Appendix A to Tradition SEF Rulebook

Interest Rate Swap Product Listing

July 1August 7, 2023 

Version 78

1. Discussion of contracts; not readily susceptible to manipulation

• The interest rate swap (IRS) market is considered the largest derivative market in the world, with 

an estimated $632 trillion in notional principal outstanding as of June 2022 according to the Bank 

for International Settlements. https://www.bis.org/publ/otc_hy2211.pdf. 

• IRS are cash-settled so there is no deliverable supply to be manipulated. IRS are widely used by 

corporations, insurance companies, banks, and governments to transfer and manage interest 

rate risk. TradSEF believes that the size and liquidity of the cash market for interest rate linked 

financial instruments, such as bonds, loans, government interest bearing instruments and 

volume of trading of swaps and interest rate sensitive instruments creates in each case 

significant liquidity in interest rate sensitive instruments so as to render IRS not easily 

susceptible to manipulation. Furthermore, IRS-associated interest rate futures contracts, loans, 

cleared swaps, cash and futures markets for government debt securities offer a deep liquidity 

pool to hedge and risk-manage swaps based on such rates indexes. 

• TradSEF will monitor trading in these swaps in conjunction with TradSEF’s regulatory service 

provider. TradSEF has a comprehensive surveillance program and rules to prevent TradSEF 

participants from engaging in manipulative activity and possesses discretion to impose fines and 

disciplinary sanctions on its participants. Furthermore, TradSEF’s predecessor brokers who are 

involved in the operation of TradSEF have decades of experience in operating platforms and 

executing trades in these swaps.

2. Discussion of Index Reference Prices

Index Selection: TradSEF limits the indexes underlying its interest rate swap offerings to wellestablished, publicly available third-party interest rate market benchmarks. Some are published 

by central banks, such as the United States Federal Reserve Secured Overnight Financing Rate 

(SOFR) rate, others are calculated and published by reliable independent providers such as trade 

associations, exchanges or other third parties. The interest rate reference prices underlying 

swaps on TradSEF are the timeliest, most widely recognized and reliable benchmarks for interest 

rates in their respective markets. The index levels are readily available and commercially 

acceptable as benchmarks for borrowers, lenders, investors, portfolio managers, governments 

and public policy makers. 

• Secured Overnight Financing Rate (SOFR):

The New York Federal Reserve Bank describes the SOFR as a broad measure of the cost of 

borrowing cash overnight collateralized by Treasury securities. The SOFR includes all trades in 

the Broad General Collateral Rate plus bilateral Treasury repurchase agreement (repo) 

transactions cleared through the Delivery-versus-Payment (DVP) service offered by the Fixed 

Income Clearing Corporation (FICC), which is filtered to remove a portion of transactions 

considered “specials”. 

SOFR is calculated as a volume-weighted median of transaction-level tri-party repo data collected 

from the Bank of New York Mellon (BNYM) as well as GCF Repo transaction data and data on 

bilateral Treasury repo transactions cleared through FICC's DVP service, which are obtained 

from DTCC Solutions LLC, an affiliate of the Depository Trust & Clearing Corporation. Each 

business day, the New York Fed publishes the SOFR on the New York Fed website at 

approximately 8:00 a.m., along with statistics summarizing the distribution of volumes each day, 

including the total dollar amount of transactions used to calculate each rate, rounded to the 

nearest billion, and the volume-weighted 1st, 25th, 75th, and 99th percentiles.
SOFR was identified by the Alternative Reference Rates Committee (ARRC) as its recommended

alternative to U.S. dollar LIBOR for use in certain new U.S. dollar derivatives and other financial 

contracts. The New York Fed began publication of the SOFR on April 3, 2018. In the production 

of the Treasury SOFR repo reference rates, the New York Fed has endeavored to adopt policies 

and procedures consistent with best practices for financial benchmarks, including the IOSCO

Principles for Financial Benchmarks. 

• Three-Month Bloomberg Short-Term Bank Yield Index (BSBY), effective March 28, 2022: 

BSBY is a proprietary index calculated daily and published at 8:00 am (ET) on each U.S. 

business day by Bloomberg Index Services Limited (BISL), Bloomberg’s authorized benchmark 

administrator. BSBY provides a series of credit sensitive reference rates that incorporate bank 

credit spreads and defines a forward term structure. BSBY also seeks to measure the average 

yields at which large global banks access USD senior unsecured marginal wholesale funding. 

BSBY uses an advanced curve-fitting methodology to calculate overnight, 1-month, 3-month, 6-

month and 12-month yields. The index is based on aggregated anonymized data anchored in 

transactions and executable quotes sourced from Bloomberg’s electronic trading solutions and 

trades of short-term senior unsecured bank corporate bonds reported by FINRA. BSBY is based 

on transactions of instruments used by banks to fund themselves, it includes a systemic credit 

spread in its rate and can be used as a supplement to SOFR in the lending market. The BSBY 

methodology has several protections against manipulation: The weight of each transaction is 

capped at $500 million to help ensure stability and reduce the risk of the rate being unduly 

influenced by any single data point; There is a single issuer cap of 20% to ensure any given 

BSBY tenor is an average rate across an appropriately broad sample; All yields above the 75th 

volume percentile and below the 25th volume percentile are eliminated from the final calculation.

BISL provides robust governance and oversight over its benchmark offerings. BSBY’s 

transaction-based inputs, robust construction and resilient methodology are designed to meet the 

high standards of both the BMR and the IOSCO principles for financial benchmarks (IOSCO 

Principles). BISL confirmed BSBY adheres to the IOSCO Principles and an independent 

assurance report is available in the Resources section: 

https://www.bloomberg.com/professional/product/indices/bsby/on https://assets.bbhub.io/profes

sional/sites/27/Bloomberg_BSBY_Report_070121-1.pdf

Listed futures are available for trading on the BSBY index.

• Sterling Overnight Index Average (SONIA): 

SONIA is governed, administered and published daily by the Bank of England. SONIA is based on 

actual transactions and reflects the average of the interest rates that banks pay to borrow sterling 

overnight from other financial institutions and other institutional investors.

SONIA is the Working Group on Sterling Risk Free Reference Rates’ preferred benchmark for 

the transition to sterling risk-free rates from Libor. 

• Euro short-term rate (€STR)

The €STR euro short-term rate is administered and published by the European Central Bank 

(ECB). The ECB has designed €STR to be an overnight rate consistent with international best 

practice set out in the International Organization of Securities Commissions (IOSCO) Principles 

for Financial benchmarks. The euro short-term rate was first published on October 2, 2019. The 

euro short-term rate (€STR) reflects the wholesale euro unsecured overnight borrowing costs of 

banks located in the euro area. The €STR is published on each defined business day based on 

transactions conducted and settled on the previous defined business day (the reporting date “T”) 

with a maturity date of T+1 which are deemed to have been executed at arm’s length and thus 

reflect market rates in an unbiased way.
• Canadian Overnight Repo Rate Average (CORRA)

The Canadian Overnight Repo Rate Average (CORRA) is a measure of the cost of overnight 

general collateral funding in Canadian dollars using Government of Canada (GoC) treasury bills 

and bonds as collateral for repurchase transactions (repos). The Bank of Canada calculates 

CORRA based on transaction-level repo data that Canadian government securities distributors, 

including primary dealers, and the six largest federally regulated financial institutions in Canada 

submit to the Investment Industry Regulatory Organization of Canada (IIROC) through the Market 

Trade Reporting System (MTRS). This approach makes CORRA robust, reliable and 

representative, similar to overnight risk-free reference rates published by other central banks. It 

also aligns CORRA with the Principles for Financial Benchmarks published by the International 

Organization of Securities Commissions. 

The CORRA calculation methodology was developed under the guidance of the Canadian 

Alternative Reference Rate Working Group (CARR), representing a wide range of market 

participants. It was also informed by CARR’s public consultations, held February to April 2019, on 

the methodology enhancements.

Users can access the CORRA data either directly from the Bank or from data distributors. 

https://www.bankofcanada.ca/rates/interest-rates/corra/methodology-calculating-corra/

TradSEF believes that the large number of participants in each market, and the calculation of each 

index by well known, independent third parties further limits the susceptibility of manipulation of these 

indexes. TradSEF believes that such benchmark indexes, many of which also underlie liquid interest 

rate futures contracts on major Designated Contract Markets, due to the large number of index 

participants, ubiquity, and broad-market nature are not readily susceptible to manipulation. 

