308433745.5 

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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

Contract Description

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.

Currency and 

Floating Rate Index -

Time Period

U.S. Dollar (USD)

 London Interbank Offered Rate (LIBOR) -

1 Month, 3 Month, 6 Month

 Secured Overnight Financing Rate (USDSOFR-COMPOUND)

Canadian Dollar (CAD) Canadian Dealer Offered Rate (CDOR) - 3 

Month

Eurodollar (EUR) 

 Euro Interbank Offered Rate (EURIBOR) -

1 Month, 3 Month, 6 Month, 12 Month

 Euro Short-Term Rate (EUR-EuroSTRCOMPOUND)

Japanese Yen (JPY) 

 Tokyo Interbank Offered Rate published 

by published by Japanese Bankers 

Association (JPY-TIBOR-ZTIBOR)- 6 

Month

Swedish Krona (SEK) Stockholm Interbank Offered Rate (STIPOR) -

3 Month

Danish Krone (DKK) Copenhagen Interbank Offered Rate (CIBOR) 

- 6 Month

Norwegian Krone (NOK)

 Norwegian Inter Bank Offered Rate 

(NIBOR) - 6 Month

 Norwegian Inter Bank Offered Rate (NOKNIBOR-NIBR) - 3 Month

Australian Dollar (AUD) Bank Bull Reference Rate or Bank Bill Swap 

Interest Rate (BBR-BBS) - 6 Month

New Zealand Dollar (NZD) Bank Bill Reference Rate (BBR-FRA) - 3 

Month

Polish Zloty (PLN)

 Windhoek Inter-bank Agreed Rate 

(WIBOR) - 6 Month

 Windhoek Inter-bank Agreed Rate (PLNWIBOR-WIBO) - 3 Month

South African Rand (ZAR) Johannesburg Interbank Agreed Rate (JIBAR) 

- 3 Month

Hong Kong Dollar (HKD) Hong Kong Inter Bank Offered Rate (HKDHIBOR-HKAB) - 3 Month

Singapore Dollar (SGD) Singapore Overnight Rate (SGD-SOR-VWAP) -

6 Month

Chinese Yuan (CNY)

Repo Rate for Chinese Renminbi published by 

the China Foreign Exchange Trade System 

(CNY-CNREPOFIX=CFXS-Reuters) - 3 Month

South Korean Won (KRW)

Korean Bond Rate published by the Korea 

Financial Investment Association (KRW-CDKSDA-Bloomberg) - 3 Month
308433745.5 

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Hungarian Forint (HUF) Rate for Deposits in Hungarian Forint (HUFBUBOR-Reuters) - 3 Month and 6 Month

Czech Koruna (CZK) Rate for Deposits in Czech Koruna (CZKPRIBOR-PRBO) - 3 Month and 6 Month

Brazilian Real (BRL) Overnight Brazilian Interbank Deposit Rate 

(BRL-CDI) - 1 Day

Chilean Peso (CLP)

Indice Cámara Promedio Rate published by the 

Asociación de Bancos e Instituciones

Financieras de Chile A.G. (CLP-TNA) - 6 Month 

Colombian Peso (COP) Colombian Floating Overnight Lending Rate 

(COP-IBR-OIS-COMPOUND) - 3 Month

Indian Rupee (INR) Mumbai Inter-Bank Offer Rate (INR-FBILMIBOR-OIS) - 6 Month

Mexican Peso (MXN)

Interbank Equilibrium Interest Rate published by 

Banco de México (MXN-TIIE-Banxico) - 28 

Days

Contract Size As agreed by the parties.

Minimum Size As agreed by the parties.

Effective Date / Start 

Date

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

and floating interest rate payments.

Stated Maturity 

Range | Maturity 

Date

1 day year to 50 years | The final date on which the obligations no longer 

accrue and the final payment occurs.

Trade Start Types

 Spot Starting (T+2/T+0)

 IMM Start Date (September, December, March, June).

 Custom start dates

Fixed Leg  Payment Frequency: Quarterly; Semi-Annual; or Annual

 Day Count Convention: 30/360; Actual/360; Actual/365F

Floating Leg  Monthly (1M) Quarterly (3M), Semi-Annual (6M), Annual (1Y)

 Day Count Convention: Actual/360

Notional Fixed Notional

Fixed Rate Types

 Par

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

 Customized Coupon

 Zero Coupon

Holiday Calendar(s) NY/London/TARGET

Business Day 

Conventions

Following

Modified Following

Unadjusted

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.

