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75

U.S. Dollar (USD)

• Euro Interbank Offered Rate (EURIBOR) -

1 Month, 3 Month, 6 Month, 12 Month

• Euro Short-Term Rate

(EUR-EuroSTR-COMPOUND)

Contract Description

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

Swap Interest Rate (BBR-BBS) - 6 Month

• London Interbank Offered Rate (LIBOR) - 1

Month, 3 Month, 6 Month

• Secured Overnight Financing Rate

(USD-SOFR-COMPOUND)

New Zealand Dollar (NZD)

Japanese Yen (JPY)

• Bank Bill Reference Rate (BBR-FRA) - 3

Month

• Tokyo Interbank Offered Rate published by

published by Japanese Bankers

Association (JPY-TIBOR-ZTIBOR) - 6

Month

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

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

indices listed below.

Certain fixed-to-floating swaps may be non-deliverable, which is when the

fixed-to-floating swap is settled on a cash basis, generally in USD, instead of

through a physical exchange of interest payment flows.

Polish Zloty (PLN)

• Windhoek Inter-bank Agreed Rate

(WIBOR) - 6 Month

• Windhoek Inter-bank Agreed Rate

(PLN-WIBOR-WIBO) - 3 Month

Chapter 9. SWAPS

901. Swap Specifications

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

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

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

website of the Company (www.tradeweb.com).

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

South African Rand (ZAR)

Swedish Krona (SEK)

• Johannesburg Interbank Agreed Rate

(JIBAR) - 3 Month

Canadian Dollar (CAD)

• Stockholm Interbank Offered Rate (STIPOR) -

3 Month

Hong Kong Dollar (HKD) • Hong Kong Inter Bank Offered Rate

(HKD-HIBOR-HKAB) - 3 Month

• Canadian Dealer Offered Rate (CDOR) - 3

Month

Singapore Dollar (SGD)

Danish Krone (DKK)

• Singapore Overnight Rate

(SGD-SOR-VWAP) - 6 Month

• Copenhagen Interbank Offered Rate

(CIBOR) - 6 Month

Currency and Floating

Rate Index - Time

Period

Chinese Yuan (CNY) • Repo Rate for Chinese Renminbi published

by the China Foreign Exchange Trade

System

Norwegian Krone (NOK)

Eurodollar (EUR)

• Norwegian Inter Bank Offered Rate

(NIBOR) - 6 Month

• Norwegian Inter Bank Offered Rate

(NOK-NIBOR-NIBR) - 3 Month
308433745.5

76

(CNY-CNREPOFIX=CFXS-Reuters) - 3

Month

New Taiwan Dollar (TWD) • Taiwan Three Month Interbank Rate

(TAIBOR) - 3 Month

Contract Size As agreed by the parties.

Chilean Peso (CLP)

Hungarian Forint (HUF)

Minimum Size

• Indice Cámara Promedio Rate published by

the Asociación de Bancos e Instituciones

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

Month

As agreed by the parties.

Effective Date / Start

Date

• Rate for Deposits in Hungarian Forint

(HUF-BUBOR-Reuters) - 3 Month and 6

Month

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

and floating interest rate payments.

Stated Maturity Range

| Maturity Date

Colombian Peso (COP)

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

and the final payment occurs.

• Colombian Floating Overnight Lending

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

Month

Trade Start Types

• Spot Starting (T+2/T+0)

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

• Custom start dates

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

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

Indian Rupee (INR)

Floating Leg

Czech Koruna (CZK)

• Monthly (1M) Quarterly (3M), Semi-Annual (6M), Annual (1Y)

• Day Count Convention: Actual/360

• Mumbai Inter-Bank Offer Rate

(INR-FBIL-MIBOR-OIS) - 6 Month

South Korean Won (KRW)

Notional Fixed Notional

• Rate for Deposits in Czech Koruna

(CZK-PRIBOR-PRBO) - 3 Month and 6

Month

Fixed Rate Types

• Par

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

• Customized Coupon

• Zero Coupon

Mexican Peso (MXN)

Holiday Calendar(s)

• Interbank Equilibrium Interest Rate

published by Banco de México

(MXN-TIIE-Banxico) - 28 Days

NY/London/TARGET

• Korean Bond Rate published by the Korea

Financial Investment Association

(KRW-CD-KSDA-Bloomberg) - 3 Month

Business Day

Conventions

Following

Modified Following

Unadjusted

Periodic Settlement:

Payment and Resets

Israeli New Shekel (ILS)

• 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

Brazilian Real (BRL)

• Tel Aviv Inter-Bank Offered Rate (TELBOR)

- 3 Month

• Overnight Brazilian Interbank Deposit Rate

(BRL-CDI) - 1 Day
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Dual Currencies

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

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

No

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

Reportable Levels

Settlement Procedure

See Rule 409 and CFTC Regulation 15.03.