53. Swaps subject to the trade execution requirement under section 2(h)(8) of the Commodity 

Exchange Act. 

Swaps subject to the trade execution requirement effective February 15, 2014.

MAT by Javelin:

Specification Fixed-to-Floating IRS

Currency Euro (EUR)

Floating Rate Indexes EURIBOR

Trade Start Type Spot Starting (T+2)

Optionality No

Dual Currencies No

Notional Fixed Notional

Tenors 2, 3, 5, 7, 10, 15, 20, 30 years

MAT by trueEX LLC:

Specification Fixed-to-Floating IRS

Currency Euro (EUR)

Floating Rate Indexes EURIBOR

Trade Start Type Spot Starting (T+2)

Optionality No
Payment Frequency Semi-Annual, Annual

Day Count Convention 30/360, Actual/360

Reset Frequency Quarterly (3 Month), SemiAnnual

Day Count Convention Actual/360

Dual Currencies No

Notional Fixed Notional

Fixed Rate Par

Tenors 2, 3, 5, 7, 10, 15, 20, 30 years

Swaps subject to the trade execution requirement effective August 7, 2023: 

MAT by TW SEF, LLC:

Specification Overnight Index Swap Class (OIS)

Currency USD GBP

Floating 

Rate Indices SOFR SOFR SOFR SONIA SONIA

Trade Start 

Type

Spot 

Starting 

(T+2)

IMM Start 

Date (next 

two IMM 

dates)

IMM Start 

Date (next 

two IMM 

dates)

Spot Starting 

(T+0)

IMM Start Date 

(next two IMM 

dates)

Optionality No No No No No

Fixed Leg

Payment 

Frequency Annual Annual Annual Annual Annual

Day Count 

Convention ACT/360 ACT/360 ACT/360

ACT/ 

365.FIXED ACT/ 365.FIXED

Business 

Calendars

New 

York/USNY

New 

York/USNY

New 

York/USNY London/GBLO London/GBLO

Payment Lag 2 Days 2 Days 2 Days 0 Days 0 Days

Floating Leg

Payment/ 

Reset 

Frequency Annual Annual Annual Annual Annual

Day Count 

Convention ACT/360 ACT/360 ACT/360

ACT/ 

365.FIXED ACT/ 365.FIXED

Business 

Calendars

New 

York/USNY

New 

York/USNY

New 

York/USNY London/GBLO London/GBLO

Payment Lag 2 Days 2 Days 2 Days 0 Days 0 Days

Fixing 

Calendars

US 

Government 

Securities/ 

USGS

US 

Government 

Securities/ 

USGS

US 

Government 

Securities/ 

USGS London/GBLO London/GBLO

Fixing Offset 0 Days 0 Days 0 Days 0 Days 0 Days

Dual 

Currencies No No No No No

Notional

Fixed 

Notional

Fixed 

Notional

Fixed 

Notional Fixed Notional Fixed Notional
Fixed Rate Par Par

Standard 

Coupon Par Par

Tenors

2, 3, 4, 5, 6, 

7, 10, 12, 

15, 20, 30 

Years

2, 3, 4, 5, 6, 

7, 10, 12, 

15, 20, 30 

Years 

(Standard 

and IMM 

end/roll date 

convention)

1, 2, 3, 4, 5, 

7, 10, 15, 

20, 30 

Years 

(Standard 

end/roll date 

conventions)

1, 2, 3, 4, 5, 6, 

7, 8, 9, 10, 12, 

15, 20, 25, 30 

Years

1, 2, 3, 4, 5, 6, 7, 8, 

9, 10, 12, 15, 20, 

25, 30 Years 

(Standard and IMM 

end/roll date 

convention)

4. PRODUCT LIST – INTEREST RATE SWAPS (Table 1), effective July 1, 2023 

Interest Rate Swaps Cleared? DCOs*

Forward Rate Agreement (FRA) yes LCH.Clearnet / CME / Eurex

Overnight Index Swap (OIS) yes LCH.Clearnet / CME / JSCC / Eurex

Interest Rate Swap (IRS) yes LCH.Clearnet / CME / JSCC / Eurex

SOFR OIS yes LCH.Clearnet / CME

BSBY yes CME/LCH

€STR yes LCH / CME/ Eurex

SONIA yes LCH / Eurex 

CORRA yes LCH / CME

Market Agreed Coupon (MAC) yes LCH.Clearnet / CME / Eurex

Interest Rate Options (IRO / Swaptions) no

Interest Rate Caps no

Interest Rate Floors no

Inflation Swaps yes LCH.Clearnet

Inflation Options no

Inflation Asset Swaps no

Inflation Fixing no

Constant Maturity Swaps (CMS) no

Constant Maturity Swaps fixed/float no

Cross Currency Basis Swap no

Single Currency Basis swaps yes LCH.Clearnet / CME / Eurex

Cross Currency Swap fixed/float no

Cross-currency swap fixed/fixed no

Non-Deliverable IRS fixed/float no

DTCC GCF Repo Swaps fixed/float no

*Tradition SEF Authorized DCOs:

LCH.Clearnet, Ltd. (“LCH”) 

Chicago Mercantile Exchange Inc. (“CME”) 

Japan Securities Clearing Corporation (“JSCC”) 

ICE Clear Credit LLC (“ICE”)

Eurex Clearing AG (“Eurex”)
65. General Specifications (unless stated otherwise in the relevant product descriptions):

Overview

An IRS is where two parties agree to exchange interest rate cash flows, based on a specified notional 

amount from a fixed rate to a floating rate (or vice versa) or from one floating rate to another for a 

predetermined term. There are three types of IRS:

1. Fixed / Floating

One party pays a fixed rate for the term of the IRS at specific intervals such as monthly, quarterly, 

semi-annually or annually. The other party will make floating rate payments indexed to reference 

rates such as SOFR. Generally fixed and floating rate payments are compounded and paid net on the 

longer coupon date. Note that fixed rate payments can be made on several different day count 

conventions. Money Market = No. of Days / 365; Bond Basis = 30 /360 Fixed; Adjusted Bond Basis = 

Actual No. of Days / 365 or 366.

2. Basis Swap

One party pays a floating rate for the term of the IRS indexed to a floating reference rate. The other 

party will also pay a floating rate indexed to a reference rate in a different tenor. For example a 2 year 

term IRS, Party A pays SOFR, Party B pays Fed Funds. Generally payments of the SOFR will be 

compounded and offset on the coupon dates.

3. Overnight Index Swap 

A Fixed / Floating IRS where the floating rate is an overnight rate compounded and offset against the 

fixed rate payments and dates.

In general, the floating rate can be almost any kind of index fixed asset price, but in the OTC markets, 

the focus is on interest rate instruments, including but not limited to:

• Deposit indices such as SOFR, Euribor etc

• Overnight financing rates such as SOFR, €STR, SONIA, CORRA and Fed funds

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

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

Interest Rate Swaps – product types

The following product types shall be eligible for admission to and capable of being traded on the TradSEF 

Platform: 

General Definitions

Tenors: IRS 1-year to 50 years, prompt or forward start

Swap Transaction

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

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

Available Currencies / Price References / Publisher

Table 2, effective July 1, 2023 

IRS Available 

Currencies:

Americas: Reference Price Publisher

US Dollar (USD) SOFR Federal Reserve Bank of New York

US Dollar (USD) Fed Funds Federal Reserve Bank of New York
US Dollar (USD) BSBY Bloomberg Index Services Limited

Canadian Dollar (CAD) CDOR Refinitiv

Canadian Dollar (CAD) CORRA Bank of Canada

Argentine Peso (ARS) Bandler Rate Argentina Central Bank

Brazil Real (BRL) Daily Selic Rate The Central Bank of Brazil

Brazil Real (BRL) (CDI rate) Cetip S.A

Chilean Unidad de 

Fomento (CLF)

ICP CLICP index

Chile Peso (CLP) ICP CLICP index

Columbian Peso (COP) Indicador Bancario de Referencia 

(IBR)

Banco Central de Colombia

Mexican Peso (MXN) 1:30 pm ET 28 day TIIE Central Bank Mexico 

Peru Nuevo Sol (PEN) Overnight interest swap index Central Reserve Bank of Peru

EMEA: Reference Price (s) Publisher

Euro (EUR) EURIBOR Intercontinental Exchange Benchmark 

Administration Ltd

Euro (EUR) EURIBOR365= European Banking Federation

Euro (EUR) EONIA European Central Bank

Euro (EUR) €STR European Central Bank

British Pound (GBP) GBP Semi-Annual Swap Rate IFR

British Pound (GBP) SONIA Bank of England

Czech Koruna (CZK) Prague Interbank Offered Rate 

(PRIBOR)

