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Currency and

Floating Rate Index - Time Period

Transaction Types

Contract Size

 Outright  Benchmark Spread

 Off Benchmark Spread

 Rate Switch

 Spread Switch

 Butterfly

 Combinations of above

As agreed by the parties.

Fixed Leg

U.S. Dollar (USD)

 Payment Frequency: Quarterly; Semi-Annual; or Annual  Day Count Convention: 30/360; Actual/360

Contract Description

Floating Leg

Minimum Size

 Quarterly (3M) or Semi-Annual (3M or greater)  Day Count Convention: Actual/360

London Interbank Offered Rate (LIBOR) - 1

Month, 3 Month, 6 Month

As agreed by the parties.

Notional Fixed Notional

Fixed Rate Types

Effective Date / Start

Date

 Par  Standard Coupon (for Market Agreed Coupon (“MAC”) contracts)

A fixed-to-floating swap is an agreement between two parties to exchange a

fixed interest payment for a floating interest payment that is based on one of the

indices listed below.

The date on which parties begin calculating accrued obligations such as fixed

and floating interest rate payments.

Holiday Calendar(s) NY/London

Chapter 9. SWAPS

901. Swap Specifications

Each Swap will meet such specifications, and all trading in such Swap will be subject to such

procedures and requirements, as described in the terms and conditions governing such Swap (as

set forth below and in the Company’s technical specifications) and will be posted on the website of

the Company (www.tradeweb.com).

(a) Interest Rate Swaps - Fixed-to-Floating

Business Day

Conventions

Stated Maturity

Range / Maturity Date

Following

Modified Following

Canadian Dollar (CAD)

30 days to 50 years | The final date on which the obligations no longer accrue

and the final payment occurs.

Periodic Settlement:

Payment and Resets

 Fixed Leg: The payment amount of the Fixed Leg is based on the

following: Notional, Payment Frequency, Day Count Convention and

Fixed Interest Rate.  Floating Leg: The payment amount of the Floating Leg is based on the

following: Notional, Payment Frequency, Day Count Convention, Floating

Interest Rate Index and Floating Reset Dates.

Canadian Dealer Offered Rate (CDOR) - 1

Month, 3 Month, 6 Month

Trade Start Types

 Spot Starting (T+2)  IMM Start Date (September, December, March, June).
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Dual Currencies

LCH.Clearnet Limited (“LCH”) and Chicago Mercantile Exchange Inc. (“CME”).

No

Block Size See Rule 411 and CFTC Regulation Part 43, Appendix F. Reportable Levels

Settlement Procedure

See Rule 409 and CFTC Regulation 15.03.

Optionality

As determined by the DCO.

Position Limits See Rule 408 and CFTC Regulation Part 150.

No

Reporting

Trading Hours

All trades reported to SDR in accordance with CFTC requirements.

Trading hours of DW SEF.

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

DCO(s)
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Modified Following

Floating Leg 1

Effective Date / Start

Date

 Payment Frequency: Quarterly; Semi-Annual; or Annual  Day Count Convention: 30/360; Actual/360

A basis swap is an agreement between two parties to exchange a floating

interest payment based on a reference rate for a floating interest payment

based on a different reference rate in the same currency.

As agreed by the parties.

Floating Leg 2

 Payment Frequency: Quarterly; Semi-Annual; or Annual  Day Count Convention: 30/360; Actual/360

(b) Interest Rate Swaps - Basis

Periodic Settlement:

Payment and Resets

Stated Maturity

Range / Maturity Date

 Floating Leg 1: The payment amount of the Floating Leg 1 is based on

the following: Notional, Payment Frequency, Day Count Convention, Floating Interest Rate Index, and Floating Reset Dates.  Floating Leg 2: The payment amount of the Floating Leg 2 is based on

the following: 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.

CAD

1 month to 50 years | The final date on which the obligations no longer accrue

and the final payment occurs.

Optionality No

CDOR - 1 Month, 3 Month, 6 Month

Dual Currencies

First Fixing Date

No

 The first LIBOR Fixing Date is 2 London business days prior to the

Effective Date.

Settlement Procedure As determined by the DCO.

Currency and

Floating Rate Index - Time Period

Trading Hours

Trade Start Types

Trading hours of DW SEF.

Contract Size

 Spot Starting (T+2)

DCO(s) LCH.Clearnet Limited (“LCH”) and Chicago Mercantile Exchange Inc. (“CME”).

As agreed by the parties.

Block Size

Notional

See Rule 411 and CFTC Regulation Part 43, Appendix F.

USD

Fixed Notional

Reportable Levels See Rule 409 and CFTC Regulation 15.03.

Contract Description

Position Limits

Holiday Calendar

See Rule 408 and CFTC Regulation Part 150.

