NEX SEF LIMITED

Facility Rulebook

Version 1.81.9

May 2018

© Copyright 2018 NEX SEF Limited

All Rights Reserved.

NEX SEF-2018-R-4 Exhibit C
Rule 701 Choice of Law 67

Rule 702 Disputes Among Trading Privilege Holders, Authorised Traders, Authorised Trading Firms and

Customers 67

Rule 703 Complaints to and Disputes With NEX SEF 67

CHAPTER 8 CONTRACT SPECIFICATIONS 68

Rule 801 NDF Product Descriptions 68

Rule 802 Interest Rate Swaps Products Descriptions 70

Rule 803 FX Options Products Descriptions 8485

iv
Rule 802(2) — Basis Swaps

A Basis Swap is an Interest Rate Swap for which settlement is in the form of periodic floating interest

payments and periodic floating interest payments based on interest rate benchmarks over a term to

maturity. The interest rate payments are exchanged for a specified period based on a notional amount.

Currencies

USD

EUR

Specifications

Trading Conventions

o Buyer (Payer) pays floating interest rate plus/minus a spread and receives floating interest

rate.

o Seller (Receiver) receives floating interest rate plus/minus a spread and pays floating interest

rate.

Swap Leg Conventions

o The terms of Floating vs. Floating Interest Rate Swaps are based on a number of

combinations of the criteria below.

 Floating Leg 1

• Payment Frequency

o Monthly, Quarterly, Semi-Annually, or Annually

• Day Count Convention

o Money Market Basis (actual/360), actual/365,

actual/actual, actual/366, 360/360, 30/360, 30E/360 or

AFI/365

• Holiday Calendar

o Applied in accordance for the country currency denoted

for the instrument

• Business Day Convention

o Modified Following with adjustment to period end dates.

Business days in this convention must be valid business

days on both the calendars. If not, it will be the next day

that is a business day on both calendars.

• Floating Rate

o The floating interest rate yield or basis points on Trade

Date

 Floating Leg 2

• Reset Frequency

o Monthly, Quarterly, Semi-Annual or Annually

• Day Count Convention

o Actual/360, actual/365, 360/360, 30/360, 30E/360,

Actual Fixed/365, actual /366, actual / actual

• Holiday Calendar.

o Applied in accordance for the country currency denoted

for the instrument

• Business Day Convention

o Modified Following with adjustment to period end dates

 Business days in this convention must be valid

business days on both calendars

 If not, it will be the next day that is a business

day on calendars.

• Interest Rate Benchmark

o LIBOR, EURIBOR

Effective Date

80
Rule 802 Interest Rate Swaps Products Descriptions

Trading Hours

Unless otherwise indicated in a Swap's specifications, the trading hours for all Swaps governed by this

Rule 802 are as follows:

o Order Book: 24 Hours, beginning at 5:00 am Sydney time Monday and ending at 5:30 p.m.

Eastern Time on Friday.

o Voice RFQ: Not Available.

o All Pre-Arranged Crosses: 24 Hours, beginning at 3:00 am Sydney time Monday and ending

at 5:30 p.m. Eastern Time on Friday.

Products — Rule 802:

(1) Fixed for Floating IRS

(2) Basis Swaps

(3) Forward Rate Agreements (FRA)

(4) Non Deliverables Swaps (NDS)

(5) Inflation Swaps
Rule 802(1) — Fixed for Floating IRS

A Fixed for Floating IRS 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 an interest rate over a

term to maturity. The interest rate payments are exchanged for a specified period based on a notional

amount.

Currencies

AUD SGD NZD

ZAR CAD HKD

JPY MXN THB

USD

Specifications

Trading Conventions

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

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

Swap Leg Conventions

• The terms of Fixed versus Floating Interest Rate Swaps are based on a number

of combinations of the criteria below.

 Fixed Leg

• Payment Frequency

o Monthly, Quarterly, Semi-Annually, or Annually

• Day Count Convention

o Actual/360, actual/365, 360/360, 30/360, 30E/360,

Actual Fixed/365, actual /366, actual / actual

• Holiday Calendar

o Applied in accordance for the country currency denoted

for the instrument

• Business Day Convention

o Modified following with adjustment to period end dates.

Business days in this convention must be valid business

days for the countries denoted by the currency. If not, it

will be the next day that is a business day on both

calendars.