Optionality

As determined by the DCO.

Position Limits See Rule 408 and CFTC Regulation Part 150.

No

Reporting

Trading Hours

All trades reported to SDR in accordance with CFTC requirements.

Trading hours of TW SEF.

Interest Rate Index and Floating Reset Dates.

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

DCO(s)
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GBP

USD

Trade Start Types

• Sterling Overnight Index Average

GBP-SONIA-COMPOUND

• LIBOR - 3 Month

• Spot Starting (T+2)

Contract Description

Notional

• LIBOR - 1 Month, 3 Month, 6 Month

• Secured Overnight Financing Rate

(USD-SOFR-COMPOUND)

• Federal Funds Rate - Overnight Index

Swap (USD-Federal

Funds-H.15-OIS-COMPOUND)

Fixed Notional

Contract Size

Holiday Calendar

As agreed by the parties.

NY/London/TARGET

Business Day

Conventions

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

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

based on a different reference rate in the same currency.

Modified Following

Minimum Size

Floating Leg 1

As agreed by the parties.

• Payment Frequency: Monthly, Quarterly; Semi-Annual; or Annual

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

(b) Interest Rate Swaps - Basis

Floating Leg 2

EUR

• Payment Frequency: Monthly, Quarterly; Semi-Annual; or Annual

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

Effective Date / Start

Date

Periodic Settlement:

Payment and Resets

As agreed by the parties.

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

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

Floating Interest Rate Index, and Floating Reset Dates.

• Floating Leg 2: The payment amount of the Floating Leg 2 is based on

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

Floating Interest Rate Index and Floating Reset Dates.

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

• EURIBOR –1 Month, 3 Month, 6 Month

Eonia

• Euro Short-Term Rate

(EUR-EuroSTR-COMPOUND)

• Euro Eonia Overnight Index Swap

(EUR-EONIA-OIS-COMPOUND)

Optionality No

Stated Maturity Range

| Maturity Date

Dual Currencies

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

the final payment occurs.

No

Currency and

Floating Rate Index -

Time Period

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

the Effective Date.
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Trading hours of TW SEF.

Reportable Levels See Rule 409 and CFTC Regulation 15.03.

As determined by the DCO.

Position Limits

DCO(s)

See Rule 408 and CFTC Regulation Part 150.

LCH, CME, and Eurex.

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

Block Size

Trading Hours

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

Settlement Procedure
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80

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

and the final payment occurs.

Federal Funds

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

CHF

Fixed Leg

Swiss Franc Tom/Next Index Swaps (TOIS)

• Payment Frequency: Term and Annual

• Day Count Convention: Actual/360F

An Overnight Index Swapovernight index swap (OIS) is an agreement between

two parties to exchange a fixed interest payment for a floating interest payment

based on the geometric average of an overnight index over every day of the

payment period.

Certain OIS may be non-deliverable, which is when the OIS is settled on a cash

basis, generally in USD, instead of through a physical exchange of interest

payment flows.

Floating Leg • Term and Annual

• Day Count Convention: Actual/360

(c) Overnight IndexedIndex Swaps - Fixed for FloatingFixed-to-Floating

Notional

THB

Fixed Notional

EUR

Thailand Overnight Repurcahse Rate (THB

THOR)

Holiday Calendar(s) Federal and TARGET

Euro Overnight Index Average (EONIA)

Business Day

Conventions

Contract Size

Modified Following

As agreed by parties.

Periodic Settlement:

Payment and Resets

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

following: Notional, Payment Frequency, Day Count Convention and

Fixed Interest Rate.

• Floating Leg: The payment amount of the Floating Leg is based on the

following: Notional, Payment Frequency, Day Count Convention,

Floating Interest Rate Index and Floating Reset Dates.

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

Currency and Floating

Rate Index

Optionality

Minimum Size

No

As agreed by parties.

Dual Currencies No

GBP

Settlement Procedure

Effective Date / Start

Date

As determined by the DCO.

USD

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

and floating interest rate payments.