Czech National Bank

Danish Krone (DKK) CIBOR NASDAQ OMX

French Franc (FRF) FRF CPIxT INSEE, France

Hungarian Forint (HUF) HUF Budapest Inter-Bank Offered 

Rate (BUBOR)

Hungarian Forex Association

Israeli Shekel (ILS) Tel Aviv Inter-Bank Offered Rate 

(TELBOR)

The Telbor Interest Rate Committee

Norwegian Krone (NOK) Norwegian Interbank Offered Rate 

(NIBOR)

Finance Norway

Polish Zloty (PLN) Warsaw Interbank Offered Rate 

(WIBOR)

National Bank of Poland

Russian Ruble (RUB) MOSPRIME National foreign Exchange Assoc

South African Rand 

(ZAR)

Johannesburg Interbank Agreed 

Rate (JIBAR)

South African Futures Exchange

Swedish Krona (SEK) Stockholm Interbank Offered Rate 

(STIBOR)

Swedish Bankers' Association

Swiss Franc (CHF)

CHF Swiss Average Rate 

Overnight (SARON)

Swiss SIX Index AG

Turkish Lira TRY TRLIBOR The Banks Association of Turkey

APAC: Reference Price (s) Publisher

Australian Dollar (AUD) AUD-BBR-BBSW AFMAdata

Australian Dollar (AUD) AONIA Reserve Bank of Australia 

China Offshore Spot 

(CNH)

CNHFIX The Treasury Markets Association
China Offshore CNH 

HIBOR

CNHHIBORFIX01 The Treasury Markets Association

Renminbi (CNY) REPO CNREPOFIX=CFXS China Foreign Exchange Trade 

System

Renminbi (CNY)

SHIBOR

SHIBOR China Foreign Exchange Trade 

System

Renminbi (CNY)

DEPOSIT

PBOCB The People’s Bank of China

China Onshore Spot 

(CNY)

SAEC The People’s Bank of China

Hong Kong Dollar (HKD)

HIBOR

HKD HIBOR Hong Kong Association of Banks

Hong Kong Dollar (HKD)

OIS

HONIX The Hong Kong Brokers Association

Indonesian Rupiah 

(INR)

JIBOR Bank Indonesia

Japanese Yen (JPY) JPYTIBOR Japanese Bankers Association

Japanese Yen (JPY) JPY Tokyo Overnight Average rate 

(TONA), JPYTONAR

Bank of Japan

Korea Won (KRW) KRW-CD-KSDA Korean Securities Dealers 

Association

Malaysian Ringgit 

(MYR)

KLIBOR Financial Markets Association 

Malaysia (PPKM)

New Zealand Dollar 

(NZD)

NZD-BBR-BID NZ Financial Markets Association

New Zealand Dollar 

(NZD)

NZD-NZIONA-OIS Reserve Bank of New Zealand

Philippines Peso (PHP) PHIREF Bankers Association of the 

Philippines

Singapore Dollar (SGD) Singapore Swap Offer Rate (SOR) Association of Banks in Singapore

Taiwan Dollar (TWD) TAIFX1 Taipei Forex Inc

Taiwan Dollar (TWD) TWCPBA Reuters

Thailand Bhat (THB) THBFIX Bank of Thailand

Fixed Rate Payer 

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

rate.

Floating Rate Payer

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

floating rate index.

Floating Rate Index

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

found here and with calculations in Articles 6 & 7 of the 2021 ISDA Definitions and the 2008 ISDA 

Inflation Derivatives Definitions.

Quoting Convention and Minimum Increment

Dependent on Currency, Index and Tenor for electronic Central Limit Order Books or as agreed by 

Participants for Voice Trading Facility trades.
Minimum Size

Dependent on Currency, Index and Tenor for electronic Central Limit Order Books or as agreed by 

Participants for Voice Trading Facility trades.

Confirmation 

Documents or other confirming evidence exchanged between the counterparties which confirm all of the 

terms of the Swap Transaction.

Business Day 

A day on which banks settle payments.

Day Count Convention 

The convention used for adjusting any relevant date that would otherwise fall on a non-Business Day. 

Day count will be specific to the individual product specification.

Holiday Calendar

Applied in accordance for the country currency denoted for the instrument.

Term (Tenor) 

The total period of the Swap Transaction, starting on the Effective Date and ending on the Termination 

Date.

Notional Types

- “Bullet”: Notional remains constant over term of swap.

- “Amortizing”: Notional declines over term of swap.

- “Accreting”: Notional increases over term of swap.

Effective (Start) Date

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

Convention.

Termination Date

The last day of the Term of the Swap Transaction.

Maturity Date 

Start Date + Term (Tenor)

First Fixing Date 

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

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

Trade Types 

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

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

combinations thereof.

Trade Start Types

Spot: 

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

from the trade date, depending on Currency and floating Index market standard.

Forward: 

A swap where the Effective Date is after the Effective Date for a Spot Starting swap of that Currency and 

floating Index.
Settlement Procedure

As determined by the Clearing Venue, provided above or as agreed between Participants for non-cleared 

trades

Block Trades

Block Trades may be submitted pursuant to SEF Rule 509.

Position Limits 

Parts 150 and 151 of the Commission’s regulations, as applicable, set forth the Commission’s rules 

regarding speculative position limits. The CFTC does not require speculative position limits for IRS.

Trading Hours

The operating hours of Tradition SEF as described in the relevant Notice to Participants.
Appendix B

Product Specifications and Terms and Conditions 

A. Interest Rate Swap (IRS), Fixed/Float

Contract Definition:

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

a specified notional over a term to maturity.

IRS Types 

Fixed Rate v Floating Rate (X)ibor Index (e.g., SOFR, SOFR, 6m €STR , Euribor), etc.

Trading Conventions

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

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

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

basis point.

Specific Trade Types

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

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

Treasuries and combinations thereof.

Swap Term (Tenor)

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

Swap Conventions

Fixed LegPayment: 

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

Day Count Conventions: 

as agreed by Participants and suitable to the Currency's market standards, e.g. 30/360, Act/365 etc.

Holiday Calendar: 

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

Business Day Conventions: 

Modified Following with adjustment to period end dates or as agreed by Participants and suitable to the 

Currency's market standards

Floating Leg Index: 

As agreed by participants and suitable to the Currency's market standards, e.g., SOFR, SOFR, €STR, 

SONIA, Euribor , etc.

Payment/Resets: 

Annual, Semi-Annual, Quarterly, Monthly, Daily or as agreed by Participants.

Day Count Conventions: 

As dictated by Market Standard for the Floating Index, e.g., Act/360, Act/365, etc. 

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

Fixing Calendar: 

As agreed by participants and suitable to the Currency's market standards.
Business Day Conventions: 

Modified Following with adjustment to period end dates or as agreed by Participants and suitable to the 

Currency's market standards.

Periodic Settlement Payment and Resets:

Fixed Leg: 

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

and Fixed Interest Rate.

Floating Leg: 

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

Convention, Floating Interest Rate Index and Floating Reset Dates. Payments are settled in accordance 

with the payment frequency of the swap.

B. Overnight Index Swap (OIS), Fixed/Float

Contract Definition:

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

a specified notional over a term to maturity.

IRS Types 

Fixed Rate v Floating Rate OIS Index (e.g., SOFR, €STR, Sonia, FedFunds).

Trading Conventions

Buy/Pay = Pay Fixed, Receive Floating OIS Index

Sell/Receive = Receive Fixed, Pay Floating OIS Index

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

basis point.

Specific Trade Types

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

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

Treasuries and combinations thereof.

Swap Term (Tenor)

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

Swap Conventions

Fixed Leg

Payment: 

Annual or as agreed by Participants.

Day Count Conventions: 

as agreed by Participants and suitable to the Currency's market standards, e.g. Act/360, Act/365 etc. 

Holiday Calendar: 

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

Business Day Conventions: 

Modified Following with adjustment to period end dates or as agreed by Participants and suitable to the 

Currency's market standards.

Floating Leg Index: 

As agreed by participants and suitable to the Currency's market standards (e.g., SOFR, Sonia, 

FedFunds).
Payment/Resets: 

Daily resets, compounded daily and paid on an annualized basis, or as agreed by Participants.

Day Count Conventions: 

As dictated by Market Standard for the Floating Index, e.g., Act/360,Act/365 , etc.