• Fixed Rate

o The traded interest rate yield or basis points on Trade

Date

 Floating Leg

• Reset Frequency

o Monthly, Quarterly, Semi-Annual

• Day Count Convention

o Actual/360, actual/365, 360/360, 30/360, 30E/360,

Actual Fixed/365, actual /366, actual / actual

• Holiday Calendar

o Applied in accordance for the country currency denoted

for the instrument

• Business Day Convention

o Modified Following with adjustment to period end dates.

Business days in this convention must be valid business

days for the countries denoted by the currency. If not, it

will be the next day that is a business day on both

calendars.

76
• Fixed Rate

o The traded interest rate yield or basis points on Trade

Date

• Interest Rate Benchmark

AUD-BBR-BBSW

SGD-SOR-VWAP

NZD-BBR-FRA

ZAR-JIBAR-SAFEX

CAD-BA-CDOR

HKD-HIBOR-HKAB

JPY-LIBOR-BBA

MXN-TIIE-Banxico

THB-THBFIX-Reuters

MYR-KLIBOR-BNM

USD-LIBOR-BBA

Effective Date

o The first date from which fixed and floating interest amounts accrue. It is also referred to as

the Start Date or the Value Date. The Effective Date of the Swap must be a business day

subject to the appropriate Business Day Convention.

Trade Start Type

o Spot Starting

 A swap whose Effective Date is 2 business days from the Trade Date

(T+2).

o Forward Starting

 A swap whose Effective Date is anything after the Effective Date for a

Spot Starting swap.

Maturity Date

o The final date until which Fixed and Floating amounts accrue

Tenor

o The duration of time from the Effective Date to the Maturity Date. Tenors of any duration

greater than 0 years to 50 years.

 Listed Tenors, also known as On-the-Run, are whole calendar year Spot

Starting Contracts with a Tenor of 1 through 50 years.

 Other Tenors, also known as Off-the-Run, means any partial year Tenor

(Months, Weeks, Days).

Roll Day Convention

o 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.

o 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.

Floating Reset Dates

o 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 aligned with

the floating rate frequency as determined.

First Period Fixing Date

77
o For Spot Starting swaps, the Interest Rate for the first interest period is fixed on the Trade

Date, for both Floating and Fixed Rates.

o 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 2 business days prior to the

first floating payment date, taking into account agreed non-working days

Stub Period Rate

o For swaps with partial year Tenors, an interest period that is shorter than the standard

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

or last 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 this can be applied either at the start or end of that period: Front or Back.

Trade Types

o The Platform may support the following trade types:

 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.

 Switches or Spreads

• Is the simultaneous purchase and sale of two different Tenors of

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

 Butterflies

• Butterflies are a combination of two spreads/switches (e.g.

2 year by 5 year by 10 year).

Contract Size

o Minimum notional size is dependent on currency and tenor

Quoting Convention

o Outrights

 The interest rate yield quoted is dependent on currency

 Spreads and Butterflies will be quoted in basis points dependent in

multiples of the increments of the underlying Outrights

Final Settlement Price

o 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:

 Fixed Leg

• Payment amount on the fixed leg is based on the traded price

and notional amounts 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.

 Floating Leg

• Payment on the floating leg is based on the Interest Rate and

notional amounts 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.

78
Clearing

o Contracts are elibiglefor ZAR and SGD are clearable at the election of the counterparties on

the Effective Date at LCH. Clearnet, CME and ASX. All other Contracts are eligible to be

cleared at LCH. Clearnet, CME and ASX. Please see clearable contract definitions at

http://www.lchclearnet.com/, http://www.cmegroup.com/, and

http://www.asx.com.au/services/clearing/asx-clear-futures.htm.

79
Rule 802(2) — Basis Swaps

A Basis Swap is an Interest Rate Swap for which settlement is in the form of periodic floating interest

payments and periodic floating interest payments based on interest rate benchmarks over a term to

maturity. The interest rate payments are exchanged for a specified period based on a notional amount.

Currencies

USD

EUR

Specifications

Trading Conventions

o Buyer (Payer) pays floating interest rate plus/minus a spread and receives floating interest

rate.

o Seller (Receiver) receives floating interest rate plus/minus a spread and pays floating interest

rate.

Swap Leg Conventions

o The terms of Floating vs. Floating Interest Rate Swaps are based on a number of

combinations of the criteria below.

 Floating Leg 1

• Payment Frequency

o Monthly, Quarterly, Semi-Annually, or Annually

• Day Count Convention

o Money Market Basis (actual/360), actual/365,

actual/actual, actual/366, 360/360, 30/360, 30E/360 or

AFI/365

• Holiday Calendar

o Applied in accordance for the country currency denoted

for the instrument

• Business Day Convention

o Modified Following with adjustment to period end dates.