Sterling Overnight Index Average (SONIA)

Contract Description

Stated Maturity Range

| Maturity Date
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DCO(s)

See Rule 409 and CFTC Regulation 15.03.

Trading Hours

LCH, CME, and Eurex.

Position Limits See Rule 408 and CFTC Regulation Part 150.

Trading hours of TW SEF.

Reporting

Block Size

All trades reported to SDR in accordance with CFTC requirements.

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

Reportable Levels
308433745.5

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Option Strike Price Fixed rate of the underlying swap

Tenor of Underlying

Swap

Payer, Receiver or Straddle

Option Expiry Date

Any (1Y – 30Y)

As agreed by the parties (1M – 10Y)

Contract Overview

Option Settlement

Type

Cash or a delivery of a cleared swap

Currency

Roll Type

US Dollar

Standard or IMM Roll

Underlying Swap

Exercise Method

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

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

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

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

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

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

counterparties must submit the underlying Swap for clearing to the designated

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

Notional

USD

Exercise Procedure

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

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

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

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

counterparties.

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

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

underlying swap.

Trading Conventions

Clearing House for the

Underlying Swap

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

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

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

pays the floating leg.

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

Index of Underlying

Swap

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

Quoting Conventions

LIBOR

Quoted in $ Premium (basis points of notional)

Option Type
308433745.5

83

Business Day

Conventions

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

Modified Following

Contract Description

Holiday Calendar(s) London/NY

Maturity Date / End

Date

Fixed Leg

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

• Payment Frequency: One Time

• Day Count Convention: Actual/360

Contract Size

Floating Leg

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

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

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

interest rate.

• Payment Frequency: One Time

• Day Count Convention: Actual/360

Tenor / Duration

As agreed by parties.

Periodic Settlement:

Payment and Resets

1 Month, 3 Month, 6 Month

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

following: Notional, Payment Frequency, Day Count Convention and

Fixed Interest Rate.

• Floating Leg: The payment amount of the Floating Leg is based on the

following: Notional, Payment Frequency, Day Count Convention,

Floating Interest Rate Index and Floating Reset Dates.

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

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

Fixed Rate Type Par

Notional

Optionality

Fixed Notional

No

Minimum Size

Dual Currencies No

Trade Start Types

As agreed by parties.

Settlement Procedure

• Spot Starting (T+2)

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

• Forward Start Date

As determined by the DCO.

Currency and Floating

Rate Index – Time

Period

Trading Hours Trading hours of TW SEF.

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

Effective Date / Start

Date

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

EUR – LIBOR – BBA (1 Month, 3 Months, 6 Months)
308433745.5

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Position Limits

Block Size

See Rule 408 and CFTC Regulation Part 150.

DCO(s)

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

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

LCH and CME

Reportable Levels See Rule 409 and CFTC Regulation 15.03.
308433745.5

85

Holiday Calendar(s)

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

no longer accrue and the final payment occurs.

London and TARGET

(f) Zero Coupon Inflation Swaps - Fixed for FloatingFixed-to-Floating

Business Day

Conventions

Modified Following / Unadjusted

Trade Start Types

Periodic Settlement:

Payment and Resets

Spot Starting (T+2/T+0)

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

Notional, Payment Frequency, Day Count Convention and Fixed Interest Rate.

Contract Size

Floating Leg: The payment amount of the Floating Leg is based on the following:

Notional, Payment Frequency, Day Count Convention, CPI Rate Index and

Floating Reset Dates.

As agreed by parties.

On the 15th of the month

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

Currency and Floating

Rate Index

Optionality No

Fixed Leg

Dual Currencies

Payment Frequency: Term

No

Minimum Size

Settlement Procedure

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

As determined by the DCO.

As agreed by parties.

Trading Hours

Day Count Convention: 1/1

Trading hours of TW SEF.

Contract Description

DCO(s) LCH, CME, and Eurex.

Floating Leg

Block Size

Payment Frequency: Term

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

Effective Date / Start

Date

Reportable Levels See Rule 409 and CFTC Regulation 15.03.

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

account the time lag preceding the start date.

Position Limits

Day Count Convention: 1/1

See Rule 408 and CFTC Regulation Part 150.

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

Notional

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

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

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

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

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

amount at expiry of the swap.

Fixed Notional

Stated Maturity Range

| Maturity Date

GBP | UK Retail Price Index (RPI)
308433745.5

86

Indices | Tenor

Series 16 and all subsequent Series, up to and

including the current Series.

