trueEX

August 22, 2016 

Via E-Mail: submissions@cftc.gov 

Christopher J. Kirkpatrick 

Secretary of the Commission

Commodity Futures Trading Commission

Three Lafayette Centre

1155 21st Street, N.W. 

Washington, D.C. 20581 

RE: trueEX LLC Product Certification (trueEX LLC submission #2016‐05S)

Dear Mr. Kirkpatrick: 

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

and Commission Regulation 40.2(a), trueEX LLC (“trueEX” or the “Exchange”) hereby 

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

product certification as indicated below: 

Products to be listed and related trueEX Rule: 

• Rule 1001

o Added Brazilian Real (BRL) as a non-major currency and its related terms

• Rule 1002(d)

o Added 9 and 12 year tenors as listed tenors available for trading for MAC Swaps.

• Rule 1003

o This new rule includes complete contract specification for Overnight Index Swaps

(OIS) denominated in United States dollar, European Union Euro Area euro,

Japanese yen, United Kingdom pound sterling, Canadian dollar, and Swiss franc.

Pursuant to Commission Regulation 40.2, this submission includes: 

i. The Submission Cover Sheet

ii. A copy of the Contract’s rules (Rules 1001, 1002 and 1003 of the trueEX

Rulebook)

iii. The intended listing date (August 24, 2016);

Each addition to the aforementioned rules is detailed in the redlined excerpts of the 

Exchange’s Rulebook attached as Exhibit 1, with the final wording attached as Exhibit 2 

to this letter. 
trueEX

A concise explanation and analysis of these additional Contracts, and their compliance 

with applicable provisions of the Commodity Exchange Act (the “Act”), including core 

principles, and the Commissions regulations thereunder, can be found in Exhibit 3. 

trueEX certifies that this product certification and rule amendments comply with the Act 

and the Commission’s regulations thereunder. There were no substantive opposing views 

expressed by the trueEX governing board or market participants to the addition of these 

Contract or the related rule amendments.

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

Web Site at http://www.trueex.com/rules-and-notices. This certification is intended to 

be effective on August 24, 2016. 

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

email at fran@trueex.com. 

Sincerely,

Fran Kenck

Chief Compliance Officer/Chief Regulatory Officer
82 

CHAPTER 10 

INTEREST RATE SWAP CONTRACTS 

RULE 1001. Fixed for Floating Interest Rate Swap Contracts 

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

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

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

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

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

System and SEF Trading System, as well as the attributes related to each Currency can be found on 

Schedule 1001 on the Web Site (www.trueex.com). 

(b) Trading Hours. 

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

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

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

(EST/EDT). 

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

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

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

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

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

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

(c) Currency. 

(i) Super-Major Currencies 

 United States dollar (USD)

 European Union Euro Area euro (EUR)

 Japan yen (JPY)

 United Kingdom pound sterling (GBP)

(ii) Major Currencies 

 Australia dollar (AUD)

 Canada dollar (CAD)

 Denmark krone (DKK)

 Kingdom of Norway krone (NOK),

 Kingdom of Sweden krona (SEK)

 New Zealand dollar (NZD)

 Republic of South Africa rand (ZAR)

 Switzerland franc (CHF)

(iii) Non-Major Currencies 

 Brazilian Real (BRL)

 Czech Koruna (CZK)

EXHIBIT 1
83 

 Hong Kong dollar (HKD)

 Hungarian Forint (HUF)

 Mexican Peso (MXN)

 Polish Zloty (PLN)

 Singapore dollar (SGD)

(d) Trading Conventions. 

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

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

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

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

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

(i) Fixed Leg 

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

(B) Day Count Convention. 

 30/360

 30E/360

 30E/360.ISDA

 ACT/360

 ACT/365.Fixed

 ACT/365.ISDA

 ACT/ACT.ISMA

 ACT/ACT.ISDA

 ACT/ACT.ICMA

 BUS/252

(C) Holiday Calendar. Dependent on Currency 

 US – New York (USNY)

 Europe – Target (EUTA)

 Great Britain – London (GBLO)

 Japan – Tokyo (JPTO)

 Australia – Sydney (AUSY)

 Canada – Toronto (CATO)

 Denmark – Copenhagen (DKCO)

 New Zealand – Wellington (NZWE)

 New Zealand – Auckland (NZAU)

 Norway – Oslo (NOOS)

 South Africa – Johannesburg (ZAJO)

 Sweden – Stockholm (SEST)

 Switzerland – Zurich (CHZU)

 Brazil – Brazil Business Day (BRBD)

 Czech Republic – Prague (CZPR)

 Hong Kong –(HKHK)
84 

 Hungary – Budapest (HUBU Singapore – (SGSI)

 Mexico – Mexico City (MXMC)

 Poland – Warsaw (PLWA)

 Singapore – Singapore (SGSI)

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

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

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

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

the day rolls to the preceding day. 

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

(ii) Floating Leg 

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

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

(B) Day Count Convention. 

 30/360

 30E/360

 ACT/360

 ACT/365.Fixed

 ACT/ACT.ISDA

 30E/360.ISDA

 ACT/ACT.ICMA

 BUS/252

(C) Holiday Calendar. Dependent on Currency 

 US – New York (USNY)

 Europe – Target (EUTA)

 Great Britain – London (GBLO)

 Japan – Tokyo (JPTO)

 Australia – Sydney (AUSY)

 Canada – Toronto (CATO)

 Denmark – Copenhagen (DKCO)

 New Zealand – Wellington (NZWE)

 New Zealand – Auckland (NZAU)

 Norway – Oslo (NOOS)

 South Africa – Johannesburg (ZAJO)

 Sweden – Stockholm (SEST)

 Switzerland – Zurich (CHZU)

 Brazil – Brazil Business Day (BRBD)

 Czech Republic – Prague (CZPR)

 Hong Kong –(HKHK)

 Hungary – Budapest (HUBU)

 Mexico – Mexico City (MXMC)

 Poland – Warsaw (PLWA)

 Singapore – Singapore (SGSI), London (GBLO)
85 

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

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

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

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

the day rolls to the preceding day. 

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

(F) Float Rate Index. 