Business days in this convention must be valid business

days on both the calendars. If not, it will be the next day

that is a business day on both calendars.

• Floating Rate

o The floating interest rate yield or basis points on Trade

Date

 Floating Leg 2

• Reset Frequency

o Monthly, Quarterly, Semi-Annual or Annually

• Day Count Convention

o Actual/360, actual/365, 360/360, 30/360, 30E/360,

Actual Fixed/365, actual /366, actual / actual

• Holiday Calendar.

o Applied in accordance for the country currency denoted

for the instrument

• Business Day Convention

o Modified Following with adjustment to period end dates

 Business days in this convention must be valid

business days on both calendars

 If not, it will be the next day that is a business

day on calendars.

• Interest Rate Benchmark

o LIBOR, EURIBOR

Effective Date

80
o The first date from which floating interest amounts accrue. It is also referred to as the Start

Date or the Value Date. The Effective Date of the Swap must be a business day subject to

the appropriate Business Day Convention.

Trade Start Type

o Spot Starting

 A swap whose Effective Date is 2 business days from the Trade Date

(T+2).

o Forward Starting

 A swap whose Effective Date is anything after the Effective Date for a

Spot Starting swap.

Maturity Date

o The final date until which Floating amounts accrue. The Maturity Date may also be referred

to as the Termination Date or End Date.

Tenor

o The duration of time from the Effective Date to the Maturity Date. The Exchange will support

Tenors of any duration greater than 0 years to 50 years.

o Listed Tenors, also referred to as On-the-Run, means whole year Spot Starting or Same Day

Starting Instruments with a Tenor of 1 through 50 years.

o Other Tenors means any whole year Tenors other than the Listed Tenors and any partial

year Tenor.

Roll Day Convention

o The date used for determining all fixed and floating Reset Dates. Roll Days define the

beginning and end of Floating interest accrual periods.

o For On-the-Run Instruments, the Roll Day is the same date of the month as the Effective

Date. For Off-the-Run Instruments, 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.

 Note: Subject to good business days – as with all instruments, will never

roll forward to the following month.

Floating Reset Dates

o Dates utilized to determine the Floating Rate amounts for each interest accrual period during

the Tenor of the Instrument. Except in the case of a Stub Period, the Reset Date is 2

business days (USD or EUR) prior to the Roll Date for that interest accrual period.

First Period Fixing Date

o For Spot Starting and Same Day Starting swaps, the Interest Rate for the first interest period

is fixed on the Trade Date, for both Floating Rates.

o For Forward Starting swaps, the Floating Rate for the first interest period is fixed on the

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

the Effective Date.

Stub Period Rate

o For swaps with partial year Tenors, an interest period that is shorter than the standard

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

or last 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 this can be applied either at the start or end of that period: Front or Back.

Trade Types

o The Platform may support the following trade types:

 Outrights

• An Outright swap is where one party is the payer of the floating

rate 1 plus/minus a spread and receiver of the floating rate 2 and

the other party is the receiver of the floating rate 1 plus/minus a

spread and payer of the floating rate 2.

 Switches

• Switches are the simultaneous purchase and sale of two

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

 Butterflies

81
• 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).

Instrument minimum and incremental Size.

o Minimum notional size is dependent on currency and tenor

o Block Trades

 Minimum notional size as stated by the Commission and increments

dependent on currency and tenor.

Quoting Convention

o Outrights are quoted in interest rate yield is dependent on currency.

o Spreads and Butterflies are quoted in interest rate yield differential in minimum 1/10th basis

point increments.

 Spot Starting

• Close of business on Trade Date.

 Forward Starting

• Close of business three business days prior to the Effective Date

of the swap.

 Block Trades must occur outside the Order Book and in a quantity that

meets or exceeds Appropriate Minimum Block Sizes set by the

Commission.

Clearing

o Contracts are elibigle to be cleared at LCH. Clearnet and CME. Please see

clearable contract definitions at http://www.lchclearnet.com/ and

http://www.cmegroup.com/

82
Rule 802(3) — Forward Rate Agreement (FRA)

A Forward Rate Agreement is an Interest Rate Swap for which settlement is in the form of one fixed

interest payment and one floating interest payment based on an interest rate benchmark to be paid or

received on an obligation beginning at a future start date. The interest rate payments are exchanged

based on a notional amount.

Currencies

USD DKK

EUR NOK

GBP PLN

CHF CZK

SEK HUF

Specifications

Trading Conventions

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

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

Swap Leg Conventions

o The terms of FRAs are based on a number of combinations of the criteria below.