Minimum Size

NY/London

LIBOR - 1 Month, 3 Month, 6 Month

As agreed by the parties.

Business Day

Conventions
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Reporting All trades reported to SDR in accordance with CFTC requirements.
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Federal Funds

Fixed Leg

 Payment Frequency: Term and Annual  Day Count Convention: Actual/360F

CHF

Floating Leg

 Term and Annual  Day Count Convention: Actual/360

Swiss Franc Tom/Next Index Swaps (TOIS)

An Overnight Index Swap (OIS) is an agreement between two parties to

exchange a fixed interest payment for a floating interest payment based on the

geometric average of an overnight index over every day of the payment period.

Notional Fixed Notional

Contract Size

Holiday Calendar(s)

(c) Overnight Indexed Swaps - Fixed for Floating

Federal and TARGET

As agreed by parties.

EUR

Business Day

Conventions

Modified Following

Minimum Size

Periodic Settlement:

Payment and Resets

Euro Overnight Index Average (EONIA)

 Fixed Leg: The payment amount of the Fixed Leg is based on the

following: Notional, Payment Frequency, Day Count Convention and

Fixed Interest Rate.  Floating Leg: The payment amount of the Floating Leg is based on the

following: 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.

As agreed by parties.

Optionality No

Effective Date / Start

Date

Dual Currencies

Currency and

Floating Rate Index

No

The date on which parties begin calculating accrued obligations such as fixed

and floating interest rate payments.

Settlement Procedure As determined by the DCO.

Stated Maturity

Range / Maturity Date

Trading Hours

GBP

Trading hours of DW SEF.

7 days to 30 years | The final date on which the obligations no longer accrue

and the final payment occurs.

USD

DCO(s) LCH and CME

Sterling Overnight Index Average (SONIA)

Trade Start Types

Contract Description

 Spot Starting (T+2)  Forward Starting (starting on next Federal Reserve Announcement Date)
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See Rule 408 and CFTC Regulation Part 150. Reporting

Reportable Levels

All trades reported to SDR in accordance with CFTC requirements.

Block Size

See Rule 409 and CFTC Regulation 15.03.

See Rule 411 and CFTC Regulation Part 43, Appendix F.

Position Limits
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Contract Description

Holiday Calendar(s) London/NY

Maturity Date / End

Date

Fixed Leg

The final date until which fixed and floating interest amounts accrue.

 Payment Frequency: One Time

 Day Count Convention: Actual/360

Contract Size

Floating Leg

A Forward Rate Agreement (FRA) is a one period Interest Rate Swap (IRS)

where one party buys (pays) a fixed interest rate and receives a floating interest

rate and one party sells (receives) a fixed interest rate and pays a floating

interest rate.

 Payment Frequency: One Time

 Day Count Convention: Actual/360

Tenor / Duration

As agreed by parties.

Periodic Settlement:

Payment and Resets

1 Month, 3 Month, 6 Month

 Fixed Leg: The payment amount of the Fixed Leg is based on the

following: Notional, Payment Frequency, Day Count Convention and

Fixed Interest Rate.  Floating Leg: The payment amount of the Floating Leg is based on the

following: 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.

(d) US Dollar denominated Forward Rate Agreements

Fixed Rate Type Par

Notional

Optionality

Fixed Notional

No

Minimum Size

Dual Currencies No

Trade Start Types

As agreed by parties.

Settlement Procedure

 Spot Starting (T+2)  IMM Start Date (September, December, March, June)  Forward Start Date

As determined by the DCO.

Currency and

Floating Rate Index – Time Period

Trading Hours Trading hours of DW SEF.

Fixing Date

DCO(s)

LIBOR fixing date is two London business days prior to the effective date

LCH and CME

Effective Date / Start

Date

USD – LIBOR (1 Month, 3 Months, 6 Months)

Business Day

Conventions

The first date from which fixed and floating interest amounts accrue.

Modified Following
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See Rule 408 and CFTC Regulation Part 150. Reporting

Reportable Levels

All trades reported to SDR in accordance with CFTC requirements.

Block Size

See Rule 409 and CFTC Regulation 15.03.

See Rule 411 and CFTC Regulation Part 43, Appendix F.

Position Limits
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Contract Description

Holiday Calendar(s) Toronto

Maturity Date / End

Date

Fixed Leg

The final date until which fixed and floating interest amounts accrue.

 Payment Frequency: One Time

 Day Count Convention: Actual/365F

Contract Size

Floating Leg

A Forward Rate Agreement (FRA) is a one period Interest Rate Swap (IRS)

where one party buys (pays) a fixed interest rate and receives a floating interest

rate and one party sells (receives) a fixed interest rate and pays a floating

interest rate.

 Payment Frequency: One Time

 Day Count Convention: Actual/365F

Tenor / Duration

As agreed by parties.