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

Optionality No

Dual Currencies No

Settlement Procedure As determined by the DCO.
308433745.5 

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Trading Hours Trading hours of TW SEF.

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

Eurex Clearing AG (“Eurex”) and Japan Securities Clearing Corp (“JSCC”).

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

Reportable Levels See Rule 409 and CFTC Regulation 15.03.

Position Limits See Rule 408 and CFTC Regulation Part 150.

Reporting All trades reported to SDR in accordance with CFTC requirements.
308433745.5 

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(b) Interest Rate Swaps - Basis

Contract Description

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. 

Currency and 

Floating Rate Index 

- Time Period

USD

 LIBOR - 1 Month, 3 Month, 6 Month

 Secured Overnight Financing Rate (USDSOFR-COMPOUND)

 Federal Funds Rate - Overnight Index 

Swap (USD-Federal Funds-H.15-OISCOMPOUND)

EUR 

 EURIBOR –1 Month, 3 Month, 6 Month 

Eonia

 Euro Short-Term Rate (EUR-EuroSTRCOMPOUND)

 Euro Eonia Overnight Index Swap (EUREONIA-OIS-COMPOUND)

GBP

 Sterling Overnight Index Average GBPSONIA-COMPOUND

 LIBOR - 3 Month

Contract Size As agreed by the parties.

Minimum Size As agreed by the parties.

Effective Date / Start 

Date As agreed by the parties.

Stated Maturity 

Range | Maturity 

Date

1 year to 40 years | The final date on which the obligations no longer accrue 

and the final payment occurs.

First Fixing Date  The first LIBOR/EURIBOR Fixing Date is 2 London business days prior to 

the Effective Date.

Trade Start Types  Spot Starting (T+2)

Notional Fixed Notional

Holiday Calendar NY/London/TARGET

Business Day 

Conventions Modified Following

Floating Leg 1  Payment Frequency: Monthly, Quarterly; Semi-Annual; or Annual

 Day Count Convention: 30/360; Actual/360

Floating Leg 2  Payment Frequency: Monthly, Quarterly; Semi-Annual; or Annual

 Day Count Convention: 30/360; Actual/360

Periodic Settlement: 

Payment and Resets 

 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.

Optionality No

Dual Currencies No
308433745.5 

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Settlement Procedure As determined by the DCO.

Trading Hours Trading hours of TW SEF.

DCO(s) LCH, CME, and Eurex.

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

Reportable Levels See Rule 409 and CFTC Regulation 15.03.

Position Limits See Rule 408 and CFTC Regulation Part 150.

Reporting All trades reported to SDR in accordance with CFTC requirements.
308433745.5 

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(c) Overnight Indexed Swaps - Fixed for Floating

Contract Description

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.

Currency and 

Floating Rate Index

USD Federal Funds

EUR Euro Overnight Index Average (EONIA)

GBP Sterling Overnight Index Average (SONIA)

CHF Swiss Franc Tom/Next Index Swaps (TOIS)

Contract Size As agreed by parties.

Minimum Size As agreed by parties.

Effective Date / Start 

Date

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

and floating interest rate payments.

Stated Maturity 

Range | Maturity Date

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

the final payment occurs.

Trade Start Types  Spot Starting (T+2/T+0)

Fixed Leg  Payment Frequency: Term and Annual

 Day Count Convention: Actual/360F

Floating Leg  Term and Annual

 Day Count Convention: Actual/360

Notional Fixed Notional

Holiday Calendar(s) Federal and TARGET

Business Day 

Conventions Modified Following

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.

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

Optionality No

Dual Currencies No

Settlement Procedure As determined by the DCO.

Trading Hours Trading hours of TW SEF.

DCO(s) LCH, CME, and Eurex.

Block Size See Rule 411 and CFTC Regulation Part 43, Appendix F.
308433745.5 

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Reportable Levels See Rule 409 and CFTC Regulation 15.03.

Position Limits See Rule 408 and CFTC Regulation Part 150.

Reporting All trades reported to SDR in accordance with CFTC requirements.
308433745.5 

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(d) Option–USD LIBOR Fixed-to-Floating Swap Contract (“Swaption”)

Contract Overview An agreement granting the owner the right, but not the obligation, to enter into a 

Swap listed for trading on TW SEF which is exercisable only on a specific date.