 USD-LIBOR-BBA 

 EUR-EURIBOR-REUTERS 

 EUR-EURIBOR-Telerate 

 EUR-LIBOR 

 JPY-LIBOR-BBA 

 GBP-LIBOR-BBA 

 AUD-BBR-BBSW 

 CAD-BA-CDOR 

 DKK-CIBOR-DKNA13 

 DKK-CIBOR2-DKNA13 

 NOK-NIBOR-NIBR 

 SEK-STIBOR-SIDE 

 NZD-BBR-FRA 

 ZAR-JIBAR-SAFEX

 BRLCDI

 CHF-LIBOR-BBA 

 CZK-PRIBOR-PRBO 

 HKD-HIBOR-HKAB 

 HUF-BUBOR-REUTERS 

 MXN-TIIE-Banxico 

 PLN-WIBOR-WIBO 

 SGD-SOR-REUTERS 

 SGD-SOR-VWAP 

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

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

appropriate Business Day Convention. 

(g) Trade Start Type 

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

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

Date (T+2). 

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

Date for a Spot Starting swap. 

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

Maturity Date may also be referred to as the “Termination Date” or “End Date”. 
86 

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

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

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

and 30 years. 

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

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

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

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

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

Starting. 

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

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

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

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

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

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

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

supports the following roll types: 

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

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

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

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

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

Convention employed. 

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

March, June, September and December. 

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

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

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

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

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

the Trade Date, for both Floating and Fixed Rates. 

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

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

prior to the Effective Date 

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

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

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

determined using linear interpolation based on the two index rates that surround the Stub Period. 
87 

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

2 Month (2M), 3 Month (3M), 6 Month (6M), 9 Month (9M), 12 Month (12M) 

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

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

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

floating rate. 

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

(o) Contract Size. 

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

increments of $1 million USD depending on Tenor. 

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

USD. 

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

of $1,000 USD. 

(p) Quoting Convention 

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

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

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

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

decimal places. 

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

points are quoted to 1 decimal place. 
88 

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

points are quoted to 1 decimal place. 

(q) Minimum Price Fluctuation. 

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

point). 

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

basis point). 

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

of a basis point). 

(r) Last Trading Day. 

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

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

of the swap. 

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

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

factors: 

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

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

Count Convention, Business Day Convention, and Roll Day. 

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

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

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

(t) Block Trades. 

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

Block Trade sizes in accordance with Appendix F to Part 43 of the CFTC Regulations: 
89 

 Minimum Block Size ($ Notional) 

Initial Maturity greater 

than

Initial Maturity less 

than or equal to 

Super Major 

Currencies 

Major 

Currencies 

Non-Major 

Currencies 

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

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

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

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

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

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

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

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

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

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

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

date of execution of the swap transaction. 

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

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

original Tenor of the Contract. 

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

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

have agreed to the terms of such Block Trade. 

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

order entry. 

RULE 1002. Market Agreed Coupon (“MAC”) Interest Rate Swap Contracts 

(a) Contract Description. This Contract is a forward starting Fixed for Floating Interest Rate 

Swap that exchanges periodic fixed interest payments at a rate equal to the market agreed coupon 

recommended by the Securities Industry and Financial Markets Association Asset Management Group 

(SIFMA AMG) for the relevant Tenors and Currencies. This Rule 1002 contains general information 

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

SEF Trading System, as well as the attributes related to each Currency can be found on Schedule 1002 on 

the Web Site (www.trueex.com). 

(b) Trading Hours. 

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

applicable to the Contract described in this Rule 1002 will commence each Business Day at 8:00 

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

(EST/EDT). 

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

applicable to the Contract described in this Rule 1002 will be as follows: 

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

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

(EST/EDT). 
90 

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

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

(EST/EDT). 

(c) Currency. US Dollar, British Pound, Canadian Dollar, Euro, Japanese Yen 

(d) Listing/Trading Conventions. The terms of a MAC Swap are based on the criteria below. 

(i) Series. The Exchange will list four MAC Swap Series each year on a quarterly 

cycle, in connection with quarterly International Monetary Market (IMM) dates, in March, June, 

September and December. Each Series will be identified by the month and year of their applicable 

IMM start date. 

Prior to December 2014: 

(A) On-the-Run. The two most current Series will be listed 

concurrently for trading at any one time. 

(B) Off-the-Run. After the Last Trading Day of an On-the-Run 

MAC Swap Series, the Series will be listed as Off-the-Run for one year after its Last 

Trading Day as an On-the-Run Swap. Transactions in Other Tenors (with the exception of 

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

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

From December 2014: Two Series will be available at any point in time, with a 

third Series being added in the month of the most current IMM date, as follows: 

(A) Nearby and Second Series. The two most immediate (Nearby and 

Second) Series will be available concurrently for trading at any one time. Provided these 

swaps meet other made available to trade criteria, transactions in the Nearby and Second 

Series will represent Required Transactions. 

(B) Third Series. The Exchange will list a Third Series in the month of the 

most current IMM date (for example, in October and November, the December and March 

Series will be available as the Nearby and Second Series, respectively. In December, the 

June Series will be listed as the Third Series concurrently with the December and March 

Series). 

(ii) Tenor. The duration of time from the Effective Date of the MAC Swap to the 

Maturity Date. The Exchange may list Tenors of 1, 2, 3, 4, 5, 7, 9, 10, 12, 15, 20 and 30 years for 

each Series. 

(iii) Holiday Calendar. New York and London 

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

dates. Business days in this convention must be valid business days on both the New York and 

London calendar. If not, it will be the next day that is a business day on both the New York and 

London calendar. 

(v) First Trading Day. 
91 

Prior to December 2014: 

(A) On-the-Run. Six months and two business days prior to the IMM date for 

the Series. IMM dates are the third Wednesday in March, June, September and December. 

For example, the first trading day for the September Series will be two business days prior 

to the March IMM date. 

(B) Off-the-Run. One business day after the Last Trading Day as an On-theRun MAC Swap. 

From December 2014: 

(C) Nearby and Second Series are listed concurrently. 

(D) Third Series. The First Trading Day of the Third Series is the first 

Business Day of the current IMM month. At its discretion, the Exchange reserves the 

right to make the Third Series available earlier or later than the First Business Day of the 

current IMM Month, provided SIFMA AMG’s MAC Sub-Committee has published 

recommended MAC coupons for the Third Series. 

(vi) Last Trading Day 

Prior to December 2014: 

(A) On-the-Run. Three business days prior to the IMM date for the Series. 

(B) Off-the-Run. One year after the Last Trading Day as an On-the-Run 

MAC Swap. 