Periodic Settlement:

Payment and Resets

1 Month, 3 Month, 6 Month

 Fixed Leg: The payment amount of the Fixed Leg is based on the

following: Notional, Payment Frequency, Day Count Convention and

Fixed Interest Rate.  Floating Leg: The payment amount of the Floating Leg is based on the

following: 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.

(e) Canadian Dollar denominated (CAD) Forward Rate Agreements

Fixed Rate Type Par

Notional

Optionality

Fixed Notional

No

Minimum Size

Dual Currencies No

Trade Start Types

As agreed by parties.

Settlement Procedure

 Spot Starting (T+0)  IMM Start Date (September, December, March, June)  Forward Start Date

As determined by the DCO.

Currency and

Floating Rate Index – Time Period

Trading Hours Trading hours of DW SEF.

Fixing Date

DCO(s)

CDOR fixing date is the effective date

LCH and CME

Effective Date / Start

Date

CAD – CDOR (1 Month, 3 Months, 6 Months)

Business Day

Conventions

The first date from which fixed and floating interest amounts accrue.

Modified Following
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See Rule 408 and CFTC Regulation Part 150. Reporting

Reportable Levels

All trades reported to SDR in accordance with CFTC requirements.

Block Size

See Rule 409 and CFTC Regulation 15.03.

See Rule 411 and CFTC Regulation Part 43, Appendix F.

Position Limits
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Contract Description

Holiday Calendar(s) Target

Maturity Date / End

Date

Fixed Leg

The final date until which fixed and floating interest amounts accrue.

 Payment Frequency: One Time

 Day Count Convention: Actual/360

Contract Size

Floating Leg

A Forward Rate Agreement (FRA) is a one period Interest Rate Swap (IRS)

where one party buys (pays) a fixed interest rate and receives a floating interest

rate and one party sells (receives) a fixed interest rate and pays a floating

interest rate.

 Payment Frequency: One Time

 Day Count Convention: Actual/360

Tenor / Duration

As agreed by parties.

Periodic Settlement:

Payment and Resets

1 Month, 3 Month, 6 Month

 Fixed Leg: The payment amount of the Fixed Leg is based on the

following: Notional, Payment Frequency, Day Count Convention and

Fixed Interest Rate.  Floating Leg: The payment amount of the Floating Leg is based on the

following: 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.

(f) EURO denominated Forward Rate Agreements

Fixed Rate Type Par

Notional

Optionality

Fixed Notional

No

Minimum Size

Dual Currencies No

Trade Start Types

As agreed by parties.

Settlement Procedure

 Spot Starting (T+2)  IMM Start Date (September, December, March, June)  Forward Start Date

As determined by the DCO.

Currency and

Floating Rate Index – Time Period

Trading Hours Trading hours of DW SEF.

Fixing Date

DCO(s)

EURIBOR fixing date is two Target business days prior to the effective date

LCH and CME

Effective Date / Start

Date

EURO - EURIBOR (1 Month, 3 Months, 6 Months)

Business Day

Conventions

The first date from which fixed and floating interest amounts accrue.

Modified Following
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See Rule 408 and CFTC Regulation Part 150. Reporting

Reportable Levels

All trades reported to SDR in accordance with CFTC requirements.

Block Size

See Rule 409 and CFTC Regulation 15.03.

See Rule 411 and CFTC Regulation Part 43, Appendix F.

Position Limits
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Contract Description

Holiday Calendar(s) London

Maturity Date / End

Date

Fixed Leg

The final date until which fixed and floating interest amounts accrue.

 Payment Frequency: One Time

 Day Count Convention: Actual/365F

Contract Size

Floating Leg

A Forward Rate Agreement (FRA) is a one period Interest Rate Swap (IRS)

where one party buys (pays) a fixed interest rate and receives a floating interest

rate and one party sells (receives) a fixed interest rate and pays a floating

interest rate.

 Payment Frequency: One Time

 Day Count Convention: Actual/365F

Tenor / Duration

As agreed by parties.

Periodic Settlement:

Payment and Resets

1 Month, 3 Month, 6 Month

 Fixed Leg: The payment amount of the Fixed Leg is based on the

following: Notional, Payment Frequency, Day Count Convention and

Fixed Interest Rate.  Floating Leg: The payment amount of the Floating Leg is based on the

following: 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.

(g) Great Britain Pound Sterling (GBP) denominated Forward Rate Agreements

Fixed Rate Type Par

Notional

Optionality

Fixed Notional

No

Minimum Size

Dual Currencies No

Trade Start Types

As agreed by parties.

Settlement Procedure

 Spot Starting (T+0)  IMM Start Date (September, December, March, June)  Forward Start Date

As determined by the DCO.

Currency and

Floating Rate Index – Time Period

Trading Hours Trading hours of DW SEF.