Option Type Payer, Receiver or Straddle

Underlying Swap USD 

Index of Underlying 

Swap

LIBOR

Tenor of Underlying 

Swap

Any (1Y – 30Y)

Currency US Dollar

Notional Notional of the underlying swap ($1 million minimum size)

Trading Conventions A payer option gives the owner of the option the right to enter into a swap where 

it pays the fixed leg and receives the floating leg. A receiver option gives the 

owner of the option the right to enter into a swap in which it receives the fixed leg 

and pays the floating leg.

Quoting Conventions Quoted in $ Premium (basis points of notional)

Option Strike Price Fixed rate of the underlying swap

Option Expiry Date As agreed by the parties (1M – 10Y)

Option Settlement 

Type

Cash or a delivery of a cleared swap

Roll Type Standard or IMM Roll

Exercise Method The purchaser of the Swaption must notify the seller of the Swaption of the 

purchaser’s intent to exercise the Swaption prior to negotiation of the manner of 

the exercise: cash or physical (delivery). Notice shall be in the form indication on 

the order ticket. If the counterparties elect the exercise by physical delivery, the 

counterparties must submit the underlying Swap for clearing to the designated 

Clearing House (either CME or LCH). Otherwise, cash will be exchanged. 

Exercise Procedure In the case of exercise by physical delivery, positions in the underlying swap will 

be established via book entry by the designated Clearing House. In case of cash 

settlement, the exercise shall be conducted by exchanging cash as agreed by the 

counterparties.

Speculative Limits Speculative position limits or position accountability will be the same as for the 

underlying swap.

Clearing House for 

the Underlying Swap

Chicago Mercantile Exchange, Inc. or LCH.Clearnet Ltd. 

Block Size As set forth in Appendix F to Part 43of the CFTC Regulations 
308433745.5 

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(e) U.S. Dollar and Non-U.S. Dollar denominated Forward Rate Agreements

Contract Description

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.

Currency and 

Floating Rate Index –

Time Period

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

EUR – LIBOR – BBA (1 Month, 3 Months, 6 Months)

Contract Size As agreed by parties.

Minimum Size As agreed by parties.

Effective Date / Start 

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

Maturity Date / End 

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

Tenor / Duration 1 Month, 3 Month, 6 Month

Notional Fixed Notional

Trade Start Types

 Spot Starting (T+2)

 IMM Start Date (September, December, March, June)

 Forward Start Date 

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

Business Day 

Conventions Modified Following

Holiday Calendar(s) London/NY

Fixed Leg  Payment Frequency: One Time

 Day Count Convention: Actual/360

Floating Leg  Payment Frequency: One Time

 Day Count Convention: Actual/360

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.

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

Fixed Rate Type Par

Optionality No

Dual Currencies No

Settlement Procedure As determined by the DCO.

Trading Hours Trading hours of TW SEF.
308433745.5 

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DCO(s) LCH and CME

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

Reportable Levels See Rule 409 and CFTC Regulation 15.03.

Position Limits See Rule 408 and CFTC Regulation Part 150.

Reporting All trades reported to SDR in accordance with CFTC requirements.
308433745.5 

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(f) Zero Coupon Inflation Swaps - Fixed for Floating

Contract Description A Zero Coupon Inflation Swaps (ZCI) is an agreement between two parties in 

which at maturity date, a fixed rate payment on a notional amount is exchanged 

for a floating payment derived from the value of the inflation rate. There is only 

one cash flow at the maturity of the swap, without any coupon. The final cash flow 

consists of the difference between the fixed amount and the value of the floating 

amount at expiry of the swap. 

Currency and Floating 

Rate Index

EUR | Euro Area CPI excluding tobacco / French CPI Excluding Tobacco

GBP | UK Retail Price Index (RPI)

Contract Size As agreed by parties.

Minimum Size As agreed by parties.

Effective Date / Start 

Date

The date on which the initial inflation rate is determined by the parties, taking into 

account the time lag preceding the start date. 

Stated Maturity 

Range | Maturity Date

1 year to 50 years for GBP, 30yr for CPI| The final date on which the obligations

no longer accrue and the final payment occurs.