From December 2014: 

(C) Nearby Series. The Last Trading Day applies to Nearby Series Only. The 

Last Trading Day for which transactions in the Nearby Series will be deemed to be 

Required Transactions will be one Business Day prior to the current IMM date. On the 

current IMM date, the Nearby Series will become a previous Series (known as a grey 

Series), the Second Series will become the new Nearby Series, and the Third Series will 

become the new Second Series. 

(D) Transactions in each previous Series will be available on the DCM and 

SEF Trading Systems as Permitted Transactions. 

(vii) MAC Fixed Rate. The market agreed coupon rate for each Series will be equal to 

the MAC coupons recommended by SIFMA AMG’s MAC Sub-Committee and published 

periodically at www.sifma.org. 

(A) Methodology. The MAC coupon for each Tenor of a Series will be set 

close to par based on the three month or six month forward curve rounded up or down to 

the nearest 25 basis points. 

(B) Adjustments. The Exchange reserves the right to adjust MAC Fixed 

Rates in the event forward rates move more than 50 basis points from the MAC Fixed 

Rate for any Tenor in a Series. The Exchange will list the adjusted Series (referred to as 

Version) on the first business day following the rate adjustment. The original Series and 
92 

any subsequent Versions will be available until the Last Trading Day for the Series, at 

which time they will become previous (or grey) Series. 

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

(A) Outrights. 

(B) Switches. 

(1) Calendar Switches (including rolls). Calendar switches/rolls are 

simultaneous trades of two different Series of the same Tenor (for example, June 5 

year vs. September 5 year). 

(2) Tenor Switches. Tenor switches are simultaneous trades of two 

Tenors in the same Series (e.g. June 5 year vs. June 10 year). 

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

(ix) Contract size 

(A) Minimum notional size of $1 Million USD and increments of $1 Million 

USD. 

(B) Block Trades. Minimum notional size as indicated in Rule 1002(e) and 

increments of $1 Million USD. 

(x) Quoting convention. 

(A) Outrights. A MAC Swap will be quoted based on price (not yield), where 

100 points equals par, or can be quoted based on the Upfront Payment (which is a function 

of price). 

(B) Switches. 

(1) Calendar Switch prices will be quoted as the difference between 

the later start date and the earlier start date. 

(2) Tenor Switches. Tenor Switch prices will be quoted as the 

difference between the longer Tenor and the shorter Tenor. 

(C) Minimum Price Increments. For Outrights and Switches, Minimum Price 

Increments are: 

(1) .001 when MAC Swap is quoted in Price. 

(2) $1 when MAC Swap is quoted as Upfront Payment. 

(xi) Upfront Payment. An upfront payment will be exchanged between the payer and 

the receiver of an MAC Swap. The direction and amount of the payment is dependent on the price 

at which the MAC Swap was transacted on. 
93 

(A) Payment Direction. 

(1) If Price > 100, the Fixed Rate Payer receives payment from the 

Fixed Rate Receiver. 

(2) If Price < 100, the Fixed Rate Payer makes payment to the Fixed 

Rate Receiver. 

(B) Payment Calculation. Upfront Payment is calculated using the following 

formula: 

(1) If P > 100 (implying that the current market fixed rate is less than 

the MAC Fixed Rate), the payment will be calculated as follows: 

P = 100 + (Upfront Payment * 100) OR Upfront Payment = Notional * (P-100) 

 Notional 100 

(2) If P < 100 (implying that the current market fixed rate is greater 

than the MAC Fixed Rate), the payment will be calculated as follows: 

P = 100 - (Upfront Payment * 100) OR Upfront Payment = Notional * (100-P) 

 Notional 100 

(C) Final Settlement Date and Price. Settlement of the upfront payment will 

occur on T+1 and is calculated as described in (B) above. 

(e) Block Trades. 

(i) Minimum Notional Sizes. A Block Trade in a MAC Swap will be subject to the 

same minimum block size for Fixed for Floating Interest Rate Swaps as indicated in Rule 

1001(t)(i). 

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

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

have agreed to the terms of such Block Trade. 

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

order entry. See Schedule 1002 for Clearing House availability on the Platform 

(g) Terms of the Forward Starting Swap. 

(i) Buyer of the MAC Swap receives fixed interest rate and pays floating interest rate. 

(ii) Seller of the MAC Swap pays fixed interest rate and receives floating interest rate. 

(iii) Fixed Leg 

(A) Payment Frequency. Semi-Annually, Annually 

(B) Day Count Convention. 30/360, actual/365 

(C) Holiday Calendar. New York and London 
94 

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

end dates. Business days in this convention must be valid business days on both the New 

York and London calendar. If not, it will be the next day that is a business day on both the 

New York and London calendar. 

(E) Fixed Rate. The MAC Fixed Rate as described in (d)(vii) above. 

(iv) Floating Leg 

(A) Reset Frequency. Quarterly, Semi-Annually 

(B) Day Count Convention. actual/360, actual/365 

(C) Holiday Calendar. New York and London 

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

end dates. Business days in this convention must be valid business days on both the New 

York and London calendar. If not, it will be the next day that is a business day on both the 

New York and London calendar. 

(E) Interest Rate Benchmark. LIBOR, Euribor, TIBOR 

(v) Effective Date (also referred to as Start Date). The Effective date is the IMM date 

of the Series (i.e. the effective date of a June 2013 MAC Swap is the June 2013 IMM date). This 

is the first date from which fixed and floating interest amounts accrue. 

(vi) Maturity Date. The final date until which Fixed and Floating amounts accrue. The 

Maturity Date may also be referred to as the Termination Date or End Date. For a MAC Swap, the 

Maturity Date will be the same calendar month and date as the Effective Date. 

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

Dates for the life of the swap after its Effective Date. Roll Days define the beginning and end of 

Fixed and Floating interest accrual periods. Roll Day marks the start of a new interest accrual 

period, and is the day on which a Reset Rate takes effect. For a MAC Swap, Roll Day is the same 

date of the month as the Effective Date. 

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

each interest accrual period during the life of the swap after its Effective Date. The Reset Date is 2 

London business days prior to the Roll Date that begins the applicable interest accrual period. 

(ix) First Period Fixing Date. The Fixed Rate is the MAC Fixed Rate as described in 

(d)(vii) above. The Floating Rate for the first interest period is fixed 2 business days prior to the 

Effective Date. 