CDX.NA.IG

(Investment Grade)

Reference Entities

CDX.NA.IG 7Y

3-Year, 5-Year, 7-Year, 10-Year

Series 16 and all subsequent Series, up to and

including the current Series.

Corporate

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

including the current Series.

Contract Description

CDX.NA.HY

(High Yield)

CDX.NA.HY. 3Y

3-Year, 5-Year, 10-Year

Series 19 and all subsequent Series, up to and

including the current Series

Region

CDX.NA.HY 5Y

Applicable Series

Series 16 and all subsequent Series, up to and

including the current Series.

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

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

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

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

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

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

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

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

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

notional amount of the relevant obligations.

Selling credit protection is economically equivalent to owning the relevant

obligations. Buying credit protection is economically equivalent to selling those

obligations short.

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

a payment to the Buyer in accordance with the settlement terms of the CDS. In

cash settlement, a cash payment is made by the Seller to the Buyer equal to par

minus the recovery rate of the reference asset, with recovery rate being

calculated by referencing dealer quotes or observable market prices over some

period after default has occurred.

Credit Events are determined by International Swaps and Derivatives

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

settlement prices for obligations are determined by standardized auctions.

CDX.NA.IG 3Y

North America

CDX.NA.HY 10Y

Series 19 and all subsequent Series, up to and

including the current Series.

Series 16 and all subsequent Series, up to and

including the current Series.

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

CDX.NA.IG 5Y
308433745.5

87

Trading Hours

Effective Date / Start

Date

Trading hours of TW SEF.

Quoting Convention

and Minimum

Increment

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

payments.

DCO(s)

Tranched

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

As agreed by parties.

Block Size

Maturity Date

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

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

occurs.

Reportable Levels See Rule 409 and CFTC Regulation 15.03.

No

Position Limits

Settlement

See Rule 408 and CFTC Regulation Part 150.

Minimum Size

Cash Settlement with Contingent Payment, Fixed Quarterly, Upfront Payments

as agreed by parties.

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

As agreed by parties.

Settlement Procedure As determined by the DCO.
308433745.5

88

iTraxx Europe

Reference Entities

iTraxx Europe HiVol

5-Year, 10-Year

5-Year, 10-Year

Applicable Series

Corporate, Financial

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

including the current Series.

Contract Description

iTraxx Europe Crossover

iTraxx Europe 10Y

5-Year, 10-Year

Series 17 and all subsequent Series, up to and

including the current Series.

Region

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

including the current Series.

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

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

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

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

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

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

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

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

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

notional amount of the relevant obligations.

Selling credit protection is economically equivalent to owning the relevant

obligations. Buying credit protection is economically equivalent to selling those

obligations short.

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

a payment to the Buyer in accordance with the settlement terms of the CDS. In

cash settlement, a cash payment is made by the Seller to the Buyer equal to par

minus the recovery rate of the reference asset, with recovery rate being

calculated by referencing dealer quotes or observable market prices over some

period after default has occurred.

Credit Events are determined by International Swaps and Derivatives

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

settlement prices for obligations are determined by standardized auctions.

iTraxx Europe Senior

Financials

Europe

iTraxx Europe Crossover 10Y

5-Year, 10-Year

Series 17 and all subsequent Series, up to and

including the current Series.

(h) Credit Default Swaps - European Untranched CDS Indices

iTraxx Europe Senior Series 17 and all subsequent Series, up to and

iTraxx Europe Sub Financials

Indices | Tenor

5-Year, 10-Year
308433745.5

89

Financials 5Y

Effective Date / Start

Date

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

payments.

Series 17 and all subsequent Series, up to and

including the current Series.

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

occurs.

iTraxx Europe HiVol 5Y

Settlement

Series 14 and all subsequent Series, up to and

including the current Series.

Cash Settlement with Contingent Payment, Fixed Quarterly, Upfront Payments

as agreed by parties.

including the current Series.

Settlement Procedure As determined by the DCO.

Trading Hours

iTraxx Europe HiVol 10Y

Trading hours of TW SEF.

iTraxx Europe Sub Financials

5Y

Series 13 and all subsequent Series, up to and

including the current Series.

DCO(s) CME; ICE

Series 17 and all subsequent Series, up to and

including the current Series.

Block Size

Tranched

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

No

Reportable Levels See Rule 409 and CFTC Regulation 15.03.

Position Limits

Quoting Convention

and Minimum

Increment

See Rule 408 and CFTC Regulation Part 150.