Trade Start Types Spot Starting (T+2/T+0)

On the 15th of the month

Fixed Leg Payment Frequency: Term

Day Count Convention: 1/1

Floating Leg Payment Frequency: Term

Day Count Convention: 1/1

Notional Fixed Notional

Holiday Calendar(s) London and TARGET

Business Day 

Conventions

Modified Following / Unadjusted

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, CPI Rate Index and 

Floating Reset Dates.

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

Optionality No

Dual Currencies No

Settlement Procedure As determined by the DCO.

Trading Hours Trading hours of TW SEF.

DCO(s) LCH, CME, and Eurex.

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

Reportable Levels See Rule 409 and CFTC Regulation 15.03.

Position Limits See Rule 408 and CFTC Regulation Part 150.

Reporting All trades reported to SDR in accordance with CFTC requirements.
308433745.5 

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(g) Credit Default Swaps - North American Untranched CDS Indices

Contract Description

A credit default swap (CDS) is a derivative transaction that allows for one party 

to transfer to another party for an agreed period of time the credit risk 

associated with an index of reference entities (an Index CDS). In each CDS, 

one party (the Buyer) pays a cash premium (the Premium) to the other party 

(the Seller) to purchase credit protection against the occurrence of an adverse 

event (a Credit Event) with respect to the reference entity or entities.

The most common Credit Events are bankruptcy, failure to pay obligations and 

restructuring of obligations. The credit protection can relate to a specific type of 

obligation or all obligations of a reference entity and is expressed in terms of a 

notional amount of the relevant obligations.

Selling credit protection is economically equivalent to owning the relevant 

obligations. Buying credit protection is economically equivalent to selling those 

obligations short. 

If a Credit Event occurs before the maturity date of a CDS, the Seller must 

make a payment to the Buyer in accordance with the settlement terms of the 

CDS. In cash settlement, a cash payment is made by the Seller to the Buyer 

equal to par minus the recovery rate of the reference asset, with recovery rate 

being calculated by referencing dealer quotes or observable market prices over 

some period after default has occurred. 

Credit Events are determined by International Swaps and Derivatives 

Association, Inc. (lSDA) committees made up of market practitioners and 

settlement prices for obligations are determined by standardized auctions.

Reference Entities Corporate

Region North America

Indices | Tenor

CDX.NA.IG

(Investment Grade) 3-Year, 5-Year, 7-Year, 10-Year

CDX.NA.HY

(High Yield) 3-Year, 5-Year, 10-Year

Applicable Series

CDX.NA.IG 3Y Series 19 and all subsequent Series, up to and 

including the current Series.

CDX.NA.IG 5Y Series 16 and all subsequent Series, up to and 

including the current Series.

CDX.NA.IG 7Y Series 16 and all subsequent Series, up to and 

including the current Series.

CDX.NA.1G 10Y Series 16 and all subsequent Series, up to and 

including the current Series.

CDX.NA.HY. 3Y Series 19 and all subsequent Series, up to and 

including the current Series

CDX.NA.HY 5Y Series 16 and all subsequent Series, up to and 

including the current Series.

CDX.NA.HY 10Y Series 16 and all subsequent Series, up to and 

including the current Series.

Tranched No
308433745.5 

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Quoting Convention 

and Minimum 

Increment

As agreed by parties.

Minimum Size As agreed by parties.

Effective Date / Start 

Date

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

payments.

Maturity Date The final date on which the obligations no longer accrue and the final payment 

occurs.

Settlement Cash Settlement with Contingent Payment, Fixed Quarterly, Upfront Payments 

as agreed by parties.

Settlement Procedure As determined by the DCO.

Trading Hours Trading hours of TW SEF.

DCO(s) CME; ICE Clear U.S. / ICE Clear Europe (collectively, ICE).

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

Reportable Levels See Rule 409 and CFTC Regulation 15.03.

Position Limits See Rule 408 and CFTC Regulation Part 150.

Reporting All trades reported to SDR in accordance with CFTC requirements.
308433745.5 

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(h) Credit Default Swaps - European Untranched CDS Indices

Contract Description

A credit default swap (CDS) is a derivative transaction that allows for one party 

to transfer to another party for an agreed period of time the credit risk 

associated with an index of reference entities (an Index CDS). In each CDS, 

one party (the Buyer) pays a cash premium (the Premium) to the other party 

(the Seller) to purchase credit protection against the occurrence of an adverse 

event (a Credit Event) with respect to the reference entity or entities.