RULE 1003. Overnight Index Swap (“OIS”) Contracts 

(a) Contract Description. Fixed rate is swapped against a daily overnight reference rate for an 

agreed period. This is an interest rate swap for which settlement is in the form of periodic fixed interest 

payments and a stream of a predetermined daily compounding rate published over a term to maturity. The 

interest rate payments are exchanged for a specified period based on a notional amount. This Rule 1003 

contains general information about the Contract terms and conditions. Contracts eligible for trading on the 

Exchange can be found on the website at www.trueex.com. 
95 

(b) Trading Hours. 

The Trading Hours of the SEF Trading System that are applicable to the Contract 

described in this Rule 1003 will be as follows: 

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

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

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

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

(c) 8:00 am to 5:00 pm New York time 

(d) Currency. 

(i) Super-Major Currencies 

 United States dollar (USD) 

 European Union Euro Area euro (EUR) 

 Japan yen (JPY) 

 United Kingdom pound sterling (GBP) 

(ii) Major Currencies 

 Canada dollar (CAD) 

 Switzerland franc (CHF) 

(e) Trading Conventions. 

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

compounding of the floating overnight index rate. 

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

compounding of the floating overnight index rate. 

(f) Swap Leg Conventions. The terms of Fixed vs. Overnight Index Swaps are based on a 

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

are itemized in Schedule 1003. 

(i) Fixed Leg 

(A) Payment Frequency. Monthly, Quarterly, Semi-Annually, Annually or a 

One Time Bullet payment 

(B) Day Count Convention. Bond Basis (30/360), Money Market Basis 

(ACT/360), ACT/365, ACT/ACT.ISDA, 30E/360, and 30E/360.ISDA. 

(C) Holiday Calendar. USD – New York (USNY), EUR – Target (EUTA), 

GBP – London (GBLO), CHF – Zurich (CHZU), JPY – Tokyo (JPTO), and CAD – 

Toronto (CATO). 

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

end dates. Business days in this convention must be valid business days in respect to 
96 

Holiday Calendar associated to each Currency. If not, it will be the next day that is a 

business day and if the adjusted end dates falls at the end of the month the day rolls to the 

preceding day. 

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

(ii) Floating Leg 

(A) Reset Frequency. Daily 

(B) Day Count Convention. Bond Basis (30/360), Money Market Basis 

(ACT/360), ACT/365, ACT/ACT.ISDA, 30E/360, and 30E/360.ISDA. 

(C) Holiday Calendar. USD – New York (USNY), EUR – Target (EUTA), 

GBP – London (GBLO), CHF – Zurich (CHZU), JPY – Tokyo (JPTO), and CAD – 

Toronto (CATO). 

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

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

Holiday Calendar associated with each Overnight Interest Rate for the fixing date and the 

Holiday Center calendar associated with the Currency for payment date. If not, it will be 

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

the day rolls to the preceding day. 

(E) Overnight Interest Rate. USD-Federal Funds-H.15-OIS-COMPOUND, 

EUR-EONIA-OIS-COMPOUND, GBP-WMBA-SONIA-COMPOUND, CHF-TOIS-OISCOMPOUND, JPY-TONA-OIS-COMPOUND, and CAD-CORRA-OIS-COMPOUND. 

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

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

appropriate Business Day Convention. 

(h) Trade Start Type 

(i) Spot Starting. A swap whose Effective Date follows market convention per each 

currency, for example USD is 2 business days from the Trade Date (T+2). 

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

Effective Date for a Spot Starting swap. 

(i) Maturity Date. The final date until which Fixed and Floating amounts accrue. The 

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

(j) Tenor. The duration of time from the Effective Date to the Maturity Date. The Exchange 

will support Tenors of any duration greater than 0 years to 30 years and reserves the right to list additional 

Tenors of up to 50 years. 

(k) Roll Day Convention. The date used for determining all fixed and floating calculation 

periods for payment as per the defined frequency of each leg. Roll Days define the beginning and end of 

Fixed and Floating interest accrual periods. Roll Day marks the start of a new interest accrual period. The 

Exchange supports the following roll types: 
97 

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

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

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

(ii) No roll day (NONE). For an OIS swaps with a one-time payment (1T) a roll date 

is not required. Both the fixed leg and the float leg must pay at the end of the swap period. 

(l) Floating Rate Resets Daily. Interest accrual compounds daily during the Tenor of the 

contract. Except in the case of a Stub Period, the Reset Date is 2 business days prior to the Roll Date for 

that interest accrual period. 

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

the Floating leg payment period may occur between the Effective Date and the first Roll Date (knows as a 

Stub Period). In these cases, the calculation days in the accrual period are compounded for the Stub 

Period.. 

(n) Block Trades. . A Block Trade in OIS will be subject to the same minimum block sizes 

and rules for Fixed for Floating Interest Rate Swaps as indicated in Rule 1001(t). 

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

order entry and is based on qualification of each Participant’s/Customer’s Clearing Firm. 
82 

CHAPTER 10 

INTEREST RATE SWAP CONTRACTS 

RULE 1001. Fixed for Floating Interest Rate Swap Contracts 

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

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

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

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

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

System and SEF Trading System, as well as the attributes related to each Currency can be found on 

Schedule 1001 on the Web Site (www.trueex.com). 

(b) Trading Hours. 

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

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

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

(EST/EDT). 

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

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

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

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

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

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

(c) Currency. 

(i) Super-Major Currencies 

 United States dollar (USD)

 European Union Euro Area euro (EUR)

 Japan yen (JPY)

 United Kingdom pound sterling (GBP)

(ii) Major Currencies 

 Australia dollar (AUD)

 Canada dollar (CAD)

 Denmark krone (DKK)

 Kingdom of Norway krone (NOK),

 Kingdom of Sweden krona (SEK)

 New Zealand dollar (NZD)

 Republic of South Africa rand (ZAR)

 Switzerland franc (CHF)

(iii) Non-Major Currencies 

 Brazilian Real (BRL)

 Czech Koruna (CZK)

EXHIBIT 2
83 

 Hong Kong dollar (HKD) 

 Hungarian Forint (HUF) 

 Mexican Peso (MXN) 

 Polish Zloty (PLN) 

 Singapore dollar (SGD) 

(d) Trading Conventions. 