Holiday Calendar: 

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

Fixing Calendar: 

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

Business Day Conventions: 

Modified Following with adjustment to period end dates or as agreed by Participants and suitable to the 

Currency's market standards.

Periodic Settlement Payment and Resets:

Fixed Leg: 

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

and Fixed Interest Rate.

Floating Leg: 

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

Convention, Floating Interest Rate Index and Floating Reset Dates. Payments are settled in accordance 

with the payment frequency of the swap.

C. Single Currency Basis Swap, Float/Float

Contract Definition:

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

to maturity.

Basis Spread

A spread between two Floating Rate Indices (e.g., SOFR, Fed Funds, OIS Index) of the same currency.

Basis Swap Types

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

floating indices as agreed by Participants.

Specific Trade Types

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

Spreads, Butterflies.

Trading Conventions

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

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

Spread

Basis Spread Price quoted in increments of fractions or decimals of a basis point. Leg 1 is usually the 

longer underlying index tenor, e.g., 3v1 rather than 1v3. Thus the 3m index is paid flat and the spread is 

added to the 1m index. The shorter index can be compounded, i.e. Q/Q = 3m index vs 1 quarterly 

payment consisting of 3 compounded 1m index settings OR the shorter index can be 3 separate monthly 

payments.

Swap Term (Tenor)

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

Floating Legs 1 & 2:

Index: 

As agreed by participants and suitable to the Currency's market standards (e.g., SOFR, Fed Funds, OIS 

Index, etc).

Payment/Resets: 

Annual, Semi-Annual, Quarterly, Monthly, Daily or as agreed by Participants.

Day Count Conventions: 

As dictated by Market Standard for each Index, e.g., Act/360,Act/365 , etc.

Holiday Calendar: 

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

Fixing Calendar: 

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

Business Day Conventions: 

Modified Following with adjustment to period end dates or as agreed by Participants and suitable to each 

Currency's market standards.

Periodic Settlement Payment and Resets:

Floating Legs 1 & 2: 

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

Convention, Floating Interest Rate Index and Floating Reset Dates. Payments are settled in accordance 

with the payment frequency of the swap.

D. Cross-Currency Basis Swap, Float/Float

Contract Definition:

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

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

Basis Spread

A spread between the Floating Rate Indices (e.g., SOFR, Fed Funds, OIS Index of two different 

currencies. 

Basis Swap Types

Floating Rate Index (e.g., SOFR) v Floating Rate Index (e.g., 3m Euribor), usually

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

Floating Rate OIS Index (e.g., €STR,) v Floating Rate OIS Index (e.g., Fed Funds), usually with the

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

Specific Trade Types

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

Spreads, Butterflies

Trading Conventions

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

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

Spread.

Basis Spread Price quoted in increments of fractions or decimals of a basis point. Notional amount set in 

Currency 1, e.g., 100m USD, payments Leg 1 in USD, payments Leg 2 in Currency 2.
Swap Term (Tenor)

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

Swap Conventions Floating Legs 1 & 2

Indices: 

As agreed by participants and suitable to each Currency's market standards (e.g., , SOFR, Fed Funds, 

OIS Index, etc.) 

Payment/Resets: 

Semi-Annual, Quarterly, Monthly or as agreed by Participants.

Day Count Conventions: 

As dictated by Market Standard for each Index, e.g., Act/360,Act/365.

Holiday Calendar: 

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

Fixing Calendar: 

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

Business Day Conventions: 

Modified Following with adjustment to period end dates or as agreed by Participants and suitable to each 

Currency's market standards.

Periodic Settlement Payment and Resets:

Floating Legs 1 & 2: 

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

Convention, Floating Interest Rate Index and Floating Reset Dates. Payments are settled in accordance 

with the payment frequency of either leg 1 or leg 2 as agreed between Participants. Cross Currency Basis 

Swaps are traded with an exchange of principle FX'd at both start date and maturity and may also be 

traded with intra-swap FX exchanges as required.

E. Cross-Currency Swap, Fixed/Fixed

Contract Definition:

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

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

Spread 

A spread between the fixed rates of two different currencies. 

Swap Types 

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

Specific Trade Types

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

Spreads, Butterflies

Trading Conventions

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

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

Spread Price quoted in increments of fractions or decimals of a basis point.

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

Currency 2.

Swap Term (Tenor)

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

Fixed Legs 1 & 2:

Payment: 

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

Day Count Conventions: 

As agreed by Participants and suitable to each Currency's market standards, e.g., 30/360, Act/365 , etc. 

Holiday Calendar: 

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

Business Day Conventions: 

Modified Following with adjustment to period end dates or as agreed by Participants and suitable to each 

Currency's market standards.

Periodic Settlement Payment and Resets:

Fixed Legs 1 & 2: 

The payment amount of the Fixed Legs are based on: Notional, Payment Frequency, Day Count 

Convention and Fixed Interest Rate. Payments are settled in accordance with the payment frequency of 

either leg 1 or leg 2 as agreed between Participants. Cross Currency Swaps may be traded with an 

exchange of principle FX'd at both start date and maturity and may also be traded with intra-swap FX 

exchanges as required and as agreed between Participants.

F. Cross-Currency Swap, Fixed/Float

Contract Definition:

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

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

Spread 

A spread between the fixed rate of one currency and the Floating Rate Index (e.g., SOFR, OIS Index of a 

second currency. 

Swap Types 

Fixed Rate v Floating Index Rate

Specific Trade Types

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

Spreads, Butterflies.

Trading Conventions

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

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

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

basis point. 

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

in Currency 2.

Swap Term (Tenor)

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

Swap Conventions

Fixed Leg, Currency 1Payment: 

Annual, Semi-Annual, Quarterly or as agreed by Participants
Day Count Conventions: 

as agreed by Participants and suitable to the Currency's market standards, e.g. 30/360, Act/365 etc. 

Holiday Calendar: 

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

Business Day Conventions: 

Modified Following with adjustment to period end dates or as agreed by Participants and suitable to the 

Currency's market standards.

Floating Leg, Currency 2Index: 

As agreed by participants and suitable to the Currency's market standards (e.g., SOFR, Fed Funds, OIS 

Index).

Payment/Resets: 

Annual, Semi-Annual, Quarterly, Monthly, Daily or as agreed by Participants.

Day Count Conventions: 

As dictated by Market Standard for the Floating Index, e.g., Act/360,Act/365, etc. 

Holiday Calendar: 

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

Fixing Calendar: 

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

Business Day Conventions: 

Modified Following with adjustment to period end dates or as agreed by Participants and suitable to the 

Currency's market standards.

Periodic Settlement Payment and Resets:

Fixed Leg: 

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

and Fixed Interest Rate.

Floating Leg: 

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

Convention, Floating Interest Rate Index and Floating Reset Dates. Payments are settled in accordance 

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

Swaps may be traded with an exchange of principle FX'd at both start date and maturity and may also be 

traded with intra-swap FX exchanges as required as agreed between Participants.

G. Non-Deliverable IRS, Fixed/Float

Contract Definition:

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

fixed and floating interest rate to a specified notional over a term to maturity but where settlement 

value of each cash flow is paid in a second Currency (typically USD),converted at the spot FX 

Fixing rate for the Notional Currency traded. This type of swap is common among Asian and Latin 

American currencies.

Spread 

A spread between a Fixed Rate and a Floating Rate Index (see list) of an off shore non-deliverable 

currency.

Swap Types

Fixed Rate v Floating Index Rate
Specific Trade Types

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

Spreads, Butterflies.

Trading Conventions

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

Currency 2

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

in Currency 2

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

basis point. 

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

Leg 2 in Currency 2

Swap Term (Tenor)

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

Swap Conventions

Fixed Leg, Currency 1Payment: 

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

Day Count Conventions: 

as agreed by Participants and suitable to the Currency's market standards, e.g. 30/360, Act/365 etc. 

Holiday Calendar: 

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

Business Day Conventions: 

Modified Following with adjustment to period end dates or as agreed by Participants and suitable to the 

Currency's market standards.

Floating Leg, Currency 2Index: 

As agreed by participants and suitable to the Currency's market standards (e.g., SOFR, Fed Funds, 

OIS).

Payment/Resets: 

Annual, Semi-Annual, Quarterly, Monthly, Daily or as agreed by Participants.

Day Count Conventions: 

As dictated by Market Standard for the Floating Index, e.g., Act/360,Act/365, etc.