The most common Credit Events are bankruptcy, failure to pay obligations and 

restructuring of obligations. The credit protection can relate to a specific type of

obligation or all obligations of a reference entity and is expressed in terms of a 

notional amount of the relevant obligations.

Selling credit protection is economically equivalent to owning the relevant 

obligations. Buying credit protection is economically equivalent to selling those 

obligations short.

If a Credit Event occurs before the maturity date of a CDS, the Seller must 

make a payment to the Buyer in accordance with the settlement terms of the 

CDS. In cash settlement, a cash payment is made by the Seller to the Buyer 

equal to par minus the recovery rate of the reference asset, with recovery rate 

being calculated by referencing dealer quotes or observable market prices over 

some period after default has occurred.

Credit Events are determined by International Swaps and Derivatives 

Association, Inc. (lSDA) committees made up of market practitioners and 

settlement prices for obligations are determined by standardized auctions.

Reference Entities Corporate, Financial

Region Europe

Indices | Tenor

iTraxx Europe 5-Year, 10-Year

iTraxx Europe Crossover 5-Year, 10-Year

iTraxx Europe Senior 

Financials 5-Year, 10-Year

iTraxx Europe Sub Financials 5-Year, 10-Year

iTraxx Europe HiVol 5-Year, 10-Year

Applicable Series

iTraxx Europe 5Y Series 17 and all subsequent Series, up to and 

including the current Series.

iTraxx Europe 10Y Series 17 and all subsequent Series, up to and 

including the current Series.

iTraxx Europe Crossover 5Y Series 17 and all subsequent Series, up to and 

including the current Series.

iTraxx Europe Crossover 10Y Series 17 and all subsequent Series, up to and 

including the current Series.
308433745.5 

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iTraxx Europe Senior 

Financials 5Y

Series 17 and all subsequent Series, up to and 

including the current Series.

iTraxx Europe Senior 

Financials 10Y

Series 17 and all subsequent Series, up to and 

including the current Series.

iTraxx Europe Sub Financials 

5Y

Series 17 and all subsequent Series, up to and 

including the current Series.

iTraxx Europe Sub Financials 

10Y

Series 17 and all subsequent Series, up to and 

including the current Series.

iTraxx Europe HiVol 5Y Series 14 and all subsequent Series, up to and 

including the current Series.

iTraxx Europe HiVol 10Y Series 13 and all subsequent Series, up to and 

including the current Series.

Tranched No

Quoting Convention 

and Minimum 

Increment

As agreed by parties.

Minimum Size As agreed by parties.

Effective Date / Start 

Date

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

payments.

Maturity Date The final date on which the obligations no longer accrue and the final payment 

occurs.

Settlement Cash Settlement with Contingent Payment, Fixed Quarterly, Upfront Payments 

as agreed by parties.

Settlement Procedure As determined by the DCO.

Trading Hours Trading hours of TW SEF.

DCO(s) CME; ICE

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

Reportable Levels See Rule 409 and CFTC Regulation 15.03.

Position Limits See Rule 408 and CFTC Regulation Part 150.

Reporting All trades reported to SDR in accordance with CFTC requirements.
308433745.5 

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(i) Credit Default Swaps – Emerging Markets Untranched CDS Indices

Contract Description

A credit default swap (CDS) is a derivative transaction that allows for one party 

to transfer to another party for an agreed period of time the credit risk 

associated with an index of reference entities (an Index CDS). In each CDS, 

one party (the Buyer) pays a cash premium (the Premium) to the other party 

(the Seller) to purchase credit protection against the occurrence of an adverse 

event (a Credit Event) with respect to the reference entity or entities.

The most common Credit Events are bankruptcy, failure to pay obligations and 

restructuring of obligations. The credit protection can relate to a specific type of 

obligation or all obligations of a reference entity and is expressed in terms of a 

notional amount of the relevant obligations.

Selling credit protection is economically equivalent to owning the relevant 

obligations. Buying credit protection is economically equivalent to selling those 

obligations short.

If a Credit Event occurs before the maturity date of a CDS, the Seller must 

make a payment to the Buyer in accordance with the settlement terms of the 

CDS. In cash settlement, a cash payment is made by the Seller to the Buyer 

equal to par minus the recovery rate of the reference asset, with recovery rate 

being calculated by referencing dealer quotes or observable market prices over 

some period after default has occurred.

Credit Events are determined by International Swaps and Derivatives 

Association, Inc. (lSDA) committees made up of market practitioners and 

settlement prices for obligations are determined by standardized auctions.