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

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

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

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

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

(i) Fixed Leg 

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

(B) Day Count Convention. 

 30/360 

 30E/360 

 30E/360.ISDA 

 ACT/360 

 ACT/365.Fixed 

 ACT/365.ISDA 

 ACT/ACT.ISMA 

 ACT/ACT.ISDA 

 ACT/ACT.ICMA 

 BUS/252 

(C) Holiday Calendar. Dependent on Currency 

 US – New York (USNY) 

 Europe – Target (EUTA) 

 Great Britain – London (GBLO) 

 Japan – Tokyo (JPTO) 

 Australia – Sydney (AUSY) 

 Canada – Toronto (CATO) 

 Denmark – Copenhagen (DKCO) 

 New Zealand – Wellington (NZWE) 

 New Zealand – Auckland (NZAU) 

 Norway – Oslo (NOOS) 

 South Africa – Johannesburg (ZAJO) 

 Sweden – Stockholm (SEST) 

 Switzerland – Zurich (CHZU) 

 Brazil – Brazil Business Day (BRBD) 

 Czech Republic – Prague (CZPR) 

 Hong Kong –(HKHK) 
84 

 Hungary – Budapest (HUBU Singapore – (SGSI)

 Mexico – Mexico City (MXMC)

 Poland – Warsaw (PLWA)

 Singapore – Singapore (SGSI)

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

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

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

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

the day rolls to the preceding day. 

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

(ii) Floating Leg 

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

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

(B) Day Count Convention. 

 30/360

 30E/360

 ACT/360

 ACT/365.Fixed

 ACT/ACT.ISDA

 30E/360.ISDA

 ACT/ACT.ICMA

 BUS/252

(C) Holiday Calendar. Dependent on Currency 

 US – New York (USNY)

 Europe – Target (EUTA)

 Great Britain – London (GBLO)

 Japan – Tokyo (JPTO)

 Australia – Sydney (AUSY)

 Canada – Toronto (CATO)

 Denmark – Copenhagen (DKCO)

 New Zealand – Wellington (NZWE)

 New Zealand – Auckland (NZAU)

 Norway – Oslo (NOOS)

 South Africa – Johannesburg (ZAJO)

 Sweden – Stockholm (SEST)

 Switzerland – Zurich (CHZU)

 Brazil – Brazil Business Day (BRBD)

 Czech Republic – Prague (CZPR)

 Hong Kong –(HKHK)

 Hungary – Budapest (HUBU)

 Mexico – Mexico City (MXMC)

 Poland – Warsaw (PLWA)

 Singapore – Singapore (SGSI), London (GBLO)
85 

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

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

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

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

the day rolls to the preceding day. 

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

(F) Float Rate Index. 

 USD-LIBOR-BBA 

 EUR-EURIBOR-REUTERS 

 EUR-EURIBOR-Telerate 

 EUR-LIBOR 

 JPY-LIBOR-BBA 

 GBP-LIBOR-BBA 

 AUD-BBR-BBSW 

 CAD-BA-CDOR 

 DKK-CIBOR-DKNA13 

 DKK-CIBOR2-DKNA13 

 NOK-NIBOR-NIBR 

 SEK-STIBOR-SIDE 

 NZD-BBR-FRA 

 ZAR-JIBAR-SAFEX 

 BRLCDI 

 CHF-LIBOR-BBA 

 CZK-PRIBOR-PRBO 

 HKD-HIBOR-HKAB 

 HUF-BUBOR-REUTERS 

 MXN-TIIE-Banxico 

 PLN-WIBOR-WIBO 

 SGD-SOR-REUTERS 

 SGD-SOR-VWAP 

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

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

appropriate Business Day Convention. 

(g) Trade Start Type 

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

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

Date (T+2). 

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

Date for a Spot Starting swap. 

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

Maturity Date may also be referred to as the “Termination Date” or “End Date”. 
86 

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

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

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

and 30 years. 

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

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

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

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

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

Starting. 

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

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

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

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

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

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

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

supports the following roll types: 

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

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

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

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

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

Convention employed. 

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

March, June, September and December. 

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

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

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

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

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

the Trade Date, for both Floating and Fixed Rates. 

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

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

prior to the Effective Date 

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

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

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

determined using linear interpolation based on the two index rates that surround the Stub Period. 
87 

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

12 Month (12M) 

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

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

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

floating rate. 

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

(o) Contract Size. 

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

increments of $1 million USD depending on Tenor. 

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

USD. 

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

of $1,000 USD. 

(p) Quoting Convention 

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

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

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

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

decimal places. 

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

points are quoted to 1 decimal place. 
88 

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

points are quoted to 1 decimal place. 

(q) Minimum Price Fluctuation. 

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

point). 

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

basis point). 

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

of a basis point). 

(r) Last Trading Day. 

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

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

of the swap. 

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

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

factors: 

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

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

Count Convention, Business Day Convention, and Roll Day. 

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

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

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

(t) Block Trades. 

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

Block Trade sizes in accordance with Appendix F to Part 43 of the CFTC Regulations: 
89 

Minimum Block Size ($ Notional) 

Initial Maturity greater 

than

Initial Maturity less 

than or equal to 

Super Major 

Currencies 

Major 

Currencies 

Non-Major 

Currencies 

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

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

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

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

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

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

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

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

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

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

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

date of execution of the swap transaction. 

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

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

original Tenor of the Contract. 

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

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

have agreed to the terms of such Block Trade. 

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

order entry. 

RULE 1002. Market Agreed Coupon (“MAC”) Interest Rate Swap Contracts 

(a) Contract Description. This Contract is a forward starting Fixed for Floating Interest Rate 

Swap that exchanges periodic fixed interest payments at a rate equal to the market agreed coupon 

recommended by the Securities Industry and Financial Markets Association Asset Management Group 

(SIFMA AMG) for the relevant Tenors and Currencies. This Rule 1002 contains general information 

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

SEF Trading System, as well as the attributes related to each Currency can be found on Schedule 1002 on 

the Web Site (www.trueex.com). 

(b) Trading Hours. 

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

applicable to the Contract described in this Rule 1002 will commence each Business Day at 8:00 

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

(EST/EDT). 

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

applicable to the Contract described in this Rule 1002 will be as follows: 

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

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

(EST/EDT).
90 

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

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

(EST/EDT).

