Exhibit A

ExhibitAppendix A

General Information

1. Discussion of contracts; not readily susceptible to manipulation

 The interest rate swap (IRS) market is considered the largest derivative market in the

world, with an estimated $441 trillion in notional principal outstanding as of December

2012 according to the Bank for International Settlements. See BIS Quarterly Review,

September 2013 Page A10 Table 4 http://www.bis.org/publ/qtrpdf/r_qs1309.pdf.

 IRS are cash-settled so there is no deliverable supply to be manipulated. IRS are

widely used by corporations, insurance companies, banks, and governments to transfer

and manage interest rate risk. TradSEF believes that the size and liquidity of the cash

market for interest rate linked financial instruments, such as bonds, loans, government

interest bearing instruments and volume of trading of swaps and interest rate sensitive

instruments creates in each case significant liquidity in interest rate sensitive

instruments so as to render IRS not easily susceptible to manipulation. Furthermore,

IRS-associated interest rate futures contracts, loans, cleared swaps, cash and futures

markets for government debt securities offer a deep liquidity pool to hedge and

risk-manage swaps based on such rates indexes.

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

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

prevent TradSEF participants from engaging in manipulative activity and possesses

discretion to impose fines and disciplinary sanctions on its participants. Furthermore,

TradSEF’s predecessor brokers who are involved in the operation of TradSEF have

decades of experience in operating platforms and executing trades in these swaps.

2. Discussion of Index Reference Prices

 Index Selection: TradSEF limits the indexes underlying its interest rate swap offerings to

well-established, publicly available third-party interest rate market benchmarks. Some

are published by central banks, others, such as the London Interbank Offered Rate

(LIBOR) benchmark, are calculated and published by reliable independent providers

such as trade associations, exchanges or other third parties. The interest rate reference

prices underlying swaps on TradSEF are the timeliest, most widely recognized and

reliable benchmarks for interest rates in their respective markets. The index levels are

readily available and commercially acceptable as benchmarks for borrowers, lenders,

investors, portfolio managers, governments and public policy makers.

 As a result of the widely publicized allegations that certain individuals attempted to

manipulate LIBOR indexes in particular, ICE Benchmark Administration (IBA) officially

took over as the administrator of the London Interbank Offered Rate (LIBOR) from

February 1, 2014. IBA is regulated by the UK Financial Conduct Authority (FCA), which

has confirmed formal authorization to IBA to administer LIBOR. IBA has built a robust

oversight and governance framework that includes an independent board with a majority

of Independent Non-Executive Directors. The Oversight Committee, which will

administer the LIBOR code of conduct, shall be composed of benchmark users,

independent experts, benchmark submitters, the IBA board and other stakeholders.
IBA’s new surveillance methodology has been designed to adjust to changing market

conditions and it will employ sophisticated analytical tools to operate the benchmark

price setting process with transparency. ICE will implement a new post-publication

surveillance system and tests designed to assess the credibility of LIBOR submissions

and rates. Thomson Reuters will collect data and perform real-time surveillance and

calculation services under the oversight of ICE. LIBOR Methodology: Each day major

banks submit their cost of borrowing unsecured funds for 15 periods of time in 10

currencies. Thomson Reuters audits the data submitted by panel banks and creates the

rates using the definitions provided by BBA’s FX & MM Committee. The LIBOR rate

produced by Thomson Reuters is calculated by using a trimmed arithmetic mean.

Thomson Reuters receives each bank’s submissions, ranks them in descending order

and then drops the top and bottom quartiles. The middle two quartiles, reflecting 50% of

the quotes, are then averaged to create the LIBOR quote. The bottom and top quartiles

are dropped from the calculation in order to increase the accuracy of the LIBOR quotes.

Dropping the outliers is done to limit the ability of any one bank to influence the

calculation and affect the LIBOR quote. LIBOR reference prices are calculated daily. All

of the recent public scrutiny and changes mentioned above to the administration of

LIBOR make it difficult for an attempt by a single market participant or group or market

participants to manipulate the LIBOR reference price.

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

calculation of each index by well known, independent third parties further limits the

susceptibility of manipulation of these indexes. TradSEF believes that such benchmark

indexes, many of which also underlie liquid interest rate futures contracts on major

Designated Contract Markets, due to the large number of index participants, ubiquity,

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

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

MAT by Javelin:

Specification Fixed-to-Floating Interest Rate Swap

Currency U.S. Dollar (USD) U.S. Dollar (USD) Euro (EUR)

Floating Rate

Indexes

USD LIBOR USD LIBOR EURIBOR

Trade Start Type Spot Starting (T+2)IMM Start Date

(next two quarterly

IMM start dates)

Spot Starting (T+2)

Optionality No No No

Dual Currencies No No No

Notional Fixed Notional Fixed Notional Fixed Notional

Tenors 2, 3, 5, 7, 10, 12,

15, 20, 30 years

2, 3, 5, 7, 10, 12,

15, 20, 30 years

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

MAT by trueEX LLC:

Specification Fixed-to-Floating Interest Rate Swap
Currency U.S. Dollar

(USD) U.S. Dollar (USD) U.S. Dollar

(USD) Euro (EUR)

Floating Rate

Indexes USD LIBOR USD LIBOR USD LIBOR EURIBOR

Trade Start Type Spot Starting

(T+2)

IMM Start Date(next

two IMM dates)

IMM Start Date

(next two IMM

dates)

Spot Starting

(T+2)

Optionality No No No No

Fixed Leg:

Payment Frequency Semi-Annual,

Annual

Semi-Annual,

Annual Semi-Annual Semi-Annual,Annual

Day Count

Convention

30/360,

Actual/360 30/360, Actual/360 30/360 30/360,Actual/360

Floating Leg:

Reset Frequency

Quarterly (3

Month),

Semi-Annual

Quarterly (3 Month),

Semi-Annual

Quarterly (3

month)

Quarterly (3

Month),

Semi-Annual

Day Count

Convention Actual/360 Actual/360 Actual/360 Actual/360

Dual Currencies No No No No

Notional Fixed Notional Fixed Notional Fixed Notional Fixed Notional

Fixed Rate Par Par Standard

Coupon1 Par

Tenors

2, 3, 5, 7, 10,

12, 15, 20, 30

years

2, 3, 5, 7, 10, 12,

15, 20, 30 years

1, 2, 3, 5, 7, 10,

15, 20, 30 years

2, 3, 5, 7, 10, 15,

20, 30 years

1 Standard Coupon refers to the then-current fixed coupon rates for Market Agreed Coupon

(“MAC”) contracts.

4. Swaps effective February 26, 2014:

MAT by TW SEF LLC:

Specification Fixed-to-Floating Interest Rate Swap (USD)

Currency U.S. Dollar

(USD)

U.S. Dollar

(USD)

U.S. Dollar

(USD)

Floating Rate

Indexes USD LIBOR USD LIBOR USD LIBOR

Trade Start Type Spot Starting

(T+2)

IMM Start

Date (next

two IMM

dates)

IMM Start Date

(next two IMM

dates)
Optionality No No No

Fixed Leg

Payment

Frequency

Semi-Annual,

Annual

Semi-Annual,

Annual Semi-Annual

Day Count

Convention

30/360,

Actual/360

30/360,

Actual/360 30/360

Floating Leg

Reset Frequency

Quarterly,

Semi-Annual

Quarterly,

Semi-Annual

Quarterly

Day Count

Convention Actual/360 Actual/360 Actual/360

Dual Currencies No No No

Notional Fixed Notional Fixed

Notional

Fixed Notional

Fixed Rate Par Par Standard

Coupon1

Tenors

2, 3, 4, 5, 6, 7,

10, 12, 15, 20,

30 years

2, 3, 4, 5, 6,

7, 10, 12, 15,

20, 30 years

1, 2, 3, 4, 5, 7,

10, 15, 20, 30

years

Specification Fixed-to-Floating Interest Rate Swap (Non-USD)

Currency Euro (EUR) Sterling (GBP)

Floating Rate

Indexes EURIBOR GBP LIBOR

Trade Start Type Spot Starting (T+2) Spot Starting (T+0)

Optionality No No

Fixed Leg
Payment

Frequency Semi-Annual, Annual Quarterly, Semi-Annual

Day Count

Convention 30/360, Actual/360 Actual/365F

Floating Leg

Reset Frequency Quarterly, Semi-Annual Quarterly, Semi-Annual

Day Count

Convention Actual/360 Actual/365F

Dual Currencies No No

Notional Fixed Notional Fixed Notional

Fixed Rate Par Par

Tenors 2, 3, 4, 5, 6, 7, 10, 15,

20, 30 years

2, 3, 4, 5, 6, 7, 10, 15,

20, 30 years

4. PRODUCT LIST – INTEREST RATE SWAPS (Table 1)

Interest Rate Swaps Cleared? DCOs

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

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

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

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

Interest Rate Options (IRO /

Swaptions) no

Interest Rate Caps no

Interest Rate Floors no

Inflation Swaps yes LCH.Clearnet

Inflation Options no

Inflation Asset Swaps no

Inflation Fixing no

Constant Maturity Swaps (CMS) no

Constant Maturity Swaps fixed/float no

Cross Currency Basis Swap no

Single Currency Basis swaps yes LCH.Clearnet / CME

Cross Currency Swap fixed/float no
Cross-currency swap fixed/fixed no

Non-Deliverable IRS fixed/float no

DTCC GCF Repo Swaps fixed/float no

5. General Specifications (unless stated otherwise in the relevant product descriptions):

Overview

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

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

another for a predetermined term. There are three types of IRS:

1. Fixed / Floating

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

quarterly, semi-annually or annually. The other party will make floating rate payments

indexed to reference rates such as 3 month LIBOR. Generally fixed and floating rate

payments are compounded and paid net on the longer coupon date. Note that fixed rate

payments can be made on several different day count conventions. Money Market = No. of

Days / 365; Bond Basis = 30 /360 Fixed; Adjusted Bond Basis = Actual No. of Days / 365 or

366.

2. Basis Swap

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

The other party will also pay a floating rate indexed to a reference rate in a different tenor.

For example a 2 year term IRS, Party A pays 6m $ LIBOR, Party B pays 3m $ LIBOR.

Generally payments of the 3m $LIBOR will be compounded and offset on the coupon dates.

3. Overnight Index Swap

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

against the fixed rate payments and dates.

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

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

 Deposit indices such as Libor, Euribor etc

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

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

Interest Rate Swaps – product types

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

TradSEF Platform:

General Definitions

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

Swap Transaction

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

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

Available Currencies / Price References / Publisher

Table 2
IRS Available

Currencies:

Americas: Reference Price Publisher

US Dollar (USD) USD LIBOR *Intercontinental Exchange

Benchmark Administration Ltd

Canadian Dollar

(CAD)

CADLIBOR *Intercontinental Exchange

Benchmark Administration Ltd

Argentine Peso (ARS) Bandler Rate Argentina Central Bank

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

Chilean Unidad de

Fomento (CLF)

ICP CLICP index

Chile Peso (CLP) ICP CLICP index

Columbian Peso

(COP)

Indicador Bancario de Referencia

(IBR)

Banco Central de Colombia

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

Peru Nuevo Sol

(PEN)

Overnight interest swap index Central Reserve Bank of Peru

EMEA: Reference Price (s) Publisher

Euro (EUR) EURIBOR *Intercontinental Exchange

Benchmark Administration Ltd

Euro (EUR) EURIBOR365= European Banking Federation

Euro (EUR) EONIA European Central Bank

British Pound (GBP) GBP LIBOR BBA *Intercontinental Exchange

Benchmark Administration Ltd

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

British Pound (GBP) GBP_WMBA_SONIA_COMPOUN

D

Wholesale Markets Brokers

Association

Czech Koruna (CZK) Prague Interbank Offered Rate

(PRIBOR)

Czech National Bank

Danish Krone (DKK) CIBOR NASDAQ OMX

French Franc (FRF) FRF CPIxT INSEE, France

Hungarian Forint

(HUF)

HUF Budapest Inter-Bank Offered

Rate (BUBOR)

Hungarian Forex Association

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

(TELBOR)

The Telbor Interest Rate

Committee

Norwegian Krone

(NOK)

Norwegian Interbank Offered

Rate (NIBOR)

Finance Norway

Polish Zloty (PLN) Warsaw Interbank Offered Rate

(WIBOR)

National Bank of Poland

Russian Ruble (RUB) MOSPRIME National foreign Exchange Assoc

South African Rand

(ZAR)

Johannesburg Interbank Agreed

Rate (JIBAR)

South African Futures Exchange

Swedish Krona (SEK) Stockholm Interbank Offered Rate

(STIBOR)

Swedish Bankers' Association

Swiss Franc (CHF) Swiss franc (CHF) LIBOR *Intercontinental Exchange

Benchmark Administration Ltd
Turkish Lira TRY TRLIBOR The Banks Association of Turkey

APAC: Reference Price (s) Publisher

Australian Dollar

(AUD)

AUD-BBR-BBSW AFMAdata

Australian Dollar

(AUD)

AONIA Reserve Bank of Australia

China Offshore Spot

(CNH)

CNHFIX The Treasury Markets Association

China Offshore CNH

HIBOR

CNHHIBORFIX01 The Treasury Markets Association

Renminbi (CNY)

REPO

CNREPOFIX=CFXS China Foreign Exchange Trade

System

Renminbi (CNY)

SHIBOR

SHIBOR China Foreign Exchange Trade

System

Renminbi (CNY)

DEPOSIT

PBOCB The People’s Bank of China

China Onshore Spot

(CNY)

SAEC The People’s Bank of China

Hong Kong Dollar

(HKD) HIBOR

HKD HIBOR Hong Kong Association of Banks

Hong Kong Dollar

(HKD)

OIS

HONIX The Hong Kong Brokers

Association

Indonesian Rupiah

(INR)

JIBOR Bank Indonesia

Japanese Yen (JPY) JPY-LIBOR-BBA *Intercontinental Exchange

Benchmark Administration Ltd /

British Bankers Association

Japanese Yen (JPY) JPYTIBOR Japanese Bankers Association

Japanese Yen (JPY) JPYTONAR U.S. Federal Reserve Bank / Bank

of Japan

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

Association

Malaysian Ringgit

(MYR)

KLIBOR Financial Markets Association

Malaysia (PPKM)

New Zealand Dollar

(NZD)

NZD-BBR-BID NZ Financial Markets Association

New Zealand Dollar

(NZD)

NZD-NZIONA-OIS Reserve Bank of New Zealand

Philippines Peso

(PHP)

PHIREF Bankers Association of the

Philippines

Singapore Dollar

(SGD)

Singapore Swap Offer Rate

(SOR)

Association of Banks in Singapore

Taiwan Dollar (TWD) TAIFX1 Taipei Forex Inc

Taiwan Dollar (TWD) TWCPBA Reuters

Thailand Bhat (THB) THBFIX Bank of Thailand

*from February 1, 2014,

Intercontinental Exchange
Benchmark Administration Ltd.

Will take over calculation and

publication of this index from

British Bankers Association

(BBA).

Fixed Rate Payer

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

to a fixed rate.

Floating Rate Payer

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

to a floating rate index.

Floating Rate Index

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

can be found here and with calculations in Articles 6 & 7 of the 2006 ISDA Definitions and the

2008 ISDA Inflation Derivatives Definitions.

Quoting Convention and Minimum Increment

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

by Participants for Voice Trading Facility trades.

Minimum Size

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

by Participants for Voice Trading Facility trades.

Confirmation

Documents or other confirming evidence exchanged between the counterparties which confirm

all of the terms of the Swap Transaction.

Business Day

A day on which banks settle payments.

Day Count Convention

The convention used for adjusting any relevant date that would otherwise fall on a

non-Business Day. Day count will be specific to the individual product specification.

Holiday Calendar

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

Term (Tenor)

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

Termination Date.

Notional Types

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

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

; “Accreting”: Notional increases over term of swap.
Effective (Start) Date

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

agreed Date Convention.

Termination Date

The last day of the Term of the Swap Transaction.

Maturity Date

Start Date + Term (Tenor)

First Fixing Date

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

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

Swap.

Trade Types

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

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

to Treasuries and combinations thereof.

Trade Start Types

Spot:

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

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

Forward:

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

Currency and floating Index.

Settlement Procedure

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

non-cleared trades

Block Trades

Block Trades may be submitted pursuant to SEF Rule 509.

Position Limits

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

rules regarding speculative position limits. The CFTC does not require speculative position

limits for IRS.

Trading Hours

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

Appendix B
Product Specifications and Terms and Conditions 

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

Contract Definition:

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

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

IRS Types

Fixed Rate v Floating Rate (X)ibor Index (e.g., 3m Libor, 6m Euribor).

Trading Conventions

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

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

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

basis point.

Specific Trade Types

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

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

to

Treasuries and combinations thereof.

Swap Term (Tenor)

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

Swap Conventions

Fixed LegPayment:

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

Day Count Conventions:

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

etc.

Holiday Calendar:

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

Business Day Conventions:

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

suitable to the Currency's market standards

Floating Leg Index:

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

etc.

Payment/Resets:

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

Day Count Conventions:

As dictated by Market Standard for the Floating Index, e.g., Act/360, Act/365, etc.
Holiday Calendar: As agreed by participants and suitable to the Currency's market standards.

Fixing Calendar:

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

Business Day Conventions:

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

suitable to the Currency's market standards.

Periodic Settlement Payment and Resets:

Fixed Leg:

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

Convention and Fixed Interest Rate.

Floating Leg:

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

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

in accordance with the payment frequency of the swap.

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

Contract Definition:

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

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

IRS Types

Fixed Rate v Floating Rate OIS Index (e.g., Sonia, Ronia, Eonia, FedFunds).

Trading Conventions

Buy/Pay = Pay Fixed, Receive Floating OIS Index

Sell/Receive = Receive Fixed, Pay Floating OIS Index

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

basis point.

Specific Trade Types

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

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

to

Treasuries and combinations thereof.

Swap Term (Tenor)

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

Swap Conventions

Fixed Leg

Payment:

Annual or as agreed by Participants.

Day Count Conventions:

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

Act/365 etc.
Holiday Calendar:

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

Business Day Conventions:

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

suitable to the Currency's market standards.

Floating Leg Index:

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

Eonia, FedFunds).

Payment/Resets:

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

Day Count Conventions:

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

Holiday Calendar:

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

Fixing Calendar:

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

Business Day Conventions:

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

suitable to the Currency's market standards.

Periodic Settlement Payment and Resets:

Fixed Leg:

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

Convention and Fixed Interest Rate.

Floating Leg:

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

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

in accordance with the payment frequency of the swap.

C. Single Currency Basis Swap, Float/Float

Contract Definition:

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

over a term to maturity.

Basis Spread

A spread between two Floating Rate Indices (e.g., 3m Libor, 6m Libor, OIS Index) of the same

currency.

Basis Swap Types

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

floating indices as agreed by Participants.
Specific Trade Types

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

(tenor)

Spreads, Butterflies.

Trading Conventions

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

+Basis Spread

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

+Basis Spread

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

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

flat and the spread is added to the 1m index. The shorter index can be compounded, i.e. Q/Q =

3m index vs 1 quarterly payment consisting of 3 compounded 1m index settings OR the shorter

index can be 3 separate monthly payments.

Swap Term (Tenor)

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

Swap Conventions

Floating Legs 1 & 2:

Index:

As agreed by participants and suitable to the Currency's market standards (e.g., 3mLibor, 6m

Libor, OIS Index, etc).

Payment/Resets:

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

Day Count Conventions:

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

Holiday Calendar:

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

Fixing Calendar:

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

Business Day Conventions:

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

suitable to each Currency's market standards.

Periodic Settlement Payment and Resets:

Floating Legs 1 & 2:

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

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

in accordance with the payment frequency of the swap.

D. Cross-Currency Basis Swap, Float/Float

Contract Definition:
An agreement to exchange a stream of cash flows by applying a floating interest rate on

leg 1 and a floating interest rate on leg 2 to a specified notional over a term to maturity.

Basis Spread

A spread between the Floating Rate Indices (e.g., 3m Libor, 6m Libor, OIS Index of two

different currencies.

Basis Swap Types

Floating Rate (X)ibor Index (e.g., 3m Libor) v Floating Rate (X)ibor Index (e.g., 3m Euribor),

usually

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

Floating Rate OIS Index (e.g., Eonia) v Floating Rate OIS Index (e.g., Fed Funds), usually with

the

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

Specific Trade Types

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

(tenor)

Spreads, Butterflies

Trading Conventions

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

Spread

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

Spread.

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

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

Currency 2.

Swap Term (Tenor)

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

Swap Conventions Floating Legs 1 & 2

Indices:

As agreed by participants and suitable to each Currency's market standards (e.g., 3mLibor, 6m

Libor, OIS Index , etc.)

Payment/Resets:

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

Day Count Conventions:

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

Holiday Calendar:

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

Fixing Calendar:

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

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

suitable to each Currency's market standards.

Periodic Settlement Payment and Resets:

Floating Legs 1 & 2:

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

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

in accordance with the payment frequency of either leg 1 or leg 2 as agreed between

Participants. Cross Currency Basis Swaps are traded with an exchange of principle FX'd at both

start date and maturity and may also be traded with intra-swap FX exchanges as required.

E. Cross-Currency Swap, Fixed/Fixed

Contract Definition:

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

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

Spread

A spread between the fixed rates of two different currencies.

Swap Types

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

Specific Trade Types

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

(tenor)

Spreads, Butterflies

Trading Conventions

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

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

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

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

in Currency 2.

Swap Term (Tenor)

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

Swap Conventions

Fixed Legs 1 & 2:

Payment:

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

Day Count Conventions:

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

Act/365 , etc.

Holiday Calendar:

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

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

suitable to each Currency's market standards.

Periodic Settlement Payment and Resets:

Fixed Legs 1 & 2:

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

Count Convention and Fixed Interest Rate. Payments are settled in accordance with the

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

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

may also be traded with intra-swap FX exchanges as required and as agreed between

Participants.

F. Cross-Currency Swap, Fixed/Float

Contract Definition:

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

1and a floating interest rate on leg 2 to a specified notional over a term to maturity.

Spread

A spread between the fixed rate of one currency and the Floating Rate Index (e.g., 3m Libor,

6mLibor, OIS Index of a second currency.

Swap Types

Fixed Rate v Floating Index Rate

Specific Trade Types

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

(tenor) Spreads, Butterflies.

Trading Conventions

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

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

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

basis point.

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

in Currency 2

Swap Term (Tenor)

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

Swap Conventions

Fixed Leg, Currency 1Payment:

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

Day Count Conventions:

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

etc.

Holiday Calendar:

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

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

suitable to the Currency's market standards.

Floating Leg, Currency 2Index:

As agreed by participants and suitable to the Currency's market standards (e.g., 3mLibor, 6m

Libor, OIS Index).

Payment/Resets:

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

Day Count Conventions:

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

Holiday Calendar:

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

Fixing Calendar:

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

Business Day Conventions:

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

suitable to the Currency's market standards.

Periodic Settlement Payment and Resets:

Fixed Leg:

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

Convention and Fixed Interest Rate.

Floating Leg:

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

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

in accordance with the payment frequency of either leg 1 or leg 2 as agreed between

Participants. Cross Currency Swaps may be traded with an exchange of principle FX'd at both

start date and maturity and may also be traded with intra-swap FX exchanges as required as

agreed between Participants.

G. Non-Deliverable IRS, Fixed/Float

Contract Definition:

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

applying a fixed and floating interest rate to a specified notional over a term to maturity

but where settlement value of each cash flow is paid in a second Currency (typically

USD),converted at the spot FX Fixing rate for the Notional Currency traded. This type of

swap is common among Asian and Latin American currencies.

Spread

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

non-deliverable currency.

Swap Types

Fixed Rate v Floating Index Rate
Specific Trade Types

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

(tenor)

Spreads, Butterflies.

Trading Conventions

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

Currency 2

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

in Currency 2

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

basis point.

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

Leg 2 in Currency 2

Swap Term (Tenor)

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

Swap Conventions

Fixed Leg, Currency 1Payment:

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

Day Count Conventions:

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

etc.

Holiday Calendar:

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

Business Day Conventions:

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

suitable to the Currency's market standards.

Floating Leg, Currency 2Index:

As agreed by participants and suitable to the Currency's market standards (e.g., 3mLibor, 6m

Libor, OIS).

Payment/Resets:

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

Day Count Conventions:

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

Holiday Calendar:

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

Fixing Calendar:

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

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

suitable to the Currency's market standards.

Periodic Settlement Payment and Resets:

Fixed Leg:

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

Convention and Fixed Interest Rate.

Floating Leg:

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

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

in accordance with the payment frequency of either leg 1 or leg 2 as agreed between

Participants. Non-Deliverable IRS are traded with an exchange of principle FX'd at both start

date and maturity and may also be traded with intra- swap FX exchanges as required.

H. Inflation Swaps

Inflation Swap, Fixed/Float

Contract Definition:

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

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

IRS Types

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

Trading Conventions

Buy/Pay = Pay Fixed, Receive Floating Inflation Index

Sell/Receive = Receive Fixed, Pay Floating Inflation Index

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

Specific Trade Types

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

(tenor) Spreads, Butterflies, Spreads between different Inflation Indices.

Swap Term(Tenor)

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

Swap Conventions

Fixed Leg:

Payment:

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

Day Count Conventions:

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

Act/Act , etc.

Holiday Calendar:

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

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

suitable to the Currency's market standards

Floating Leg Index:

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

, etc.

Payment/Resets:

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

Day Count Conventions:

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

Holiday Calendar:

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

Fixing Calendar:

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

Business Day Conventions:

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

suitable to the Currency's market standards.

Periodic Settlement Payment and Resets:

Fixed Leg:

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

Convention and Fixed Interest Rate:

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

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

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

Floating Leg:

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

Count Convention, Inflation Index and Floating Reset Dates:

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

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

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

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

Clearing:*

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

I. Constant Maturity Swaps

Constant Maturity Swap (CMS), Float/Float

Contract Definition:

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

over a term to maturity. The first floating rate is referred to as a Constant Maturity because

the underlying asset is the daily fixing of a medium-term Interest Rate Swap, typically 2Y, 5Y or

10Y. The second floating rate is a deposit index such as Libor.
CMS Spread

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

CMS Types

Floating ISDA Fix Constant Maturity (e.g., 5y IRS) vs Floating Rate (X)ibor Index (e.g., 3m

Libor,6m Euribor) + spread

Specific Trade Types

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

(tenor) Spreads, Butterflies

Trading Conventions

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

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

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

Swap Term (Tenor)

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

Swap Conventions

Floating Leg 1

CMS Index:

As agreed by participants and suitable to the Currency's market standards, e.g., ISDA Fix CMS

Index.

Payment/Resets:

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

Day Count Conventions:

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

Holiday Calendar:

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

Fixing Calendar:

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

Business Day Conventions:

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

suitable to each Currency's market standards.

Floating Leg 2

Index:

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

etc.

Payment/Resets:

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

Day Count Conventions:

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

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

Fixing Calendar:

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

Business Day Conventions:

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

suitable to the Currency's market standards.

Periodic Settlement

Payment and Resets:

Floating Legs 1 & 2:

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

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

in accordance with the payment frequency of the swap.

J. Constant Maturity Swap, Fixed/Float

Contract Definition:

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

interest rate to a specified notional over a term to maturity. The floating rate in this case is

referred to as a Constant Maturity because the underlying asset is the daily fixing of a

medium-term Interest Rate Swap, typically 2Y, 5Y or 10Y.

IRS Types

Fixed Rate vs Floating ISDA Fix Constant Maturity (CMS) Rate.

Trading Conventions

Buy/Pay = Pay Fixed, Receive Floating CMS

Sell/Receive = Receive Fixed, Pay Floating CMS

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

basis point.

Specific Trade Types

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

Spreads, Butterflies.

Swap Term (Tenor)

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

Swap Conventions

Fixed Leg:

Payment:

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

Day Count Conventions:

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

etc.

Holiday Calendar:

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

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

suitable to the Currency's market standards.

Floating Leg

CMS Index:

As agreed by participants and suitable to the Currency's market standards, e.g., ISDA Fix CMS

Index.

Payment/Resets:

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

Day Count Conventions:

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

Holiday Calendar:

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

Fixing Calendar:

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

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

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

Periodic Settlement

Payment and Resets:

Fixed Leg:

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

Convention and Fixed Interest Rate.

Floating Leg:

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

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

settled in accordance with the payment frequency of the swap.

K. Forward Rate Agreements (FRA)

Contract Definition:

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

notional over a term to maturity and paying/receiving the difference according to

valuation of an Index at FRA settlement date.

Trading Conventions

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

Fixed - Floating ]

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

receive [ Fixed - Floating ]

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

basis point.

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

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

FRA Term (Tenor)

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

to 36 months.

FRA Conventions:

Start Date (Effective Date):

Forward Settlement as agreed by the Participants

Maturity Date:

Forward Start Date + FRA Index Tenor

Settlement:

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

Floating ]

Day Count Conventions:

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

Act/365, etc.

Holiday Calendar:

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

Business Day Conventions:

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

suitable to the Currency's market standards.

Periodic Settlement

Payment and Resets:

Fixed Leg:

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

Convention and Fixed Interest Rate.

Floating Leg:

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

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

settled on Forward Settlement Date as Traded Rate minus Index Fixing rate.

L. DTCC GCF Repo Swaps, Fixed/Float

Contract Definition:

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

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

IRS Types

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

Repurchase Agreement Index.

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

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

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

basis point.

Specific Trade Types

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

Spreads, Butterflies.

Swap Term (Tenor)

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

Swap Conventions

Fixed Leg:

Payment:

Annual (or term if < 1 year)

Day Count Conventions:

Act/360

Holiday Calendar:

New York

Business Day Conventions:

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

more bespoke swaps

Floating Leg

Index:

DTCC GCF Repo Index, Daily reset

Payment:

Daily

Day Count Conventions:

Act/360

Holiday Calendar:

New York

Fixing Calendar:

New York

Business Day Conventions:

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

more bespoke swaps.

Periodic Settlement

Payment and Resets:

Fixed Leg:

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

Convention and Fixed Interest Rate.

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

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

in accordance with the payment frequency of the swap.

M. Interest Rate Swaps Specific to Underlying Currency:

USD Interest Rates 1 to 50 years:

(a) USD Spread Over these are the combination spot dated interest rates swaps 1

to 50 years Semi-Annual bond basis (30/360) on the fixed side versus 3 month

LIBOR (reference page LIBOR01) on the floating side dealt with of a hedge of

benchmark treasuries of corresponding size; and

(b) USD Interest Rate Swaps 1 to 50 years Semi-Annual bond basis (30/360) on

the fixed side versus 3 month LIBOR (reference page LIBOR01) on the floating

side;

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

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

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

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

side;

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

swaps described above) with the spread between the fixed rates representing

the spread dealt;

(c) BUND, BOBL and SCHATZ spreads are cockdated Euro interest swaps annual

bond basis (30/360) on the fixed side versus 6 month EURIBOR (reference page

EURIBOR01) dated from the maturity of the futures contract maturing on the

maturity of the “Cheapest To Deliver” of the contract (“Stub” at the front) dealt

with a futures hedge of corresponding size, quoting the front two contracts.

UK GBP Interest Rate Swaps – product types

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

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

(done as a single basis (floating/floating) swap); and

(c) GBP matched maturities of all liquid UK government gilts.

UK GBP Interest Rate Swaps - Trading Days and timings

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

Business Day, other than such days when NYSE Liffe or the Clearing House is closed for

business. Tradition reserves the right to determine additional Trading Days after prior
announcement thereof to the Participants. For the purposes of this rule, “Business Day”

means every weekday that is not a holiday in New York.

Colombian Interest Rate Swaps

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

lending rate) is quoted with both fixed and floating side payment frequency’s of bullet (or at

maturity) for trades of 1 month to 18 months, or quarterly, 2 year thru 30 year.

 Value: T+2

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

year)

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

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

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

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

Colombian UVR (Inflation) Interest Rate Swaps

The plain vanilla swap, fixed UVR (which is a Colombian floating inflation index) versus floating

6 Month US Dollar Libor, is quoted with both fixed and floating side payment frequencies’ of

semi-annually, 1 year thru 30 year.

 Value: T+2

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

months). Quarterly (2 year to 30 years)



 Fixed/ Floating Rate Day count: ACT/360

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

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

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

Colombian Cross Currency Interest Rate Swaps

The plain vanilla swap, fixed Colombian versus floating 3 Month US Dollar Libor, is quoted with

both fixed and floating side payment frequency’s of semi-annually, 1 year thru 30 year.

 Value: T+2

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

 Fixed/ Floating Rate Day count: ACT/360

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

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

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

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

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

to maturity)

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

 All non-delivery

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

 ACT/360 (normal Calendar)

 Ref Page: BBG COOVIBR INDEX or

http://www.banrep.gov.co/series-estadisticas/see_tas_inter_ibr.htm
Peruvian Cross Currency Interest Rate Swaps

The plain vanilla swap, fixed Peruvian versus floating 6 Month US Dollar Libor, is quoted with

both fixed and floating side payment frequency’s of semi-annually, 1 year thru 20 year.

 Value: T+2

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

 Fixed/ Floating Rate Day count: ACT/360

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

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

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

Peruvian Interest Rate Swaps

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

rate) is quoted with both fixed and floating side payment frequency’s of bullet (or at maturity) for

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

 Value: T+2

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

30 year)

 Fixed/ Floating Rate Day count: ACT/360

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

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

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

Peruvian VAC (Inflation) Interest Rate Swaps

The plain vanilla swap, fixed VAC (which is a Peruvian floating inflation index) versus floating 6

Month US Dollar Libor, is quoted with both fixed and floating side payment frequency’s of

semi-annually, 1 year thru 30 year.

 Value: T+2

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

 Fixed/ Floating Rate Day count: ACT/360

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

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

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

Argentine Cross Currency Interest Rate Swaps

The plain vanilla swap, fixed Argentine versus floating 6 Month US Dollar Libor, is quoted with

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

 Value: T+2

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

 Fixed/ Floating Rate Day count: 30/360

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

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

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

Argentine CER (Inflation) Interest Rate Swaps

The plain vanilla swap, fixed CER (which is a Argentine floating inflation index) versus floating 6

Month US Dollar Libor, is quoted with both fixed and floating side payment frequencies of

semi-annually, 1 year thru 30 year.

 Value: T+2

 Fixed/ Floating Rate Frequency: Semi-Annually (1 year to 30 year)
Swaps only trade OTC.

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

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

Mexico.

TIIE-LIBOR BASIS SWAP (MEXICO)

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

exchange 1m Libor+ spread vs the 28 day TIIE flat.

Trading: Basis Swaps trade in USD.

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

Settlement is T+2

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

Clearing:* Available - CME

INFLATION-LINKED INTEREST RATE SWAPS MEXICO

1. UDI – Libor cross currency swap

In the OTC inflation-linked swap market the most standardized contract is a fixed real

rate (UDI rate) for floating USD Libor flat. In this contract one counterparty agrees to

pay/receive a fixed real coupon (UDI rate) every six months and receive/pay a floating USD rate

(6-month Libor). Principals are exchanged at the start and end of the swap contract.

UDI – Libor swap key characteristics

Floating leg: 6-month USD Libor

Fixed leg: UDI rate (a real rate)

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

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

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

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

depending on liquidity.

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

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

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

basis.

Settlement is T+1.

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

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

 Fixed/ Floating Rate Day count: 30/360

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

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

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

Mexican Interest Rates Swaps

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

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

CASH FLOWS EXCHANGED EVERY 28 DAYS

DAY COUNT: ACT/360 FOR FIXED AND FLOATING LEGS

Regulatory: ISDA DOCUMENTATION

Trading

Settlement

Fixed/floating

leg

conventions

Reference rate

Daily turnover

Typical bid

offer Spread trades

Liquidity

Secondary

market liquidity
Swaps only trade OTC.

CROSS-CURRENCY UF Peso Swap

Trading is from 3 months out to 20 years.

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

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

Stated in the contract

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

an Actual/360 days

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

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

T+2

Documentation: ISDA guidelines

Coupon frequency: Semi - annual

Coupon basis: Act / 360 on both legs

Settlement is T+2

USD Libor reference:

Telerate Page 3750; Libor set 2 London business days prior to each calculation period

Payments (both legs):

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

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

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

parties agree at the beginning of the contract to exchange at maturity a MXN-denominated

notional for a UDI-denominated notional. This is based on the value of the UDI index prevailing

on the initial date.

UDI – TIIE swap contract key characteristics

TIIE rate

(Floating leg: 28-day TIIE

Fixed leg: UDI rate (a real rate)

Documentation: ISDA guidelines

Settlement is T+1

Coupon frequency (fixed leg):

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

Coupon frequency (floating leg):

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

TIIE determination convention:

Set 1 Mexico City business day prior to each calculation period

Principal exchanges: Just at maturity; no initial exchange

Chile IRS

IRS CLP & IRS UF

DAY COUNT: ACT/360 FOR FIXED AND FLOATING LEGS

Regulatory: ISDA DOCUMENTATION

Start date

Maturity date

Fixed/floating

leg

conventions Reference rate

Typical bid

offer Spread trades

Liquidity

Secondary

market liquidity
Swaps only trade OTC.

PAYMENT CALENDAR New York and Santiago, Chile

Trading is from 1 months to 1.5 years.

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

0

Stated in the contract UF Fwd Rate.

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

an annually ACT/360

Zero Coupon.

T+2

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

maturity date.

Regulatory: ISDA DOCUMENTATION

Start date

Maturity date

Fixed/floating

leg

conventions Reference

rate UFReference

rate 2Typical bid

offer Liquidity

Secondary

market liquidity
Swaps only trade OTC.

Chile Peso Fixed vs Camara Floating Rate OIS

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

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

both fixed and floating side payment frequency of bullet (at maturity) for trades of 1 month to 18

months or semi-annual from 2 years and longer (up to30 years).

 Value Date: t+2

 Rate Day Count: ACT/360

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

longer.

 Day Convention: Modified Following

 Calendars: New York & Santiago

CLF Fixed vs Camara Floating Rate XCCY OIS

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

called UF vs Camara or CLF vs Camara. Both (UF & CLF) names are synonymous. This

swap can be considered as Cross Currency Swap because the floating rate is CLP TNA against

the Inflation Index currency on the fixed side. This swap trades from 1 month up to 18 months

zero coupon (at maturity) with maturity on the day 9th of the correspondent month, So can be

long stub at the beginning of the month and short stub at the end of the month. Example. Today

is 2013 October 1st, the Value Date is Oct 3rd (t+2), 1 year tenor will be for Oct 9th 2014 (371

days for 1 year trade), Now if today is October 22nd, Value Date Oct 24th then the 1 year trade

will be for Oct 9th 2014(350 days for 1 year trade).From 2 years and longer, semi-annual

frequency on regular swap dates conventions.

 Value Date t+2

 Rate Day Count ACT/360

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

 Day Convention Modified Following

 Calendars New York & Santiago

Asian IRS Conventions:

Trading is from 1 year out to 20 years.

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

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

Libor

Stated in the contract

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

an Actual/360 days

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

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

T+2

Chile Currency Basis Swap

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

Libor stated in the contract and in effect on the date of the end of the operation variable is

calculated.

DAY COUNT: ACT/360 FOR FIXED AND FLOATING LEGS

Regulatory: ISDA DOCUMENTATION

Start date

Maturity date

Fixed/floating

leg

conventions Reference

rate1 Reference

rate2 Typical bid

offer Spread trades

Liquidity

Secondary

market liquidity
Australian Dollar (AUD)

Business Days – Sydney

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

Business Days – Sydney

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

Hong Kong Dollar (HKD)

Business Days – Hong Kong

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

Japan Yen (JPY)

Business Days – London, New York & Tokyo

Reference Rate – JPY-LIBOR-BBA published on Reuters ‘Page 3750’

Business Days – Tokyo

Reference Rate – JPYTIBOR published on Reuters ‘TIBM’

Business Days – Tokyo

Reference Rate – JPYTONAR published on Reuters ‘TONAR’

Korean Won (KRW)

Business Days – Seoul

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

New Zealand Dollar (NZD)

Business Days – Wellington

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

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

Reuters‘RBNZ02’

Singapore Dollar (SGD)

Business Days – London, New York & Singapore

Reference Rate – SOR published daily on Reuters ‘ABSFIX01’

Thailand Baht (THB)

Business Days – Bangkok, London & New York

Reference Rate – THBFIX published daily on Reuters ‘THBFI

N. Interest Rate Options

Overview

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

underlying instrument (payers or receivers swaption - usually cash settled at expiry) or a series

of pay-offs based upon future index fixings (cap/floor). Exercise of this option is dependent

upon the strike price agreed at the time of the original contract being "in the money" at expiry,

i.e. higher than the fixing rate for a receivers swaption or floor (puts), lower for a payers

swaption or cap (calls).

Swap Options

Interest Rate Swaption

Contract Overview
An option to enter into an Interest Rate Swap contract ('Underlying Swap') atpreat pre-defined

time(s), typically a Fixed/Float IRS with its Fixed Rate equal to the Strike.

Type

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

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

Trade Convention

Buy = Buy the right to exercise the option.

Sell = Sell the right to exercise the option.

Trade Currency

Available currencies as defined in this Product Listing.

Trade Date

Date on which the trade is conducted.

Price Quote Convention

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

Premium Amount

( Notional * Price )

Premium Payment Date

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

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

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

Strike

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

Minimum Notional

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

Exercise Type

European

American

Bermudan

Expiry Date

Exercise date(s) of the option.

1 day to 50 years from Trade Date.

European

Exercise only on the Expiry Date and Time specified.

American

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

Bermudan

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

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

Settlement Type

Cash

Physical

Cleared Physical

Dates and conventions as defined by ‘ISDA 2006 Definitions’.

Payment Amount

As defined by ‘ISDA 2006 Definitions’ according to Settlement Type.

Underlying Swap Effective Date

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

Definition of Underlying Swap

Fixed/Floating Interest Rate Swap

Trade Strategies

Payers/Receivers

ISDA OTC Taxonomy

Asset Class

Interest Rate

Base Product

IR Swap

Sub-Product

Swaption

Included Definitions

2006 ISDA Definitions

Cancellable Swap Contract Overview

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

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

Type

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

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

Trade Convention

Buy = Buy the right to exercise the option.

Sell = Sell the right to exercise the option.

Trade Currency

Available currencies as defined in this Product Listing

Trade Date

Date on which the trade is conducted.

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

basis point.

Premium Amount

( Notional * Price )

Premium Payment Date

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

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

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

Strike

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

Minimum Notional

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

Exercise Type

European

American

Bermudan

Expiry Date

Exercise date(s) of the option.

1 day to 50 years from Trade Date.

European

Exercise only on the Expiry Date and Time specified.

American

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

Bermudan

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

participants.

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

Settlement Type Cash

Physical

Cleared Physical

Dates and conventions as defined by ‘ISDA 2006 Definitions’.

Payment Amount

As defined by ‘ISDA 2006 Definitions’ according to Settlement Type.

Underlying Swap Effective Date

As agreed by the participants.

Underlying Swap Termination/Maturity Date

Number of business days after the option is exercised.
Fixed/Floating Interest Rate Swap

Trade Strategies

Payers/Receivers

ISDA OTC Taxonomy

Asset Class

Interest Rate

Base Product

IR Swap

Sub-Product

Swaption

Included Definitions

2006 ISDA Definitions

Other Options:

Interest Rate Option

Contract Definition

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

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

Trading Conventions

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

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

Trade Currency

Available currencies as defined herein.

Trade Date

Date on which the trade is conducted.

Price Quote Convention

Quoted in BP

Spot or Forward.

Specific Option Types

Cap, Floor, CMS Spread Option, Exotic

Swap Term (Tenor)

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

Swap Conventions

Option Leg:

Index:

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

Indices (as per ISDA 2006 or agreed by Participants), Inflation Indices (as per ISDA2008), and

spreads of the aforementioned }

Rate:

A function of the index including caps and floors
Payment/Resets:

As per ISDA 2006

Day Count Conventions:

As per convention for the trade Currency.

Holiday Calendar:

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

Fixing Calendar:

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

Business Day Conventions:

As agreed by Participants

Floating / Fixed Leg Index or Fixed Rate:

As agreed by Participants

Payment/Resets:

As per ISDA 2006

Day Count Conventions:

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

Holiday Calendar:

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

Fixing Calendar:

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

Business Day Conventions:

As agreed by Participants

Periodic Settlement

Payment and Resets:

Fixed Leg:

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

Convention and Fixed Interest Rate.

Floating Leg:

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

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

in accordance with the payment frequency of the swap.

Interest Rate Option - IR/Inflation Cap/Floor

Price Quote Convention

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

divided into a spread paid each period of the option leg.

Swap Conventions

Option Leg (only leg of structure):

Index:
IR = Interest Rate Indices as per ISDA 2006 or as agreed by participants.

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

as an annualized rate.

Rate:

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

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

Tenors

1 day to 60 years

Strategies

Straddle, Strangle, Collar

O. Market Agreed Coupon (MAC) Swaps

Overview

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

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

One type of compression is the process of removing positions which have the same economic 

terms. In a cleared market, if all economic terms are the same but opposite, the line items can 

be removed completely leaving just the present value P&L as a cash balance without the 

clearing commitment of an annuity based P&L.

Contract Definition:

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

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

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

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

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

Available Currency: USD

Floating Rate Index: 3 Month USD LIBOR

Quoting Convention /

Minimum Increments: As agreed by counterparties.

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

Minimum Size: As agreed by counterparties.

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

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

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

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

the swap.
Maturity Date: The final date on which the obligations no longer accrue and the final 

payment occurs.

Periodic Settlement

Payment and Resets: Fixed Leg: The payment amount of the Fixed Leg is based on the 

following:

Notional, Payment Frequency, Day Count Convention and Fixed Interest 

Rate. 

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

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

Interest Rate Index and Floating Reset Dates.

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

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

Date.

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

Fixed Rate: Standard Coupon: the then-current rates for Market Agreed Coupon 

(“MAC”) contracts

Settlement Procedure: As determined by the Clearing Venue.

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

Supplement

 or Notice to Participants.

Clearing: LCH.Clearnet or CME

Minimum Transaction Size: $1,000,000 notional.

Minimum Incremental Size: $1,000,000 notional.

Block Size: As set forth in Appendix F to Part 43 of the CFTC Regulations.
Document comparison by Workshare Compare on Tuesday, July 07, 2015

12:09:06 PM

Input:

Document 1 ID

file://U:\.V2\Tradition SEF Rulebook\CFTC

Submissions\Product Certifications\Product Submission

No. 14-15R\Tradition SEF CFTC Product Submission No.

14-15R (REVISED) Exhibit A - IRS Product List

041515.docx

Description Tradition SEF CFTC Product Submission No. 14-15R

(REVISED) Exhibit A - IRS Product List 041515

Document 2 ID

file://U:\.V2\Tradition SEF Rulebook\CFTC

Submissions\Submission 2015-09 (IRS Product

Certification)\Tradition SEF CFTC Product Submission No.

2014-09 (REVISED) Exhibit A - IRS Product List

070815.docx

Description Tradition SEF CFTC Product Submission No. 2014-09

(REVISED) Exhibit A - IRS Product List 070815

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