 Fixed Leg

• Payment Frequency

o Once

• Day Count Convention

o Money Market Basis (actual/360), or actual/365, 30/360,

30E/360, AFI/360, 360/360

• Holiday Calendar

o Applied in accordance with the country relating to the

currency of the instrument

• Business Day Convention

o Modified Following with adjustment to period end dates.

Business days in this convention must be valid business

days on both the holiday calendars of that country. If

not, it will be the next day that is a business day on both

calendars.

• Fixed Rate

o The traded interest rate yield or basis points on Trade

Date

 Floating Leg

• Reset Frequency

o Once

• Day Count Convention

o Money Market Basis (actual/360), or actual/365, 30/360,

30E/360, AFI/360, 360/360

• Holiday Calendar

o Applied in accordance with the country relating to the

currency of the instrument

• Business Day Convention

o Modified Following with adjustment to period end dates.

Business days in this convention must be valid business

days on both the calendars for each country. If not, it

will be the next day that is a business day on both

respective country holiday calendars.

• Interest Rate Benchmark

83
o LIBOR, EURIBOR, PRIBOR, CIBOR2, BUBOR, NIBOR,

WIBOR, STIBOR

Effective Date

o The first date from which fixed and floating interest amounts accrue. It is also referred to as

the Start Date or the Value Date. The Effective Date of the Swap must be a business day

subject to the appropriate Business Day Convention.

Trade Start Type

o Spot Starting

 A swap whose Effective Date is 2 business days from the Trade Date

(T+2).

o Forward Starting

 A swap whose Effective Date is anything after the Effective Date for a

Spot Starting swap.

Maturity Date

o 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.

Tenor

o The duration of time from the Effective Date to the Maturity Date Tenors will be support for

any duration greater than 0 month to 12 months.

o Listed Tenors, also referred to as On-the-Run, means whole year Spot Starting or Same Day

Starting Instruments with a Tenor of an integer number of months.

o Other Tenors means any Tenors other than the Listed Tenors.

Floating Reset Dates

o Dates utilized to determine the Floating Rate amount for the interest accrual period during the

Tenor of the Instrument. Except in the case of a Stub Period, the Reset Date is adjusted

business days dependent on the currency prior to the Roll Date for that interest accrual

period.

First Period Fixing Date

o 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 2 business days prior to the Effective Date

Trade Types

o The Platform may support the following trade types:

 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 rate and payer of the floating rate.

 Switches also known as Spreads

• These are the simultaneous purchase and sale of two different

Tenors of the yield curve (e.g.3x6 by 9x12).

Instrument minimum and incremental Size.

o Minimum notional size is dependent on currency and tenor

o Block Trades. Minimum notional size as stated by the Commission and increments

Dependent on currency and tenor

Quoting Convention

o Outrights are quoted in interest rate yield is dependent on currency.

o Spreads/Switches will be quoted in basis points dependent in multiples of the increments of

the underlying Outrights

Last Trading Day

o Spot Starting

 Close of business on Trade Date.

o Forward Starting

 Close of business three business days prior to the Effective Date of the

swap.

84
Clearing

o Contracts are elibigle to be cleared at LCH. Clearnet and ASX. Contracts in certain

currencies, as indicated by the Facility, are eligible to be cleared at Eurex. Please see

clearable contract definitions at http://www.lchclearnet.com/,

http://www.asx.com.au/services/clearing/asx-clear-futures.htm and

https://www.eurexclearing.com/clearing-en/resources/rules-and-regulations.

o Eurex does not provide express or implied warranties or representations to swap

counterparties executing Swaps on the Facility’s platform relating to any of the services or

facilities provided by the Facility, including but not limited to, the warranties of merchantability

and fitness for a particular purpose or use. Eurex shall not have any liability or obligation to

any swap counterparty using the Facility’s platform.

85
Rule 802(4) — Non Deliverable Swaps

An ND IRS trade has many trade terms. For example, notional amount, fixed interest rate, floating rate,

reference rate, holiday convention, etc. The deal is agreed on the basis that net settlement will be made

in USD, or another fully convertible currency, to reflect any differential between the agreed fixed rate and

the actual floating rate on the settlement dates. ND IRS are quoted as Offer/Bid. For ND IRS the fixed

leg is quoted, hence it is Fixed Income Swap.