Reference Entities Sovereign

Region EM

Indices | Tenor CDX.EM 5-Year, 10-Year

Applicable Series

CDX.EM 5Y Series 16 and all subsequent Series, up to and 

including the current Series.

CDX.EM 10Y Series 16 and all subsequent Series, up to and 

including the current Series.

Tranched No

Quoting Convention 

and Minimum 

Increment

As agreed by parties.

Minimum Size As agreed by parties.

Effective Date / Start 

Date

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

payments.

Maturity Date The final date on which the obligations no longer accrue and the final payment 

occurs.

Settlement Cash Settlement with Contingent Payment, Fixed Quarterly, Upfront Payments 

as agreed by parties.

Settlement Procedure As determined by the DCO.
308433745.5 

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Trading Hours Trading hours of TW SEF.

DCO(s) ICE

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

Reportable Levels See Rule 409 and CFTC Regulation 15.03.

Position Limits See Rule 408 and CFTC Regulation Part 150.

Reporting All trades reported to SDR in accordance with CFTC requirements.
308433745.5 

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(j) Cross Currency Basis Swaps

Contract Description

A Cross Currency Basis swap is an agreement between two parties to 

exchange floating interest payments in different currencies based on one of the 

indices listed below.

Currency and 

Floating Rate Index -

Time Period

U.S. Dollar (USD)  London Interbank Offered Rate (LIBOR) -

3 Month

Eurodollar (EUR)  Euro Interbank Offered Rate (EURIBOR) - 

3 Month

British Pound Sterling 

(GBP)  LIBOR - 3 Month

Contract Size As agreed by the parties.

Minimum Size As agreed by the parties.

Effective Date / Start 

Date

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

and floating interest rate payments.

Stated Maturity 

Range | Maturity 

Date

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

and the final payment occurs.

Trade Start Types  Spot Starting (T+2)

 Custom start dates

Floating Legs  Quarterly (3M)

 Day Count Convention: ACT/360 & ACT/365F

Notional  Fixed Notional or varying Mark to Market notional in USD

Holiday Calendar(s) NY/London/TARGET

Business Day 

Conventions

Modified Following

 Adjusted

Periodic Settlement: 

Payment and Resets

 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.

Optionality No

Dual Currencies Yes

Settlement Procedure Bilateral / as determined by LCH Swap Agent

Trading Hours Trading hours of TW SEF.

Netting Agent LCH Swap Agent 

Block Size See Rule 411 and CFTC Regulation Part 43, Appendix F.
308433745.5 

 90 

Reportable Levels See Rule 409 and CFTC Regulation 15.03.

Position Limits See Rule 408 and CFTC Regulation Part 150.

Reporting All trades reported to SDR in accordance with CFTC requirements.
308433745.5 

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(k) Total Return Swaps

Contract Description Each contract is a total return swap where the buyer is obligated to pay a 

predetermined set rate, fixed or variable, to the seller in exchange for notionalbased returned performance of one of the Referenced Indices below. 

Reference Index iBoxx USD Liquid Investment Grade

iBoxx USD Liquid High Yield

iBoxx USD Liquid Leveraged Loans

iBoxx EUR Corporates 

iBoxx EUR Liquid High Yield 

iBoxx EUR Contingent Convertible Liquid Developed Market AT1

Trade Date The date on which the parties enter into the contract, which shall be prior to the 

Termination Date.

Effective Date The first day of the term of the contract, as agreed by the parties. 

Quoting Convention 

and Minimum 

Increment

Notional amount, as agreed by the parties.

Minimum Size Notional amount, as agreed by the parties

Termination Date The date on which the contract expires, as agreed by the parties.

Tenor The duration of time from the Effective Date to the Termination Date.

Settlement Type Cash settlement.

Settlement Terms Buyer: The buyer pays (i) a fixed rate of interest plus a differential, as agreed by 

the parties and (ii) the depreciation of the Referenced Index, as applicable.

Seller: The seller pays (i) the income of the Referenced Index and (ii) the 

appreciation of the Referenced Index, as applicable.

Settlement Currency EUR, GBP or USD

Trading Hours 06:00-17:00(ET), Sunday-Friday.

Position Limits See Rule 408 and CFTC Regulation Part 150.

Reportable Levels See Rule 409 and CFTC Regulation 15.03.