As agreed by parties.

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

iTraxx Europe Sub Financials

10Y

Minimum Size

iTraxx Europe Senior

Financials 10Y

As agreed by parties.

Series 17 and all subsequent Series, up to and

including the current Series.
308433745.5

90

Tranched No

Indices | Tenor

Quoting Convention

and Minimum

Increment

CDX.EM

As agreed by parties.

Reference Entities

5-Year, 10-Year

Minimum Size As agreed by parties.

Sovereign

Effective Date / Start

Date

Applicable Series

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

payments.

Contract Description

CDX.EM 5Y

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

occurs.

Series 16 and all subsequent Series, up to and

including the current Series.

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

as agreed by parties.

Region

Settlement Procedure

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

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

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

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

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

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

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

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

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

notional amount of the relevant obligations.

Selling credit protection is economically equivalent to owning the relevant

obligations. Buying credit protection is economically equivalent to selling those

obligations short.

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

a payment to the Buyer in accordance with the settlement terms of the CDS. In

cash settlement, a cash payment is made by the Seller to the Buyer equal to par

minus the recovery rate of the reference asset, with recovery rate being

calculated by referencing dealer quotes or observable market prices over some

period after default has occurred.

Credit Events are determined by International Swaps and Derivatives

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

settlement prices for obligations are determined by standardized auctions.

As determined by the DCO.

CDX.EM 10Y

EM

Series 16 and all subsequent Series, up to and

including the current Series.

(i) Credit Default Swaps – Emerging Markets Untranched CDS Indices
308433745.5

91

DCO(s)

See Rule 409 and CFTC Regulation 15.03.

Trading Hours

ICE

Position Limits See Rule 408 and CFTC Regulation Part 150.

Trading hours of TW SEF.

Reporting

Block Size

All trades reported to SDR in accordance with CFTC requirements.

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

Reportable Levels
308433745.5

92

Contract Description

Notional

• London Interbank Offered Rate (LIBOR) - 3

Month

• Fixed Notional or varying Mark to Market notional in USD

Contract Size

Holiday Calendar(s)

As agreed by the parties.

NY/London/TARGET

Business Day

Conventions

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

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

listed below.

Modified Following

• Adjusted

Minimum Size

Periodic Settlement:

Payment and Resets

As agreed by the parties.

• Floating Leg: The payment amount of the Floating Leg is based on the

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

Interest Rate Index and Floating Reset Dates.

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

(j) Cross Currency Basis Swaps

Optionality

Eurodollar (EUR)

No

Effective Date / Start

Date

Dual Currencies

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

and floating interest rate payments.

Yes

• Euro Interbank Offered Rate (EURIBOR) -

3 Month

Settlement Procedure Bilateral / as determined by LCH Swap Agent

Stated Maturity Range

| Maturity Date

Trading Hours

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

the final payment occurs.

Trading hours of TW SEF.

Currency and Floating

Rate Index - Time

Period

Netting Agent LCH Swap Agent

Trade Start Types

Block Size

• Spot Starting (T+2)

• Custom start dates

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

British Pound Sterling (GBP)

U.S. Dollar (USD)

Floating Legs

• LIBOR - 3 Month

• Quarterly (3M)

• Day Count Convention: ACT/360 & ACT/365F
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See Rule 409 and CFTC Regulation 15.03.

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

Position Limits

Reportable Levels

See Rule 408 and CFTC Regulation Part 150.
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Tenor The duration of time from the Effective Date to the Termination Date.

Effective Date

Settlement Type

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

Cash settlement.

Reference Index

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

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

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

appreciation of the Referenced Index, as applicable.

Quoting Convention

and Minimum

Increment

iBoxx USD Liquid Investment Grade

iBoxx USD Liquid High Yield

iBoxx USD Liquid Leveraged Loans

iBoxx EUR Corporates

iBoxx EUR Liquid High Yield

iBoxx EUR Contingent Convertible Liquid Developed Market AT1

Settlement Currency

Notional amount, as agreed by the parties.

EUR, GBP or USD

Contract Description

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

Minimum Size

Position Limits

Notional amount, as agreed by the parties

See Rule 408 and CFTC Regulation Part 150.

Trade Date

Reportable Levels

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

predetermined set rate, fixed or variable, to the seller in exchange for

notional-based returned performance of one of the Referenced Indices below.

See Rule 409 and CFTC Regulation 15.03.

Termination Date

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

Termination Date.

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

(k) Total Return Swaps