(c) Currency. US Dollar, British Pound, Canadian Dollar, Euro, Japanese Yen 

(d) Listing/Trading Conventions. The terms of a MAC Swap are based on the criteria below. 

(i) Series. The Exchange will list four MAC Swap Series each year on a quarterly 

cycle, in connection with quarterly International Monetary Market (IMM) dates, in March, June, 

September and December. Each Series will be identified by the month and year of their applicable 

IMM start date. 

Prior to December 2014: 

(A) On-the-Run. The two most current Series will be listed 

concurrently for trading at any one time. 

(B) Off-the-Run. After the Last Trading Day of an On-the-Run 

MAC Swap Series, the Series will be listed as Off-the-Run for one year after its Last 

Trading Day as an On-the-Run Swap. Transactions in Other Tenors (with the exception of 

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

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

From December 2014: Two Series will be available at any point in time, with a 

third Series being added in the month of the most current IMM date, as follows: 

(A) Nearby and Second Series. The two most immediate (Nearby and 

Second) Series will be available concurrently for trading at any one time. Provided these 

swaps meet other made available to trade criteria, transactions in the Nearby and Second 

Series will represent Required Transactions. 

(B) Third Series. The Exchange will list a Third Series in the month of the 

most current IMM date (for example, in October and November, the December and March 

Series will be available as the Nearby and Second Series, respectively. In December, the 

June Series will be listed as the Third Series concurrently with the December and March 

Series). 

(ii) Tenor. The duration of time from the Effective Date of the MAC Swap to the 

Maturity Date. The Exchange may list Tenors of 1, 2, 3, 4, 5, 7, 9, 10, 12, 15, 20 and 30 years for 

each Series. 

(iii) Holiday Calendar. New York and London 

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

dates. Business days in this convention must be valid business days on both the New York and 

London calendar. If not, it will be the next day that is a business day on both the New York and 

London calendar. 

(v) First Trading Day. 
91 

Prior to December 2014: 

(A) On-the-Run. Six months and two business days prior to the IMM date for 

the Series. IMM dates are the third Wednesday in March, June, September and December. 

For example, the first trading day for the September Series will be two business days prior 

to the March IMM date. 

(B) Off-the-Run. One business day after the Last Trading Day as an On-theRun MAC Swap. 

From December 2014: 

(C) Nearby and Second Series are listed concurrently. 

(D) Third Series. The First Trading Day of the Third Series is the first 

Business Day of the current IMM month. At its discretion, the Exchange reserves the 

right to make the Third Series available earlier or later than the First Business Day of the 

current IMM Month, provided SIFMA AMG’s MAC Sub-Committee has published 

recommended MAC coupons for the Third Series. 

(vi) Last Trading Day 

Prior to December 2014: 

(A) On-the-Run. Three business days prior to the IMM date for the Series. 

(B) Off-the-Run. One year after the Last Trading Day as an On-the-Run 

MAC Swap. 

From December 2014: 

(C) Nearby Series. The Last Trading Day applies to Nearby Series Only. The 

Last Trading Day for which transactions in the Nearby Series will be deemed to be 

Required Transactions will be one Business Day prior to the current IMM date. On the 

current IMM date, the Nearby Series will become a previous Series (known as a grey 

Series), the Second Series will become the new Nearby Series, and the Third Series will 

become the new Second Series. 

(D) Transactions in each previous Series will be available on the DCM and 

SEF Trading Systems as Permitted Transactions. 

(vii) MAC Fixed Rate. The market agreed coupon rate for each Series will be equal to 

the MAC coupons recommended by SIFMA AMG’s MAC Sub-Committee and published 

periodically at www.sifma.org. 

(A) Methodology. The MAC coupon for each Tenor of a Series will be set 

close to par based on the three month or six month forward curve rounded up or down to 

the nearest 25 basis points. 

(B) Adjustments. The Exchange reserves the right to adjust MAC Fixed 

Rates in the event forward rates move more than 50 basis points from the MAC Fixed 

Rate for any Tenor in a Series. The Exchange will list the adjusted Series (referred to as 

Version) on the first business day following the rate adjustment. The original Series and 
92 

any subsequent Versions will be available until the Last Trading Day for the Series, at 

which time they will become previous (or grey) Series. 

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

(A) Outrights. 

(B) Switches. 

(1) Calendar Switches (including rolls). Calendar switches/rolls are 

simultaneous trades of two different Series of the same Tenor (for example, June 5 

year vs. September 5 year). 

(2) Tenor Switches. Tenor switches are simultaneous trades of two 

Tenors in the same Series (e.g. June 5 year vs. June 10 year). 

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

(ix) Contract size

(A) Minimum notional size of $1 Million USD and increments of $1 Million 

USD. 

(B) Block Trades. Minimum notional size as indicated in Rule 1002(e) and 

increments of $1 Million USD. 

(x) Quoting convention. 

(A) Outrights. A MAC Swap will be quoted based on price (not yield), where 

100 points equals par, or can be quoted based on the Upfront Payment (which is a function 

of price). 

(B) Switches. 

(1) Calendar Switch prices will be quoted as the difference between 

the later start date and the earlier start date. 

(2) Tenor Switches. Tenor Switch prices will be quoted as the 

difference between the longer Tenor and the shorter Tenor. 

(C) Minimum Price Increments. For Outrights and Switches, Minimum Price 

Increments are: 

(1) .001 when MAC Swap is quoted in Price. 

(2) $1 when MAC Swap is quoted as Upfront Payment. 

(xi) Upfront Payment. An upfront payment will be exchanged between the payer and 

the receiver of an MAC Swap. The direction and amount of the payment is dependent on the price 

at which the MAC Swap was transacted on. 
93 

(A) Payment Direction. 

(1) If Price > 100, the Fixed Rate Payer receives payment from the 

Fixed Rate Receiver. 

(2) If Price < 100, the Fixed Rate Payer makes payment to the Fixed 

Rate Receiver. 

(B) Payment Calculation. Upfront Payment is calculated using the following 

formula: 

(1) If P > 100 (implying that the current market fixed rate is less than 

the MAC Fixed Rate), the payment will be calculated as follows: 

P = 100 + (Upfront Payment * 100) OR Upfront Payment = Notional * (P-100) 

Notional 100 

(2) If P < 100 (implying that the current market fixed rate is greater 

than the MAC Fixed Rate), the payment will be calculated as follows: 

P = 100 - (Upfront Payment * 100) OR Upfront Payment = Notional * (100-P) 

Notional 100 

(C) Final Settlement Date and Price. Settlement of the upfront payment will 

occur on T+1 and is calculated as described in (B) above. 