ND IRS

o An agreement between two parties (known as counterparties) where one stream of future

interest payments is exchanged for another based on a specified principal amount. Interest

rate swaps often exchange a fixed payment for a floating payment that is linked to an interest

rate (most often the LIBOR). The interest rate cash flows are net settled in a major currency

on fixing date. A company will typically use interest rate swaps to limit or manage exposure

to fluctuations in interest rates, or to obtain a marginally lower interest rate than it would have

been able to get without the swap.

o Interest rate swaps are simply the exchange of one set of cash flows (based on interest rate

specifications) for another. Because they trade OTC, they are really just contracts set up

between two or more parties, and thus can be customized in any number of ways.

Currencies

MYR

Specifications

Trading Conventions

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

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

Swap Leg Conventions

o The terms of Non Deliverable Swaps are based on a number of combinations of the criteria

below.

 Fixed Leg

• Payment Frequency

o Monthly, Quarterly, Semi-Annually, or Annually

• Day Count Convention

o Actual/360, actual/365, 360/360, 30/360, 30E/360,

Actual Fixed/365, actual /366, actual / actual

• Holiday Calendar

o Applied in accordance for the country currency denoted

for the instrument

• Business Day Convention

o Modified following with adjustment to period end dates.

Business days in this convention must be valid business

days for the countries denoted by the currency. If not, it

will be the next day that is a business day on both

calendars.

• Fixed Rate

o The traded interest rate yield or basis points on Trade

Date

 Floating Leg

• Reset Frequency

o Monthly or Quarterly

• Day Count Convention

86
o Actual/360, actual/365, 360/360, 30/360, 30E/360,

Actual Fixed/365, actual /366, actual / actual

• Holiday Calendar

o Applied in accordance for the country currency denoted

for the instrument

• Business Day Convention

o Modified Following with adjustment to period end dates.

Business days in this convention must be valid business

days for the countries denoted by the currency. If not, it

will be the next day that is a business day on both

calendars.

• Fixed Rate

o The traded interest rate yield or basis points on Trade

Date

• Interest Rate Benchmark

 KLIBOR

Effective Date

o The first date from which fixed and floating interest amounts accrue. It is also referred to as

the Start Date or the Value Date. The Effective Date of the Swap must be a business day

subject to the appropriate Business Day Convention.

Trade Start Type

o Spot Starting.

 A swap whose Effective Date is 2 business days from the Trade Date

(T+2).

o Forward Starting

 A swap whose Effective Date is anything after the Effective Date for a

Spot Starting swap.

Maturity Date

o The final date until which Fixed and Floating amounts accrue

Tenor

o The duration of time from the Effective Date to the Maturity Date. Tenors of any duration,

greater than 0 months to 3 months.

Roll Day Convention

o 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

o Roll Day marks the start of a new interest accrual period, and is the date on which a Reset

Rate takes effect.

Trade Types

o The Platform may support the following trade types:

 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.

Clearing

o Non Deliverable Swaps traded on NEX SEF are not cleared.

87
Rule 802(5) — Inflation Swaps

The buyer of an inflation swap pays a fixed interest rate and receives the agreed floating inflation rate:

• Tenor

• Fixed Rate (Traded Price)

• Inflation Rate benchmark – this can be any inflation benchmark that settles in the listed

currencies

• Optional forward start

Currencies

GBP

EUR

USD

Specifications

Payment Frequency

o The payment frequency will be an agreed, valid, calendar integer

Day Count Convention

o ACT/360

o ACT/365

o 360/360

o 30/360

o 30E/360

o AFI/365

o ACT/361

o ACT/ACT

Holiday Calendar Conventions

o NEW YORK

o LONDON

o EUROPE

Business Day Conventions

o Modified

o Modified Following

Effective Date

o The effective date will be a valid business day

Maturity Date

o Effective date + tenor of swap

Tenors

o 0 – 10 years inclusive

Roll Dates

o 0 – 10 years inclusive

Fixing Dates

o The fixing date(s) will be a valid calendar day

Settlement

o Are cash settled in line with the payment frequency

Contract Size

o Minimum and Incremental Sizes

 The minimum size for an instrument in this category is 1,000 units of the

currency of the underlying index of the trade

 There is no minimum incremental size for instruments in this category

Quoting Convention

o Inflation Swaps are all quoted in basis points

Benchmark Interest Rates

o Inflation Swaps will be limited to all or a subset of the following underlying benchmark

indices:

88
EUR-HICPXT-Telerate

GBP-UKRPI-BBA

GBP-USCPI-BBA

EUR-FRCPI-Telerate

Minimum and Incremental Price

o There is no minimum price

o There is no minimum incremental price

Clearing

o Contracts are elibigle to be cleared at LCH. Clearnet. Please see clearable contract

definitions at http://www.lchclearnet.com/.

89