Holiday Calendar: 

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

Fixing Calendar: 

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

Business Day Conventions: 

Modified Following with adjustment to period end dates or as agreed by Participants and suitable to the 

Currency's market standards.

Periodic Settlement Payment and Resets:

Fixed Leg: 

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

and Fixed Interest Rate.
Floating Leg: 

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

Convention, Floating Interest Rate Index and Floating Reset Dates. Payments are settled in accordance 

with the payment frequency of either leg 1 or leg 2 as agreed between Participants. Non-Deliverable IRS 

are traded with an exchange of principle FX'd at both start date and maturity and may also be traded with 

intra- swap FX exchanges as required.

H. Inflation Swaps

Inflation Swap, Fixed/Float

Contract Definition:

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

Index rate to a specified notional over a term to maturity.

IRS Types 

Fixed Rate v Floating Inflation Index Rate, e.g., CPI, HICP, RPI etc

Trading Conventions

Buy/Pay = Pay Fixed, Receive Floating Inflation Index

Sell/Receive = Receive Fixed, Pay Floating Inflation Index

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

Specific Trade Types

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

Spreads, Butterflies, Spreads between different Inflation Indices.

Swap Term(Tenor)

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

Swap Conventions

Fixed Leg:

Payment: 

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

Day Count Conventions: 

as agreed by Participants and suitable to the Currency's market standards, e.g., 30/360, Act/Act , etc.

Holiday Calendar: 

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

Business Day Conventions: 

Modified Following with adjustment to period end dates or as agreed by Participants and suitable to the 

Currency's market standards

Floating Leg Index: 

As agreed by participants and suitable to the Currency's market standards, e.g., CPI,HICP, RPI , etc.

Payment/Resets: 

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

Day Count Conventions: 

As dictated by Market Standard for the Floating Index, e.g., 30/360,Act/Act , etc. 

Holiday Calendar:

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

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

Business Day Conventions: 

Modified Following with adjustment to period end dates or as agreed by Participants and suitable to the 

Currency's market standards.

Periodic Settlement Payment and Resets:

Fixed Leg: 

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

and Fixed Interest Rate:

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

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

whereT is the tenor in Years, X is the Fixed Price.

Floating Leg:

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

Convention, Inflation Index and Floating Reset Dates:

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

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

Where DayFrac is the Day Fraction for the interval (n-1) to n.

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

Clearing:*

Available – LCH – Available Currencies: USD, EUR, GBP 

I. Constant Maturity Swaps

Constant Maturity Swap (CMS), Float/Float

Contract Definition:

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

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

the daily fixing of a medium-term Interest Rate Swap, typically 2Y, 5Y or 10Y. The second floating rate is 

a deposit index such as SOFR.

CMS Spread 

The spread between two floating rate indices of the same currency. 

CMS Types 

Floating ICE Swap Rate Constant Maturity (e.g., 5y IRS) vs Floating Rate (X)ibor Index (e.g., SOFR, 6m 

Euribor) + spread

Specific Trade Types

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

Spreads, Butterflies

Trading Conventions

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

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

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

Swap Term (Tenor)

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

Swap Conventions
Floating Leg 1

CMS Index: 

As agreed by participants and suitable to the Currency's market standards, e.g., ICE Swap Rate CMS 

Index.

Payment/Resets: 

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

Day Count Conventions: 

As dictated by Market Standard for each Index, e.g. 30/360, Act/365 etc.

Holiday Calendar: 

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

Fixing Calendar: 

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

Business Day Conventions: 

Modified Following with adjustment to period end dates or as agreed by Participants and suitable to each 

Currency's market standards.

Floating Leg 2

Index: 

As agreed by participants and suitable to the Currency's market standards, e.g., SOFR, Euribor , etc.

Payment/Resets: 

Semi-Annual, Quarterly, Monthly or as agreed by Participants.

Day Count Conventions: 

As dictated by Market Standard for the Floating Index, e.g., Act/360,Act/365, etc.

Holiday Calendar: 

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

Fixing Calendar: 

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

Business Day Conventions: 

Modified Following with adjustment to period end dates or as agreed by Participants and suitable to the 

Currency's market standards.

Periodic Settlement

Payment and Resets:

Floating Legs 1 & 2: 

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

Convention, Floating Interest Rate Index and Floating Reset Dates. Payments are settled in accordance 

with the payment frequency of the swap.

J. Constant Maturity Swap, Fixed/Float

Contract Definition:

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

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

Maturity because the underlying asset is the daily fixing of a medium-term Interest Rate Swap, typically 

2Y, 5Y or 10Y.

IRS Types 
Fixed Rate vs Floating ICE Swap Rate Constant Maturity (CMS) Rate.

Trading Conventions

Buy/Pay = Pay Fixed, Receive Floating CMS

Sell/Receive = Receive Fixed, Pay Floating CMS

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

Specific Trade Types

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

Butterflies.

Swap Term (Tenor)

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

Swap Conventions

Fixed Leg:

Payment: 

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

Day Count Conventions: 

as agreed by Participants and suitable to the Currency's market standards, e.g. 30/360, Act/365 etc. 

Holiday Calendar: 

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

Business Day Conventions: 

Modified Following with adjustment to period end dates or as agreed by Participants and suitable to the 

Currency's market standards.

Floating Leg

CMS Index: 

As agreed by participants and suitable to the Currency's market standards, e.g., ICE Swap Rate CMS 

Index.

Payment/Resets: 

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

Day Count Conventions: 

As dictated by Market Standard for the Floating Swap Index, e.g., Act/360, Act/365, etc.

Holiday Calendar: 

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

Fixing Calendar: 

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

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

Participants and suitable to the Currency's market standards.

Periodic Settlement

Payment and Resets:

Fixed Leg: 

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

and Fixed Interest Rate.

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

Convention, CMS Index Floating Interest Rate and Floating Reset Dates. Payments are settled in 

accordance with the payment frequency of the swap.

K. Forward Rate Agreements (FRA)

Contract Definition:

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

over a term to maturity and paying/receiving the difference according to valuation of an Index at 

FRA settlement date.

Trading Conventions

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

Fixed - Floating ]

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

receive [ Fixed - Floating ]

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

Specific Trade Types

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

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

FRA Term (Tenor)

As agreed by the Participants. A FRA contract can have a forward starting Tenor from 1 month to 36 

months.

FRA Conventions:

Start Date (Effective Date): 

Forward Settlement as agreed by the Participants

Maturity Date: 

Forward Start Date + FRA Index Tenor

Settlement: 

Cash settled on Forward Settlement Date as Traded Rate minus Index Fixing rate [ Fixed - Floating ]

Day Count Conventions: 

as agreed by Participants and suitable to the Currency's market standards, e.g., 30/360, Act/365, etc.

Holiday Calendar: 

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

Business Day Conventions: 

Modified Following with adjustment to period end dates or as agreed by Participants and suitable to the 

Currency's market standards.

Periodic Settlement

Payment and Resets:

Fixed Leg: 

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

and Fixed Interest Rate.

Floating Leg: 

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

Convention, Floating Interest Rate Index and Floating Reset Dates. Payments are cash settled on 

Forward Settlement Date as Traded Rate minus Index Fixing rate.
L. DTCC GCF Repo Swaps, Fixed/Float

Contract Definition:

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

a specified notional over a term to maturity.

IRS Types 

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

Agreement Index.

Trading Conventions

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

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

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

Specific Trade Types

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

Butterflies.

Swap Term (Tenor)

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

Swap Conventions

Fixed Leg:

Payment: 

Annual (or term if < 1 year)

Day Count Conventions: 

Act/360

Holiday Calendar: 

New York

Business Day Conventions: 

Modified Following with adjustment to period end dates, or as agreed between participants for more 

bespoke swaps

Floating Leg

Index: 

DTCC GCF Repo Index, Daily reset

Payment: 

Daily

Day Count Conventions: 

Act/360

Holiday Calendar: 

New York

Fixing Calendar: 

New York

Business Day Conventions: 

Modified Following with adjustment to period end dates, or as agreed between participants for more 

bespoke swaps.

Periodic Settlement
Payment and Resets:

Fixed Leg: 

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

and Fixed Interest Rate.

Floating Leg: 

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

Convention, Floating Interest Rate Index and Floating Reset Dates. Payments are settled in accordance 

with the payment frequency of the swap.

M. Interest Rate Swaps Specific to Underlying Currency:

USD Interest Rates 1 to 50 years:

(a) USD Spread Over (SOFR) these are the combination spot dated OIS 1 to 50 years 

Annual money market basis (ACT/360) on the fixed side versus ON SOFR on the floating 

side dealt with a hedge of benchmark treasuries of corresponding size; and

(b) USD SOFR OIS 1 to 50 years Annual money market basis (ACT/360) on the fixed side 

versus ON SOFR on the floating side

Euro interest rates swaps 1 to 50 years annual bond basis (30/360) on the fixed side versus 3 month 

EURIBOR (reference page EURIBOR01) on the floating side;

(a) Euro interest rates swaps 1 to 50 years annual bond basis (30/360) on the fixed side versus 

3 mth EURIBOR (reference page EURIBOR01) on the floating side;

(a) Euro interest rates swaps 1 to 50 years annual bond basis (30/360) on the fixed side versus 

6 month EURIBOR (reference page EURIBOR01) on the floating side;

(b) ESTR OIS 1 to 50 years annual money market basis (ACT/360) on the fixed side versus 

ON ESTR on the floating side

(c) 3 month v 6 month single currency basis spreads 1 to 50 years (traded as two swaps 

described above) with the spread between the fixed rates representing the spread dealt;

(d) BUND, BOBL and SCHATZ spreads are cockdated Euro interest swaps annual bond basis 

(30/360) on the fixed side versus 6 month EURIBOR (reference page EURIBOR01) dated 

from the maturity of the futures contract maturing on the maturity of the “Cheapest To 

Deliver” of the contract (“Stub” at the front) dealt with a futures hedge of corresponding 

size, quoting the front two contracts.

UK GBP Interest Rate Swaps – product types

a) GBP 1y to 50y Semi/Semi and all combinations of spreads and ‘flies;

b) GBP 1y to 50y 6v3s basis and all combinations of spreads and ‘flies (done as a 

single basis (floating/floating) swap); and

c) Sonia OIS 1y to 50y Annual Money market and all combinations of spreads and 

‘flies
UK GBP Interest Rate Swaps - Trading Days and timings

Trading on the Platform for Sterling Interest Rate Swaps shall take place on each Business Day, 

other than such days when NYSE Liffe or the Clearing House is closed for business. Tradition reserves the 

right to determine additional Trading Days after prior announcement thereof to the Participants. For the 

purposes of this rule, “Business Day” means every weekday that is not a holiday in New York. 

Brazil CDI Swap

A Brazilian CDI Swap is a swap where the floating rate is calculated using an average rate and has only 

one payment, which occurs at maturity.

The average rate used for the Floating Leg is the Average One-Day Interbank Deposit (aka CDI rate, or 

overnight DI rate) which is an annual rate and is calculated daily by the Central of Custody and Financial 

Settlement of Securities, Brazil, (CETIP). It represents the average rate of all inter-bank overnight 

transactions in Brazil.

IN USD SETTLEMENT :

ON THE SETTLEMENT DATE THE FOLLOWING PAYMENT WILL BE NETTED:

CDI PAYER PAYS :

BRL NOTIONAL CUMULATIVE ACCRUAL CDI / SPOT FX FIXING 

FIXED RATE PAYER PAYS :

BRL NOTIONAL 

BUSINESS DAYS FROM AND INCLUDING THE EFFECTIVE DATE UP TO AND EXCLUDING THE 

MATURITY DATE. 

SPOT FX FIXING:

THE PTAX-800 OPTION 5 OFFERED SIDE AS SPECIFIED IN ISDA 1998 FX AND CURRENCY 

OPTIONS DEFINITIONS- SETTLEMENT RATE

Settlement date: (T+1 from Maturity) subject to: BRBD + USNY business days.

BRBD = Brazil Business Day - a business day in any of Sao Paulo (BRSP), Rio de Janeiro (BRRJ) or 

Brasilia Fed Dist. (BRBR).

Colombian Interest Rate Swaps

The plain vanilla swap, fixed Colombian versus IBR (which is a Colombian floating overnight lending rate) 

is quoted with both fixed and floating side payment frequencies of bullet (or at maturity) for trades of 1 

month to 18 months, or quarterly, 2 year thru 30 year.

• Value: T+2

• Fixed/ Floating Rate Frequency: Bullet (1 month to 18 month), Quarterly (2 year to 30

year)

• Fixed/ Floating Rate Day count: ACT/360 Rates Swaps 2013

This market is subject to modified NY and Bogota business days. When a swap matures on a NY or 

Bogota holiday, we will roll forward to the next good business day, unless month end, in which case we 

will roll back to the first good business day.

Colombian UVR (Inflation) Interest Rate Swaps
The plain vanilla swap, fixed UVR (which is a Colombian floating inflation index) versus floating 6 Month 

US Dollar SOFR, is quoted with both fixed and floating side payment frequencies’ of semi-annually, 1 

year thru 30 year.

• Value: T+2 

Fixed/ Floating Rate Frequency: Bullet (1 month to 18

months). Quarterly (2 year to 30 years)

• 

• Fixed/ Floating Rate Day count: ACT/360

This market is subject to modified NY and Bogota business days. When a swap matures on a NY or 

Bogota holiday, we will roll forward to the next good business day, unless month end, in which case we 

will roll back to the first good business day.

Colombian Cross Currency Interest Rate Swaps

The plain vanilla swap, fixed Colombian versus floating US Dollar SOFR, is quoted with both fixed and 

floating side payment frequencies of semi-annually, 1 year thru 30 year.

1. Value: T+2

2. Fixed/ Floating Rate Frequency: Quarterly (6months to 1 year) 

3. Fixed/ Floating Rate Day count: ACT/360

This market is subject to modified NY and Bogota business days. When a swap matures on a NY or 

Bogota holiday, we will roll forward to the next good business day, unless month end, in which case we 

will roll back to the first good business day.

Columbia COP/IBR fixed COP rate against floating COP rate (IBR):

1. <2yr bullet payment (1 payment at maturity)equal to CLP IRS (O/N IBR rate compound to 

maturity)

2. 2yr out coupon payments quarterly (O/N IBR rate compound quarterly)

3. All non-delivery

4. All dates (payment, fixing, , etc.) USNY and COP business calendars

5. ACT/360 (normal Calendar)

6. Ref Page: BBG COOVIBR INDEX or http://www.banrep.gov.co/seriesestadisticas/see_tas_inter_ibr.htm

Peruvian Cross Currency Interest Rate Swaps

The plain vanilla swap, fixed Peruvian versus floating US Dollar SOFR, is quoted with both fixed and 

floating side payment frequencies of semi-annually, 1 year thru 20 year.

1. Value: T+2

2. Fixed/ Floating Rate Frequency: Semi-Annually (1 year to 20 year)

3. Fixed/ Floating Rate Day count: ACT/360

This market is subject to modified NY and Lima business days. When a swap matures on a NY or Lima 

holiday, we will roll forward to the next good business day, unless month end, in which case we will roll 

back to the first good business day.

Peruvian Interest Rate Swaps

The plain vanilla swap, fixed Peru versus TIS (which is a Peruvian floating overnight lending rate) is 

quoted with both fixed and floating side payment frequencies of bullet (or at maturity) for trades of 1 

month to 11 months, or semi-annually , 1 year thru 30 year.

1. Value: T+2

2. Fixed/ Floating Rate Frequency: Bullet (1 month to 11 month), Semi-annually (1 year to 30 year)

3. Fixed/ Floating Rate Day count: ACT/360

This market is subject to modified NY and Lima business days. When a swap matures on a NY or Lima 

holiday, we will roll forward to the next good business day, unless month end, in which case we will roll 

back to the first good business day.
Peruvian VAC (Inflation) Interest Rate Swaps

The plain vanilla swap, fixed VAC (which is a Peruvian floating inflation index) versus floating US Dollar 

SOFR, is quoted with both fixed and floating side payment frequencies of semi-annually, 1 year thru 30 

year.

1. Value: T+2

2. Fixed/ Floating Rate Frequency: Semi-Annually (1 year to 30 year)

3. Fixed/ Floating Rate Day count: ACT/360

This market is subject to modified NY and Lima business days. When a swap matures on a NY or Lima 

holiday, we will roll forward to the next good business day, unless month end, in which case we will roll 

back to the first good business day.

Argentine Cross Currency Interest Rate Swaps

The plain vanilla swap, fixed Argentine versus floating US Dollar SOFR, is quoted with both fixed and 

floating side payment frequencies of semi-annually, 1 year thru 30 year.

1. Value: T+2

2. Fixed/ Floating Rate Frequency: Semi-Annually (1 year to 30 year)

3. Fixed/ Floating Rate Day count: 30/360

This market is subject to modified NY and Buenos Aires business days. When a swap matures on a NY 

or Buenos Aires holiday, we will roll forward to the next good business day, unless month end, in which 

case we will roll back to the first good business day.

Argentine CER (Inflation) Interest Rate Swaps

The plain vanilla swap, fixed CER (which is a Argentine floating inflation index) versus floating US Dollar 

SOFR, is quoted with both fixed and floating side payment frequencies of semi-annually, 1 year thru 30 

year.

1. Value: T+2

2. Fixed/ Floating Rate Frequency: Semi-Annually (1 year to 30 year)

3. Fixed/ Floating Rate Day count: 30/360

This market is subject to modified NY and Buenos Aires business days. When a swap

matures on a NY or Buenos Aires holiday, we will roll forward to the next good business day,

unless month end, in which case we will roll back to the first good business day.

Mexican Interest Rates Swaps

The basic fixed-for-floating interest swap in Mexico is the so-called TIIE swap, an OTC and exchange 

traded contract that settles in MXN and follows the ISDA guidelines.

CASH FLOWS EXCHANGED EVERY 28 DAYS

DAY COUNT: ACT/360 FOR FIXED AND FLOATING LEGS

Regulatory: ISDA DOCUMENTATION

TIIE swaps trade OTC. They settle in Pesos in Mexico (i.e. through domestic 

correspondents). The daily trading session is 8.00am to 2.00pm Mex Time.

Settlement is T+1.

Both the fixed and the floating legs on the swap are calculated according to an 

Actual/360 day-basis and are paid on a 28-day adjusted (succeeding) roll basis. 

Interest rate swaps reference rate is 28-days TIIE rate.

Typical turnover is anything from MXN 500m to MXN 20bn notional per day, 

depending on liquidity.

The typical bid/offer is in the range of 3 bps.

Quotes are available for DV01 neutral trades (spread trades). 

Trading is from 3 months out to 20 years, with decent liquidity along the curve

Swaps only trade OTC.

This market is subject to Mexico following business day convention. When a 28 day 

period ends in a Mexican holiday, it is rolled forward to the next good business day in 

Mexico.

TIIE-SOFR BASIS SWAP (MEXICO) 

Trading

Settlement

Fixed/floating 

leg conventions

Reference rate

Daily turnover

Typical bid offer

Spread trades

Liquidity

Secondary 

market liquidity
A basis swap in the Mexican market is a floating/floating swap where banks can exchange SOFR 

+ spread vs the 28 day TIIE flat.

Trading: Basis Swaps trade in USD. 

The daily trading session is 8.00am to 2.00pm Mexico Time

Settlement is T+2

Reference rate: Interest rate swaps reference rate is 28-days TIIE rate and the 1M SOFR

Clearing:* Available - CME

INFLATION-LINKED INTEREST RATE SWAPS MEXICO

1. UDI – SOFR cross currency swap

In the OTC inflation-linked swap market the most standardized contract is a fixed real rate (UDI rate) 

for floating USD SOFR flat. In this contract one counterparty agrees to pay/receive a fixed real coupon 

(UDI rate) every six months and receive/pay a floating USD SOFR. Principals are exchanged at the start 

and end of the swap contract.

UDI – SOFR swap key characteristics

Floating leg: USD SOFR

Fixed leg: UDI rate (a real rate)

Documentation: ISDA guidelines

Coupon frequency: Semi - annual

Coupon basis: Act / 360 on both legs

Settlement is T+2

USD SOFR reference:

Payments (both legs):

Payments subject to NY and Mexico City Modified Following Business Day Convention

2. Fixed real rate for floating nominal rate (UDI vs TIIE) swap 

This is a fixed rate (UDI rate) for floating rate (TIIE) swap contract. In this swap, both parties agree at 

the beginning of the contract to exchange at maturity a MXN-denominated notional for a UDI-denominated 

notional. This is based on the value of the UDI index prevailing on the initial date.

UDI – TIIE swap contract key characteristics

TIIE rate

(Floating leg: 28-day TIIE

Fixed leg: UDI rate (a real rate)

Documentation: ISDA guidelines

Settlement is T+1

Coupon frequency (fixed leg):

182-days (ACT/360) subject to Mexico City "Following Business Day" convention

Coupon frequency (floating leg):

28-days (ACT/360) subject to Mexico City "Following Business Day" convention

TIIE determination convention:

Set 1 Mexico City business day prior to each calculation period

Principal exchanges: Just at maturity; no initial exchange

Chile IRS

IRS CLP & IRS UF

DAY COUNT: ACT/360 FOR FIXED AND FLOATING LEGS

Regulatory: ISDA DOCUMENTATION
 

T+2

If the trade was closed to 1.5Y is zero Coupon.

If the trade is above 1,5 Year the netting will be semiannual.

Both the fixed and the floating legs on the swap are calculated according to an 

Actual/360 days

Stated in the contract

The typical bid/offer is in the range of 5 bps.

Quotes are available for DV01 neutral trades (spread trades). 

Trading is from 3 months out to 20 years.

Swaps only trade OTC.

CROSS-CURRENCY UF Peso Swap

These contracts are bilateral clearing where the payment of compensation is only at the maturity date.

Regulatory: ISDA DOCUMENTATION

 

T+2

Zero Coupon.

Both the fixed and the floating legs on the swap are calculated according to an 

annually ACT/360

Stated in the contract UF Fwd Rate.

0 

The typical bid/offer is in the range of 15pesos.

Trading is from 1 months to 1.5 years.

Swaps only trade OTC.

PAYMENT CALENDAR New York and Santiago, Chile

Start date

Maturity date 

Fixed/floating 

leg conventions

Reference rate

Typical bid offer

Spread trades

Liquidity

Secondary 

market liquidity

Start date

Maturity date 

Fixed/floating 

leg conventions

Reference rate 

UF Reference rate 

2 Typical bid offer

Liquidity

Secondary 

market liquidity
Chile Currency Basis Swap

These contracts are with bilateral netting, where payment derived from the difference between SOFR stated 

in the contract and in effect on the date of the end of the operation variable is calculated.

DAY COUNT: ACT/360 FOR FIXED AND FLOATING LEGS

Regulatory: ISDA DOCUMENTATION

 

T+2

If the trade was closed to 1.5Y is zero Coupon.

If the trade is above 1,5 Year the netting will be semiannual.

Both the fixed and the floating legs on the swap are calculated according to an 

Actual/360 days

Stated in the contract

SOFR

The typical bid/offer is in the range of 10 bps.

Quotes are available for DV01 neutral trades (spread trades). 

Trading is from 1 year out to 20 years.

Swaps only trade OTC.

Chile Peso Fixed vs Camara Floating Rate OIS

“Camara” is an overnight index calculated on a daily basis by an official entity (ABIF) based

on the overnight lending rate published by the Chilean Central Bank. The swap is quoted with both fixed 

and floating side payment frequency of bullet (at maturity) for trades of 1 month to 18 months or semiannual from 2 years and longer (up to30 years).

1. Value Date: t+2

2. Rate Day Count: ACT/360

3. Rate Frequency: Zero Coupon from 1 month to 18 months and s/a from2 years and longer.

4. Day Convention: Modified Following

5. Calendars: New York & Santiago

CLF Fixed vs Camara Floating Rate XCCY OIS

CLF is an Inflation currency derived from the Inflation Index called UF. This swap can be called UF 

vs Camara or CLF vs Camara. Both (UF & CLF) names are synonymous. This swap can be considered 

as Cross Currency Swap because the floating rate is CLP TNA against the Inflation Index currency on the 

fixed side. This swap trades from 1 month up to 18 months zero coupon (at maturity) with maturity on the 

day 9th of the correspondent month, So can be long stub at the beginning of the month and short stub at 

the end of the month. Example. Today is 2013 October 1st, the Value Date is Oct 3rd (t+2), 1 year tenor 

will be for Oct 9th 2014 (371 days for 1 year trade), Now if today is October 22nd, Value Date Oct 24th 

then the 1 year trade will be for Oct 9th 2014(350 days for 1 year trade).From 2 years and longer, semiannual frequency on regular swap dates conventions.

1. Value Date t+2

2. Rate Day Count ACT/360

3. Rate Frequency Zero Coupon from 1 month to 18 months and s/a from 2years+

4. Day Convention Modified Following

5. Calendars New York & Santiago

Asian IRS Conventions:

Australian Dollar (AUD)

Business Days – Sydney

Reference Rate – AUD-BBR-BBSW published daily on Reuters ‘BBSW’

Business Days – Sydney

Reference Rate – AONIA published daily by the Reserve Bank of Australia on Reuters ‘RBA30’

Hong Kong Dollar (HKD)

Start date

Maturity date 

Fixed/floating 

leg conventions

Reference 

rate1 Reference 

rate2 Typical bid offer

Spread trades

Liquidity

Secondary 

market liquidity
Business Days – Hong Kong

Reference Rate – HKDHIBOR published daily on Reuters ‘HIBOR2=R’

Japan Yen (JPY)

Business Days – London, New York & Tokyo

Business Days – Tokyo

Reference Rate – JPYTIBOR published on Reuters ‘TIBM’

Business Days – Tokyo

Reference Rate – JPYTONAR published on Reuters ‘TONAR’

Korean Won (KRW)

Business Days – Seoul

Reference Rate – KRW-CD-KSDA published daily on Bloomberg ‘KSDA4’

New Zealand Dollar (NZD)

Business Days – Wellington

Reference Rate – NZD-BBR-BID published daily on Reuters ‘BKBM’

Reference Rate – NZD-NZIONA-OIS published daily by the Reserve Bank of New Zealand on 

Reuters‘RBNZ02’

Singapore Dollar (SGD)

Business Days – London, New York & Singapore

Reference Rate – SOR published daily on Reuters ‘ABSFIX01’

Thailand Baht (THB)

Business Days – Bangkok, London & New York

Reference Rate – THBFIX published daily on Reuters ‘THBFI

N. Interest Rate Options

Overview

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

instrument (payers or receivers swaption - usually cash settled at expiry) or a series of pay-offs based 

upon future index fixings (cap/floor). Exercise of this option is dependent upon the strike price agreed at 

the time of the original contract being "in the money" at expiry, i.e. higher than the fixing rate for a 

receivers swaption or floor (puts), lower for a payers swaption or cap (calls).

Swap Options

Interest Rate Swaption

Contract Overview

An option to enter into an Interest Rate Swap contract ('Underlying Swap') at pre-defined time(s), typically 

a Fixed/Float IRS with its Fixed Rate equal to the Strike.

Type 

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

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

Trade Convention

Buy = Buy the right to exercise the option.

Sell = Sell the right to exercise the option.

Trade Currency 

Available currencies as defined in this Product Listing.

Trade Date 

Date on which the trade is conducted.
Price Quote Convention

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

Premium Amount

( Notional * Price )

Premium Payment Date

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

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

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

Strike 

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

Minimum Notional

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

Exercise Type 

European

American

Bermudan

Expiry Date 

Exercise date(s) of the option.

1 day to 50 years from Trade Date.

European

Exercise only on the Expiry Date and Time specified.

American

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

Bermudan

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

Tenor 

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

Settlement Type

Cash

Physical

Cleared Physical

Dates and conventions as defined by ‘ISDA 2021 Definitions’.

Payment Amount

As defined by ‘ISDA 2021 Definitions’ according to Settlement Type.

Underlying Swap Effective Date

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

Definition of Underlying Swap

Fixed/Floating Interest Rate Swap

Trade Strategies

Payers/Receivers
ISDA OTC Taxonomy

Asset Class 

Interest Rate

Base Product 

IR Swap

Sub-Product 

Swaption

Included Definitions

2021 ISDA Definitions, as amended.

Cancellable Swap Contract Overview 

An option to exit an Interest Rate Swap contract ('Underlying Swap') at pre-defined time(s), typically a 

Fixed/Float IRS with its Fixed Rate equal to the Strike.

Type 

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

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

Trade Convention 

Buy = Buy the right to exercise the option.

Sell = Sell the right to exercise the option.

Trade Currency 

Available currencies as defined in this Product Listing

Trade Date 

Date on which the trade is conducted.

Price Quote Convention

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

basis point. 

Premium Amount 

( Notional * Price )

Premium Payment Date

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

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

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

Strike 

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

Minimum Notional 

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

Exercise Type 

European

American

Bermudan

Expiry Date 

Exercise date(s) of the option.

1 day to 50 years from Trade Date.

European
Exercise only on the Expiry Date and Time specified.

American

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

Bermudan

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

participants.

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

Settlement Type Cash

Physical

Cleared Physical

Dates and conventions as defined by ‘ISDA 2021 Definitions’.

Payment Amount 

As defined by ‘ISDA 2021 Definitions’ according to Settlement Type.

Underlying Swap Effective Date

As agreed by the participants.

Underlying Swap Termination/Maturity Date

Number of business days after the option is exercised.

Fixed/Floating Interest Rate Swap

Trade Strategies 

Payers/Receivers

ISDA OTC Taxonomy

Asset Class

Interest Rate

Base Product 

IR Swap

Sub-Product 

Swaption

Included Definitions 

2021 ISDA Definitions

Other Options:

Interest Rate Option

Contract Definition

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

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

Trading Conventions

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

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

Trade Currency

Available currencies as defined herein.

Trade Date 

Date on which the trade is conducted.

Price Quote Convention
Quoted in BP

Spot or Forward.

Specific Option Types

Cap, Floor, CMS Spread Option, Exotic

Swap Term (Tenor)

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

Swap Conventions

Option Leg:

Index: 

As agreed by participants and suitable to the Currency's market standards { Interest Rate Indices (as per 

ISDA 2021 or agreed by Participants), Inflation Indices (as per ISDA 2008), and spreads of the 

aforementioned }

Rate: 

A function of the index including caps and floors

Payment/Resets: 

As per ISDA 2021

Day Count Conventions: 

As per convention for the trade Currency.

Holiday Calendar: 

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

Fixing Calendar: 

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

Business Day Conventions: 

As agreed by Participants

Floating / Fixed Leg Index or Fixed Rate: 

As agreed by Participants

Payment/Resets: 

As per ISDA 2021

Day Count Conventions: 

As per Interest Swap convention for the trade Currency by default.

Holiday Calendar: 

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

Fixing Calendar: 

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

Business Day Conventions: 

As agreed by Participants

Periodic Settlement

Payment and Resets:

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

and Fixed Interest Rate.

Floating Leg: 

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

Convention, Floating Interest Rate Index and Floating Reset Dates. Payments are settled in accordance 

with the payment frequency of the swap.

Interest Rate Option - IR/Inflation Cap/Floor

Price Quote Convention

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

a spread paid each period of the option leg.

Swap Conventions

Option Leg (only leg of structure):

Index:

IR = Interest Rate Indices as per ISDA 2021 or as agreed by participants.

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

as an annualized rate.

Rate:

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

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

Tenors 

1 day to 60 years

Strategies 

Straddle, Strangle, Collar

O. Market Agreed Coupon (MAC) Swaps

Overview

MAC (Market Agreed Coupon) swaps allow increased efficiency in clearing, hence lowering the cost of 

trading. MAC swaps will be listed with standard terms to facilitate portfolio compression. One type of 

compression is the process of removing positions which have the same economic terms. In a cleared 

market, if all economic terms are the same but opposite, the line items can be removed completely 

leaving just the present value P&L as a cash balance without the clearing commitment of an annuity 

based P&L.

Contract Definition:

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

a specified notional over a term to maturity.

Trad-x Identifier: Swap vs 3M MAC [tenor], [LCH.Clearnet or CME], example identifiers: 

CME instrument - USD.MAC-275.C:M15-27

LCH instrument - USD.MAC-275.L:M15-27

Available Currency: USD

Floating Rate Index: USD SOFR

Quoting Convention /

Minimum Increments: As agreed by counterparties.

Contract Size / Notional: Fixed notional; as agreed by counterparties.
Minimum Size: As agreed by counterparties.

Trading Conventions: Buy = Pay Fixed, Receive Float. Sell = Receive Fixed, Pay Float.

Tenors: 1, 2, 3, 4, 5, 7, 10, 15, 20 and 30 years.

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

and floating interest rate payments. Also known as the start date of the swap.

Maturity Date: 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.

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

First Fixing Date: The first Fixing Date is 2 London business days prior to the Effective Date.

Trade Start Types: International Money Market (“IMM”) (next two IMM dates).

Fixed Rate: Standard Coupon: the then-current rates for Market Agreed Coupon (“MAC”) 

contracts

Settlement Procedure: As determined by the Clearing Venue.

Trading Hours: The operating hours of Tradition SEF as described in the relevant Product Supplement

 or Notice to Participants.

Clearing: LCH.Clearnet or CME

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