(e) Block Trades. 

(i) Minimum Notional Sizes. A Block Trade in a MAC Swap will be subject to the 

same minimum block size for Fixed for Floating Interest Rate Swaps as indicated in Rule 

1001(t)(i). 

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

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

have agreed to the terms of such Block Trade. 

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

order entry. See Schedule 1002 for Clearing House availability on the Platform 

(g) Terms of the Forward Starting Swap. 

(i) Buyer of the MAC Swap receives fixed interest rate and pays floating interest rate. 

(ii) Seller of the MAC Swap pays fixed interest rate and receives floating interest rate. 

(iii) Fixed Leg 

(A) Payment Frequency. Semi-Annually, Annually 

(B) Day Count Convention. 30/360, actual/365 

(C) Holiday Calendar. New York and London 
94 

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

end dates. Business days in this convention must be valid business days on both the New 

York and London calendar. If not, it will be the next day that is a business day on both the 

New York and London calendar. 

(E) Fixed Rate. The MAC Fixed Rate as described in (d)(vii) above. 

(iv) Floating Leg 

(A) Reset Frequency. Quarterly, Semi-Annually 

(B) Day Count Convention. actual/360, actual/365 

(C) Holiday Calendar. New York and London 

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

end dates. Business days in this convention must be valid business days on both the New 

York and London calendar. If not, it will be the next day that is a business day on both the 

New York and London calendar. 

(E) Interest Rate Benchmark. LIBOR, Euribor, TIBOR 

(v) Effective Date (also referred to as Start Date). The Effective date is the IMM date 

of the Series (i.e. the effective date of a June 2013 MAC Swap is the June 2013 IMM date). This 

is the first date from which fixed and floating interest amounts accrue. 

(vi) Maturity Date. The final date until which Fixed and Floating amounts accrue. The 

Maturity Date may also be referred to as the Termination Date or End Date. For a MAC Swap, the 

Maturity Date will be the same calendar month and date as the Effective Date. 

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

Dates for the life of the swap after its Effective Date. Roll Days define the beginning and end of 

Fixed and Floating interest accrual periods. Roll Day marks the start of a new interest accrual 

period, and is the day on which a Reset Rate takes effect. For a MAC Swap, Roll Day is the same 

date of the month as the Effective Date. 

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

each interest accrual period during the life of the swap after its Effective Date. The Reset Date is 2 

London business days prior to the Roll Date that begins the applicable interest accrual period. 

(ix) First Period Fixing Date. The Fixed Rate is the MAC Fixed Rate as described in 

(d)(vii) above. The Floating Rate for the first interest period is fixed 2 business days prior to the 

Effective Date. 

RULE 1003. Overnight Index Swap (“OIS”) Contracts 

(a) Contract Description. Fixed rate is swapped against a daily overnight reference rate for an 

agreed period. This is an interest rate swap for which settlement is in the form of periodic fixed interest 

payments and a stream of a predetermined daily compounding rate published over a term to maturity. The 

interest rate payments are exchanged for a specified period based on a notional amount. This Rule 1003 

contains general information about the Contract terms and conditions. Contracts eligible for trading on the 

Exchange can be found on the website at www.trueex.com. 
95 

(b) Trading Hours. 

The Trading Hours of the SEF Trading System that are applicable to the Contract 

described in this Rule 1003 will be as follows: 

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

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

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

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

(c) 8:00 am to 5:00 pm New York time 

(d) Currency. 

(i) Super-Major Currencies 

 United States dollar (USD)

 European Union Euro Area euro (EUR)

 Japan yen (JPY)

 United Kingdom pound sterling (GBP)

(ii) Major Currencies 

 Canada dollar (CAD)

 Switzerland franc (CHF)

(e) Trading Conventions. 

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

compounding of the floating overnight index rate. 

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

compounding of the floating overnight index rate. 

(f) Swap Leg Conventions. The terms of Fixed vs. Overnight Index Swaps are based on a 

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

are itemized in Schedule 1003. 

(i) Fixed Leg 

(A) Payment Frequency. Monthly, Quarterly, Semi-Annually, Annually or a 

One Time Bullet payment 

(B) Day Count Convention. Bond Basis (30/360), Money Market Basis 

(ACT/360), ACT/365, ACT/ACT.ISDA, 30E/360, and 30E/360.ISDA. 

(C) Holiday Calendar. USD – New York (USNY), EUR – Target (EUTA), 

GBP – London (GBLO), CHF – Zurich (CHZU), JPY – Tokyo (JPTO), and CAD – 

Toronto (CATO). 

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

end dates. Business days in this convention must be valid business days in respect to 
96 

Holiday Calendar associated to each Currency. If not, it will be the next day that is a 

business day and if the adjusted end dates falls at the end of the month the day rolls to the 

preceding day. 

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

(ii) Floating Leg 

(A) Reset Frequency. Daily 

(B) Day Count Convention. Bond Basis (30/360), Money Market Basis 

(ACT/360), ACT/365, ACT/ACT.ISDA, 30E/360, and 30E/360.ISDA. 

(C) Holiday Calendar. USD – New York (USNY), EUR – Target (EUTA), 

GBP – London (GBLO), CHF – Zurich (CHZU), JPY – Tokyo (JPTO), and CAD – 

Toronto (CATO). 

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

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

Holiday Calendar associated with each Overnight Interest Rate for the fixing date and the 

Holiday Center calendar associated with the Currency for payment date. If not, it will be 

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

the day rolls to the preceding day. 

(E) Overnight Interest Rate. USD-Federal Funds-H.15-OIS-COMPOUND, 

EUR-EONIA-OIS-COMPOUND, GBP-WMBA-SONIA-COMPOUND, CHF-TOIS-OISCOMPOUND, JPY-TONA-OIS-COMPOUND, and CAD-CORRA-OIS-COMPOUND. 

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

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

appropriate Business Day Convention. 

(h) Trade Start Type 

(i) Spot Starting. A swap whose Effective Date follows market convention per each 

currency, for example USD is 2 business days from the Trade Date (T+2). 

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

Effective Date for a Spot Starting swap. 

