M, 9M, 

12M

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

1M, 3M, 6M, 12M, 

1T

1W, 1M, 2M, 

3M, 6M, 9M, 

12M

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

1M, 3M, 6M, 12M, 

1T

1W, 1M, 2M, 

3M, 6M, 9M, 

12M

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA
Valid Float Reset 

Frequencies

Valid Stub 

Index 

Frequencies

Float Leg Day 

Count

Fixed Leg Day 

Count

CLEARED

1M, 3M, 6M, 12M, 

1T

1W, 1M, 2M, 

3M, 6M, 12M

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA

1M, 3M, 6M, 12M, 

1T

1M, 3M, 6M, 

12M

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA