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Currency and Floating

Rate Index - Time

Period

Transaction Types

Contract Size

 Outright  Spread vs. US Treasury Securities (“Swap Spread” or “Spreadover”)  Benchmark Spread

 Off Benchmark Spread

 Rate Switch

 Spread Switch

 Butterfly

 Combinations of above

As agreed by the parties.

Fixed Leg

U.S. Dollar (USD)

 Payment Frequency: Quarterly; Semi-Annual; or Annual  Day Count Convention: 30/360; Actual/360

Contract Description

Floating Leg

Minimum Size

 Quarterly (3M) or Semi-Annual (3M or greater)  Day Count Convention: Actual/360

London Interbank Offered Rate (LIBOR) - 1

Month, 3 Month, 6 Month

As agreed by the parties.

Notional Fixed Notional

Fixed Rate Types

Effective Date / Start

Date

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

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.

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

and floating interest rate payments.

Holiday Calendar(s) NY/London

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 -: US Dollar Fixed-to-Floating

Business Day

Conventions

Stated Maturity Range

/ Maturity Date

Following

Modified Following

Canadian Dollar (CAD)

30 days to 50 years | 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

Canadian Dealer Offered Rate (CDOR) - 1

Month, 3 Month, 6 Month

Trade Start Types

 Spot Starting (T+2)  IMM Start Date (September, December, March, June).
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Dual Currencies

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

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 DW SEF.

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.

DCO(s)
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USDCanadian Dollar (CAD)

 Outright  Spread vs. Gov’t of Canada Securities (“Swap Spread” or “Spreadover”)  Rate Switch

 Spread Switch

 Butterfly

 Fixed Notional

Contract Description

Holiday Calendar

Minimum Size

NY/London

LIBOR - 1 Month, 3-Month, 6 Month Canadian

Dollar Offered Rate (CDOR)

As agreed by the parties.

Business Day

Conventions

Modified Following

FloatingFixed Leg 1

Effective Date / Start

Date

 Payment Frequency: Quarterly; Semi-Annual; or Annual  Day Count Convention: 30/360; Actual/360

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

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

payment that is based on a different reference rate in the same currencyone of

the indices listed below.

As agreed by theThe date on which parties begin calculating accrued obligations

such as fixed and floating interest rate payments.

Floating Leg 2

 Payment Frequency: Quarterly; (3M) or Semi-Annual; (3M or

Annualgreater)  Day Count Convention: 30/360; Actual/360365

(b) Interest Rate Swaps - Basis: Canadian Dollar Fixed-to-Floating

Notional

Stated Maturity Range

/ Maturity Date

Fixed Notional

CAD

1 month30 days to 50 years | The final date on which the obligations no longer

accrue and the final payment occurs.

Fixed Rate Types

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

CDOR - 1 Month, 3 Month, 6 Month

Holiday Calendar(s)

First Fixing Date

Toronto

 The first LIBOR Fixing Date is 2 London business days prior to the

Effective Date.

Business Day

Conventions

Modified Following

Currency and Floating

Rate Index - Time

Period

Periodic Settlement:

Payment and Resets

Trade Start Types

 FloatingFixed Leg 1: The payment amount of the FloatingFixed Leg 1 is

based on the following: Notional, Payment Frequency, Day Count

Convention, Floating and Fixed 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

Contract Size

 Spot Starting (T+2+0)  IMM Start Date (September, December, March, June).

As agreed by the parties.

Notional Transaction

Types
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Dual Currencies

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

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 DW 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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Effective Date / Start

Date

Holiday Calendar(s)

Contract Description

Federal Reserve

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

and floating interest rate payments.

Federal Funds Effective Rate, per H-15

Business Day

Conventions

Modified Following

Stated Maturity Range

/ Maturity Date

Periodic Settlement:

Payment and Resets

EUR

 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. Euro Overnight Index Average (EONIA)Payments are settled in accordance with

the payment frequency of the swap.

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

the final payment occurs.

An Overnight Index Swap (OIS)referencing the US Dollar Federal Funds Effective

Rate 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

indexthe Federal Funds Effective Rate over every day of the payment period.

Optionality No

Contract Size

Trade Start Types

Dual Currencies

(c) Overnight Indexed Swaps - Fixed for FloatingIndex Swaps: US Dollar Federal Funds

Effective Rate

No

 Spot Starting (T+2)  Forward Starting (starting on next Federal Reserve Announcement Date)

As agreed by parties.

Settlement Procedure As determined by the DCO.

Fixed Leg

Trading Hours Trading hours of DW SEF.

 Payment Frequency: Term and Annual  Day Count Convention: Actual/360

DCO(s) GBP

Sterling Overnight Index Average (SONIA)LCH and CME

Minimum Size

Floating Leg

Block Size

Currency and Floating

Rate Index

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

 Term and Annual  Day Count Convention: Actual/360

As agreed by parties.

Reportable Levels See Rule 409 and CFTC Regulation 15.03.

Notional Fixed Notional

USD
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Position Limits

All trades reported to SDR in accordance with CFTC requirements.

See Rule 408 and CFTC Regulation Part 150. Reporting
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Federal and TARGETUS Government Securities Calendar

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

and floating interest rate payments.

Swiss Franc Tom/Next Index Swaps

(TOIS)Secured Overnight Financing Rate

Business Day

Conventions

Modified Following

Stated Maturity Range

/ Maturity Date

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.

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

and the final payment occurs.

An Overnight Index Swap referencing the Secured Overnight Financing Rate

(SOFR) is an agreement between two parties to exchange a fixed interest

payment for a floating interest payment based on the geometric average of SOFR

over every day of the payment period.

Optionality No

Contract Size

Trade Start Types

Dual Currencies

(a) Overnight Index Swaps: US Dollar Secured Overnight Financing Rate

No

 Spot Starting (T+2)  Forward Starting (starting on next Federal Reserve Announcement Date)

As agreed by parties.

Settlement Procedure As determined by the DCO.

Fixed Leg

Trading Hours Trading hours of DW SEF.

 Payment Frequency: Term and Annual  Day Count Convention: Actual/360F360

DCO(s) LCH and CME

Minimum Size

Floating Leg

Block Size

Currency and Floating

Rate Index

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

 Term and Annual  Day Count Convention: Actual/360

As agreed by parties.

Reportable Levels See Rule 409 and CFTC Regulation 15.03.

Notional

Position Limits See Rule 408 and CFTC Regulation Part 150.

Fixed Notional

CHFUSD

Effective Date / Start

Date

Holiday Calendar(s)

Contract Description
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Reporting All trades reported to SDR in accordance with CFTC requirements.
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Effective Date / Start

Date

Holiday Calendar(s)

Contract Description

Toronto

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

and floating interest rate payments.

Canadian Overnight Repo Rate Average

(CORRA)

Business Day

Conventions

Modified Following

Stated Maturity Range

/ Maturity Date

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.

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

the final payment occurs.

An Overnight Index Swap referencing the Canadian Overnight Repo Rate

Average (CORRA) is an agreement between two parties to exchange a fixed

interest payment for a floating interest payment based on the geometric average

of CORRA over every day of the payment period.

Optionality No

Contract Size

Trade Start Types

Dual Currencies

(b) Overnight Index Swaps: Canadian (Dollar) Overnight Repo Rate Average

No

 Spot Starting (T+0)  Forward Starting

As agreed by parties.

Settlement Procedure As determined by the DCO.

Fixed Leg

Trading Hours Trading hours of DW SEF.

 Payment Frequency: Term and Annual  Day Count Convention: Actual/365

DCO(s) LCH and CME

Minimum Size

Floating Leg

Block Size

Currency and Floating

Rate Index

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

 Term and Annual  Day Count Convention: Actual/365

As agreed by parties.

Reportable Levels See Rule 409 and CFTC Regulation 15.03.

Notional Fixed Notional

CAD
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Position Limits

All trades reported to SDR in accordance with CFTC requirements.

See Rule 408 and CFTC Regulation Part 150. Reporting
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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 periodSingle-Period Interest Rate

Swap (IRS) where onereferencing USD LIBOR is a forward-starting

Fixed-vs.-Floating Interest-Rate Swap, with a single floating-rate period. One

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

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

interest rateUSD LIBOR. A net payment is made on the Maturity Date.

 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.

(c) (d) Single Period Swaps: US Dollar denominated Forward Rate AgreementsLIBOR

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 DW SEF.

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

Effective Date / Start

Date

USD – LIBOR (1 Month, 3 Months, 6 Months)
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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.
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Contract Description

Holiday Calendar(s) US Government Securities Calendar

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 Single-Period Interest Rate Swap referencing the Secured Overnight Financing

Rate (SOFR) is a forward-starting Fixed-vs.-Floating Interest-Rate Swap, with a

single floating-rate period. One party buys (pays) a fixed interest rate and

receives compounded SOFR and one party sells (receives) a fixed interest rate

and pays compounded SOFR. A net payment is made on the Maturity Date.

 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.

(d) Single Period Swaps: US Dollar Secured Overnight Financing Rate

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 DW SEF.

Fixing Date

DCO(s)

SOFR fixing date is two good business days prior to the effective date

LCH and CME

Effective Date / Start

Date

USD – Secured Overnight Financing Rate

Business Day

Conventions

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

Modified Following
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See Rule 408 and CFTC Regulation Part 150. Reporting

Reportable Levels

All trades reported to SDR in accordance with CFTC requirements.

Block Size

See Rule 409 and CFTC Regulation 15.03.

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

Position Limits
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Business Day

Conventions

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

Modified Following

Contract Description

Holiday Calendar(s) Toronto

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/365F

Contract Size

Floating Leg

A Forward Rate Agreement (FRA) is a one periodSingle-Period Interest Rate

Swap (IRS) where onereferencing Canadian Dollar Offered Rate (CDOR) is a

forward-starting Fixed-vs.-Floating Interest-Rate Swap, with a single floating-rate

period. One party buys (pays) a fixed interest rate and receives a floating

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

floating interest rateCDOR. A net payment is made on the Maturity Date.

 Payment Frequency: One Time

 Day Count Convention: Actual/365F

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) (e) Single Period Swaps: Canadian Dollar denominated (CAD) ForwardOffered 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+0)  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 DW SEF.

Fixing Date CDOR fixing date is fixed on the effective dateSPS’ Effective Date

Effective Date / Start

Date

CAD – CDOR (1 Month, 3 Months, 6 Months)
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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.
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Business Day

Conventions

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

Modified Following

Contract Description

Holiday Calendar(s) TargetLondon/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)referencing USD LIBOR is an agreement where one party buys (pays) a

fixed interest rate and receives a floating interest rateUSD LIBOR and one party

sells (receives) a fixed interest rate and pays a floating interest rateUSD LIBOR. Once the Floating Rate is determined on the Fixing Date, the Maturity-Date Net

Payment is calculated and discounted to the Settlement Date, using the Floating

Rate, the payment is made and the Contract terminates.

 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.

(f) (f) EURO denominated Forward Rate Agreements: US Dollar LIBOR

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 DW SEF.

Fixing Date

EURIBORLIBOR fixing date is two TargetLondon business days prior to the

effective date

Effective Date / Start

Date

EUROUSD – EURIBORLIBOR (1 Month, 3 Months, 6 Months)
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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.
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Contract Description

Holiday Calendar(s) LondonTarget

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/365F360

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/365F360

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.

(g) (g) Great Britain Pound Sterling (GBP) denominated Forward Rate Agreements: EURO

EURIBOR

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+0+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 DW SEF.

Fixing Date

DCO(s)

GBP LIBOREURIBOR fixing date is two Target business days prior to the

effective date

LCH and CME

Effective Date / Start

Date

GBPEURO - GBP LIBOREURIBOR (1 Month, 3 Months, 6 Months)

Business Day

Conventions

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

Modified Following
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See Rule 408 and CFTC Regulation Part 150. Reporting

Reportable Levels

All trades reported to SDR in accordance with CFTC requirements.

Block Size

See Rule 409 and CFTC Regulation 15.03.

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

Position Limits
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Modified Following

Floating Leg 1:

1-Month USD LIBOR

Effective Date / Start

Date

 Payment Frequency: Compounded and Paid Quarterly

 Day Count Convention: Actual/360

A 3-Month LIBOR vs. 1-Month LIBOR Basis Swap is an agreement between two

Parties A and B, whereby Party A pays Party B compounded 1-Month LIBOR plus

an agreed Spread, on an agreed Notional, every three months over the Tenor of

the Swap. In exchange, Party B pays Party A 3-Month LIBOR every three

months, on the agreed Notional, over the Tenor of the Swap.

As agreed by the parties.

Floating Leg 2:

3-Month USD LIBOR

 Payment Frequency: Quarterly

 Day Count Convention: Actual/360

(h) Basis Swaps: USD 3-Month LIBOR vs. 1-Month LIBOR

Periodic Settlement:

Payment and Resets

Stated Maturity Range

/ Maturity Date

 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.

Floating Leg 2

3 months to 51 years | The final date on which the obligations no longer accrue

and the final payment occurs.

Optionality No

USD 3-Month LIBOR

Dual Currencies

First Fixing Date

No

 The first LIBOR Fixing Date is 2 London business days prior to the

Effective Date.

Settlement Procedure As determined by the DCO.

Currency and Floating

Rate Index - Time

Period

Trading Hours

Trade Start Types

Trading hours of DW SEF.

Contract Size

 Spot Starting (T+2) and Forward Starting

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

As agreed by the parties.

Block Size

Notional

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

Floating Leg 1 (Spread

Adjusted)

Fixed Notional

Reportable Levels See Rule 409 and CFTC Regulation 15.03.

Contract Description

Position Limits

Holiday Calendar

See Rule 408 and CFTC Regulation Part 150.

Minimum Size

NY/London

USD 1-Month LIBOR

As agreed by the parties.

Business Day

Conventions
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Modified Following

Floating Leg 1:

3-Month USD LIBOR

Effective Date / Start

Date

 Payment Frequency: Compounded and Paid Semi-Annually

 Day Count Convention: Actual/360

A 6-Month LIBOR vs. 3-Month LIBOR basis swap is an agreement between two

Parties A and B, whereby Party A pays Party B compounded 3-Month LIBOR plus

an agreed Spread, on an agreed Notional, every six months over the Tenor of the

Swap. In exchange, Party B pays Party A 6-Month LIBOR every six months, on

the agreed Notional, over the Tenor of the Swap.

As agreed by the parties.

Floating Leg 2:

6-Month USD LIBOR

 Payment Frequency: Semi-Annually (TBD )  Day Count Convention: Actual/360

(i) Basis Swaps: USD 6-Month LIBOR vs. 3-Month LIBOR

Periodic Settlement:

Payment and Resets

Stated Maturity Range

/ Maturity Date

 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.

Floating Leg 2

6 months to 51 years | The final date on which the obligations no longer accrue

and the final payment occurs.

Optionality No

USD 6-Month USD LIBOR

Dual Currencies

First Fixing Date

No

 The first LIBOR Fixing Date is 2 London business days prior to the

Effective Date.

Settlement Procedure As determined by the DCO.

Currency and Floating

Rate Index - Time

Period

Trading Hours

Trade Start Types

Trading hours of DW SEF.

Contract Size

 Spot Starting (T+2) and Forward Starting

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

As agreed by the parties.

Block Size

Notional

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

Floating Leg 1 (spread

adjusted)

Fixed Notional

Reportable Levels See Rule 409 and CFTC Regulation 15.03.

Contract Description

Position Limits

Holiday Calendar

See Rule 408 and CFTC Regulation Part 150.

Minimum Size

NY/London

USD 3-Month USD LIBOR

As agreed by the parties.

Business Day

Conventions
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As agreed by the parties.

Business Day

Conventions

Modified Following

Floating Leg 1: FFe

Effective Date / Start

Date

 Payment Frequency: Compounded and Paid Quarterly

 Day Count Convention: Actual/360

A Federal Funds Effective Rate vs. 3-Month LIBOR basis swap is an agreement

between two Parties A and B, whereby Party A pays Party B compounded

Federal Funds Effective rate plus an agreed Spread, on an agreed Notional, every three months over the Tenor of the Swap. In exchange, Party B pays Party

A 3-Month LIBOR every three months, on the agreed Notional, over the Tenor of

the Swap.

As agreed by the parties.

Floating Leg 2:

3-Month USD LIBOR

 Payment Frequency: Quarterly (TBD )  Day Count Convention: Actual/360

(j) Basis Swaps: USD Federal Funds Effective Rate vs. 3-Month LIBOR Basis Swap

Periodic Settlement:

Payment and Resets

Stated Maturity Range

/ Maturity Date

 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.

Floating Leg 2

3 months to 51 years | The final date on which the obligations no longer accrue

and the final payment occurs.

Optionality No

USD 3-Month USD LIBOR

Dual Currencies

First Fixing Date

No

 The First Fed Funds fixing date is the Start Date of the Swap

 The first LIBOR Fixing Date is 2 London business days prior to the

Effective Date.

Settlement Procedure As determined by the DCO.

Currency and Floating

Rate Index - Time

Period

Trading Hours

Trade Start Types

Trading hours of DW SEF.

Contract Size

 Spot and Forward-Starting

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

As agreed by the parties.

Block Size

Notional

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

Floating Leg 1 (spread

adjusted)

Fixed Notional

Reportable Levels See Rule 409 and CFTC Regulation 15.03.

Contract Description

Holiday Calendar

Minimum Size

NY/London

USD Federal Funds Effective Rate
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As agreed by the parties.

Business Day

Conventions

Modified Following

Floating Leg 1: SOFR

Effective Date / Start

Date

 Payment Frequency: Compounded and Paid Quarterly

 Day Count Convention: Actual/360

A SOFR vs. 3-Month LIBOR basis swap is an agreement between two Parties A

and B, whereby Party A pays Party B compounded SOFR plus an agreed

Spread, on an agreed Notional, every three months over the Tenor of the Swap.

In exchange, Party B pays Party A 3-Month LIBOR every three months, on the

agreed Notional, over the Tenor of the Swap.

As agreed by the parties.

Floating Leg 2:

3-Month USD LIBOR

 Payment Frequency: Quarterly (TBD )  Day Count Convention: Actual/360

(k) Basis Swaps: USD SOFR vs. 3-Month LIBOR

Periodic Settlement:

Payment and Resets

Stated Maturity Range

/ Maturity Date

 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.

Floating Leg 2

3 months to 51 years | The final date on which the obligations no longer accrue

and the final payment occurs.

Optionality No

USD 3-Month USD LIBOR

Dual Currencies

First Fixing Date

No

 The First SOFR fixing date is the Start Date of the Swap

 The first LIBOR Fixing Date is 2 London business days prior to the

Effective Date.

Settlement Procedure As determined by the DCO.

Currency and Floating

Rate Index - Time

Period

Trading Hours

Trade Start Types

Trading hours of DW SEF.

Contract Size

 Spot and Forward-Starting

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

As agreed by the parties.

Block Size

Notional

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

Floating Leg 1 (spread

adjusted)

Fixed Notional

Reportable Levels See Rule 409 and CFTC Regulation 15.03.

Contract Description

Holiday Calendar

Minimum Size

NY/London

Secured Overnight Financing Rate (SOFR)
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Modified Following

Floating Leg 1: SOFR

Effective Date / Start

Date

 Payment Frequency: Compounded and Paid Quarterly

 Day Count Convention: Actual/360

A SOFR vs. Federal Funds Effective Rate Basis Swap is an agreement between

two Parties A and B, whereby Party A pays Party B compounded SOFR plus an

agreed Spread, on an agreed Notional, every three months over the Tenor of the

Swap. In exchange, Party B pays Party A compounded Fed Funds Effective

Rate, on the agreed Notional, every three months, over the Tenor of the Swap.

As agreed by the parties.

Floating Leg 2: FFe

 Payment Frequency: Compounded and Paid Quarterly

 Day Count Convention: Actual/360

(l) Basis Swaps: USD SOFR vs. USD Federal Funds Effective Rate Basis Swap

Periodic Settlement:

Payment and Resets

Stated Maturity Range

/ Maturity Date

 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.

Floating Leg 2

3 months to 51 years | The final date on which the obligations no longer accrue

and the final payment occurs.

Optionality No

USD Federal Funds Effective, per H-15

Dual Currencies

First Fixing Date

No

 The First SOFR fixing date is the Start Date of the Swap

 The first Federal Funds Fixing Date is the Start Date of the Swap

Settlement Procedure As determined by the DCO.

Currency and Floating

Rate Index - Time

Period

Trading Hours

Trade Start Types

Trading hours of DW SEF.

Contract Size

 Spot and Forward-Starting

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

As agreed by the parties.

Block Size

Notional

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

Floating Leg 1 (spread

adjusted)

Fixed Notional

Reportable Levels See Rule 409 and CFTC Regulation 15.03.

Contract Description

Position Limits

Holiday Calendar

See Rule 408 and CFTC Regulation Part 150.

Minimum Size

NY/London

USD Secured Overnight Financing Rate (SOFR)

As agreed by the parties.

Business Day

Conventions
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Modified Following

Floating Leg 1:

1-Month CAD CDOR

Effective Date / Start

Date

 Payment Frequency: Compounded and Paid Quarterly

 Day Count Convention: Actual/365

A 3-Month CDOR vs. 1-Month CDOR Basis Swap is an agreement between two

Parties A and B, whereby Party A pays Party B compounded 1-Month CDOR plus

an agreed Spread, on an agreed Notional, every three months over the Tenor of

the Swap. In exchange, Party B pays Party A 3-Month CDOR every three

months, on the agreed Notional, over the Tenor of the Swap.

As agreed by the parties.

Floating Leg 2:

3-Month CAD CDOR

 Payment Frequency: Quarterly

 Day Count Convention: Actual/365

(m) Basis Swaps: Canadian Dollar 3-Month CDOR vs. 1-Month CDOR Basis Swap

Periodic Settlement:

Payment and Resets

Stated Maturity Range

/ Maturity Date

 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.

Floating Leg 2

3 months to 51 years | The final date on which the obligations no longer accrue

and the final payment occurs.

Optionality No

CAD 3-Month CDOR

Dual Currencies

First Fixing Date

No

 The first CDOR Fixing is on Trade Date

Settlement Procedure As determined by the DCO.

Currency and Floating

Rate Index - Time

Period

Trading Hours

Trade Start Types

Trading hours of DW SEF.

Contract Size

 Spot Starting (T+0) and Forward Starting

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

As agreed by the parties.

Block Size

Notional

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

Floating Leg 1 (Spread

Adjusted)

Fixed Notional

Reportable Levels See Rule 409 and CFTC Regulation 15.03.

Contract Description

Position Limits

Holiday Calendar

See Rule 408 and CFTC Regulation Part 150.

Minimum Size

Toronto

CAD 1-Month CDOR

As agreed by the parties.

Business Day

Conventions
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