(i) Maturity Date. The final date until which Fixed and Floating amounts accrue. The 

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

(j) Tenor. The duration of time from the Effective Date to the Maturity Date. The Exchange 

will support Tenors of any duration greater than 0 years to 30 years and reserves the right to list additional 

Tenors of up to 50 years. 

(k) Roll Day Convention. The date used for determining all fixed and floating calculation 

periods for payment as per the defined frequency of each leg. Roll Days define the beginning and end of 

Fixed and Floating interest accrual periods. Roll Day marks the start of a new interest accrual period. The 

Exchange supports the following roll types: 
97 

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

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

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

(ii) No roll day (NONE). For an OIS swaps with a one-time payment (1T) a roll date 

is not required. Both the fixed leg and the float leg must pay at the end of the swap period. 

(l) Floating Rate Resets Daily. Interest accrual compounds daily during the Tenor of the 

contract. Except in the case of a Stub Period, the Reset Date is 2 business days prior to the Roll Date for 

that interest accrual period. 

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

the Floating leg payment period may occur between the Effective Date and the first Roll Date (knows as a 

Stub Period). In these cases, the calculation days in the accrual period are compounded for the Stub 

Period.. 

(n) Block Trades. . A Block Trade in OIS will be subject to the same minimum block sizes 

and rules for Fixed for Floating Interest Rate Swaps as indicated in Rule 1001(t). 

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

order entry and is based on qualification of each Participant’s/Customer’s Clearing Firm. 
trueEX

EXHIBIT 3

 

The Contacts added under this submission are intended to be traded on the SEF Trading 

System. Contracts available for trading on the DCM Trading System. 

 

The Exchange has determined that the following Core Principles apply to these

Contracts:

DCM and SEF Core Principle 2 – Compliance with Rules

• Chapter 3 of the trueEX Rulebook provides for the impartial access by 

Participants to the trueEX platform. This is overseen by the Exchange Access 

Committee (Rule 207). Under Rule 207 the “The Exchange Access Committee 

shall not, and shall not permit the Exchange to, restrict access or impose burdens 

on access in a discriminatory manner, within each category or class of 

Participants or between similarly-situated categories or classes of Participants”. 

In addition, under Rule 301, any person, directly or indirectly, initiating or 

executing a transaction in the any Contracts traded on the Exchange consents to 

the jurisdiction of the Exchange.

• Abusive trading practices in any Contracts traded on the Exchange are prohibited 

by Chapter 5 of the Rulebook. The Rulebook is enforced by the Exchange 

Regulation Department. Chapter 6 of the Rulebook sets forth the rules governing 

both the investigations and prosecutions of Rule violations. Pursuant to Rule 208, 

the Regulatory Oversight Committee ensures that the Exchange Regulation 

Department has sufficient resources to perform its obligations.

• Rule 403 provides the Exchange with the ability and authority to obtain any 

information necessary to perform its obligations under Core Principle 2 and the 

Exchange has the authority to share information with other markets under 

information-sharing agreements.

DCM and SEF Core Principle 3 – Contracts Not Readily Subject to Manipulation

• trueEX has established rules and an enforcement infrastructure to prevent the

manipulation of the Contract. The trueEX Rulebook is available at 

http://www.trueex.com/rules-and-notices. See Chapter 5: Trading Practices and 

Business Conduct; Chapter 6: Disciplinary Rules. Exchange staff conduct realtime market surveillance, as well as T+1 surveillance and trade practice reviews. 

DCM and SEF Core Principle 4 – Prevention of Market Distortion/SEF Core Principle 4 -

Monitoring of Trading and Trade Processing

• Chapter 5 of the Rulebook prohibits Participants from manipulating, distorting the 

price of, and disrupting the settlement process of the any Contract traded on the 
trueEX

Exchange. Rule 541 allows the Exchange to amend or cancel any trades as 

deemed necessary to prevent market distortion.

DCM Core Principle 7 – Availability of General Information

• The Exchange publishes on its website, www.trueex.com, and in its Rulebook 

(also on website) accurate information concerning the terms and conditions of any 

Contract traded on the Exchange. This includes Contracts available for trading on 

both the DCM and SEF Trading Systems.

DCM Core Principle 8/SEF Core Principle 9 – Daily/Timely Publication of Trading 

Information

• The Exchange shall publish on its website, www.trueex.com, information 

required by Part 16 of the CFTC Regulations within the required time frame. 

Settlement prices will be provided by the applicable clearinghouse. trueEX posts 

a link on its website to both CME and LCH.

DCM Core Principle 9– Execution of Transactions

• The Contracts shall be listed for trading on the trueEX Platform. The only 

Contracts in this filing that will be available only on the DCM Trading System are 

the 9 and 12 year tenors being added for MAC Swaps in 1002. Block trades in 

these Contracts (and all Contracts in Chapter 10 of the trueEX rulebook) must 

meet the minimum Block sizes established by the Commission for swaps.

DCM Core Principle 10/SEF Core Principle 2 – Trade Information

• All required trade information is included in the audit trail and is sufficient for the 

Exchange Regulation Department to monitor for market abuse. Such information 

will be used to assist in the prevention of customer and market abuses and to 

provide evidence of any violations of the rules of the Exchange. All audit trail 

information is retained as required by CFTC Regulation 1.31.

DCM Core Principle 11/SEF Core Principle 7 – Financial Integrity of Transactions

• All Contracts shall be cleared by CME and LCH, which are registered derivatives 

clearing organization. Exchange Rules 404 and 407 ensure the financial integrity 

of futures commission merchants and introducing brokers as well as the 

protection of customer funds, to the extent that such entities and funds are 

associated with the trading of trueEX Contracts.

DCM Core Principle 12 – Protection of Markets and Market Participants/Monitoring of 

Trading

• Chapter 5 of the Rulebook establishes rules to protect Participants who trade the 

Contract from abusive practices by parties, including those operating as agents of 

the Participants and promotes fair and equitable trading of these Contracts. 

Surveillance conducted by Exchange staff will serve to identify the actions of 

parties and practices that may be detrimental to the market and/or market 

participants.
trueEX

DCM Core Principle 13/SEF Core Principle 2 – Disciplinary Procedures

• Chapter 6 of the trueEX Rulebook sets forth the rules related to the investigation 

and prosecution of potential rule violations. Chapter 6 also sets forth potential 

sanctions for rule violations and is applicable to all Contracts traded on the 

Exchange.