Fixing Date

DCO(s)

GBP LIBOR fixing date is the effective date

LCH and CME

Effective Date / Start

Date

GBP – GBP LIBOR (1 Month, 3 Months, 6 Months)

Business Day

Conventions

The first date from which fixed and floating interest amounts accrue.

Modified Following
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See Rule 408 and CFTC Regulation Part 150. Reporting

Reportable Levels

All trades reported to SDR in accordance with CFTC requirements.

Block Size

See Rule 409 and CFTC Regulation 15.03.

See Rule 411 and CFTC Regulation Part 43, Appendix F.

Position Limits
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Trade Start Types

Settlement

Immediate and Delayed Start

Cash settlement based on floating rate schedule.

Contract Size

Settlement Payments

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

notional amount of an equity index in exchange for the notional based return

performance of an equity index.

Buyer - The buyer of a contract will pay the rate of interest on the underlying leg

plus the swap premium, and in return receive the appreciation in value of the

underlying equity. Seller - The seller of a contract will receive the rate of interest plus the swap

premium and in return pay the value of the appreciation of the underlying equity.

Initial Equity

Valuation Date

The minimum size available to trade on DW SEF is at least $1,000,000 notional, and sizes are incremental in amounts of $1,000,000.

Payment Frequency

A calendar date, as agreed by the parties.

Determined by agreed LIBOR (3m, 6m, etc.) or agreed fixed rate frequency

(h) Equity Index Swaps

Day Count Actual/360

Equity Reset

Frequency

Maturity

As agreed by the parties in any valid time integer.

As agreed by the parties, any maturity up to 50 years

Tenor

Notional Amount Any amount agreed by the parties

Final Equity Valuation

Date

As agreed by the parties, 0 years to 50 years.

Leg Conventions

A calendar date, as agreed by the parties.

Floating Leg - Xm LIBOR + Spread or an agreed fixed rate. Equity Leg – Notional X (% increase of equity index over floating rate period).

Available Underlying

Indexes

Business Day

Convention

As agreed by the parties.

Interest Rate Reset

Frequency

Breaks/Resets

As agreed by the parties in any valid time integer

As agreed by the parties.

Trade Date

Minimum and

Incremental Price

Standard and Poors 500 Index (SPX or S&P 500)

Russell 2000 (RTY)

Nasdaq 100 (NDX)

Dow Jones 30 (DIA)

Standard & Poors MidCap 400 Index (MID)

There is no minimum price for a contract. There is no minimum incremental price for a contract.

Quote Conventions

The trade date of the contract refers to the date on which the swap contract was

agreed.

Reporting

Contracts are quoted in basis points as a spread or fixed rate

All trades reported to SDR in accordance with CFTC requirements.

Contract Description

Trading Hours Trading hours of DW SEF
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Clearing Trades are not cleared, and are subject to a post-execution credit check.
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Settlement Price

As agreed by the parties, 0 years to 3 years.

The Settlement Price will be equal to the futures valuation price of the index on

the expiration date.

Contract Description

Premium Both options have a net premium of zero.

Trade Date

Day Count

The trade date of the contract refers to the date on which the contract was

agreed.

Actual/360

Contract Size

Maturity

A Cash-Settled Equity Index Forward is an over the counter derivative that

involves the simultaneous buying of a cash-settled European Put and selling of a

European call (or vice versa) at the same strike price and same expiration with a

net premium of zero.

As agreed by the parties, any maturity up to 3 years.

Trading Conventions

The minimum size available to trade on DW SEF is at least 1000 units notional, and sizes are incremental in amounts of 1000 units.

Expiration Date

Forward Buyer - The buyer of the forward buys a European OTC Call and sells a

European OTC Put. Forward Seller - The seller of the forward sells a European OTC Call and buys a

European OTC Put.

A calendar date, as agreed by the parties. On this date, obligations under the

contract no longer accrue.

(i) Cash-Settled Equity Index Forward

Business Day

Convention

Following

Quoting Conventions

Breaks/Resets

Contracts are quoted in index points.

As agreed by the parties.

Strike Price

Minimum and

Incremental Price

There is no minimum price for a contract. There is no minimum incremental price for a contract.

Trading Hours

The Strike Price will equal the closing price of the Index on the Trade Date plus

the quoted basis.

Reporting

Trading hours of DW SEF

All trades reported to SDR in accordance with CFTC requirements.

Available Underlying

Indexes

Clearing Trades are not cleared, and are subject to a post-execution credit check.

Settlement Cash settlement based on floating rate schedule.

Tenor

Standard and Poors 500 Index (SPX or S&P 500)

Russell 2000 (RTY)

Nasdaq 100 (NDX)

Dow Jones 30 (DIA)

Standard & Poors MidCap 400 Index (MID)