January 30, 2018 

Via CFTC Portal

Christopher J. Kirkpatrick 

Secretary of the Commission

Commodity Futures Trading Commission

Three Lafayette Centre

1155 21st Street, N.W. 

Washington, D.C. 20581 

RE: trueEX LLC Amendment of Product Terms and Conditions (trueEX LLC 

submission #2018-01S)

Dear Mr. Kirkpatrick: 

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

Commission Regulation 40.6(a), trueEX LLC (“trueEX” or the “Exchange”) hereby submits to the 

U.S. Commodity Futures Trading Commission (the “Commission”) certain amendments to terms 

and conditions of fixed vs. floating interest rate swaps offered for trading on trueEX. 

Summary of Amendments

trueEX Rule Nature of Amendment

Schedule 1001 – changing the maximum tenor for the 

following currencies:

• LCH MXN from 10.5 years to 21 years

CFTC Regulation 40.6(a)

Schedule 1001 (a) – changing the maximum tenor for the 

following currencies:

LCH MXN from 10.5 years to 20 years

CFTC Regulation 40.6(a)

Exhibit 1 contains redlined amendments to trueEX’s PTC Product Schedule (Schedule 1001; 

column R) and trueEX’s CLOB/RFQ Schedule (Schedule 1001(a); column R), which have been 

updated to reflect the new maximum tenor for the currency.

trueEX certifies that these amendments comply with the Act and the Commission’s regulations 

thereunder. trueEX’s analysis of the operation, purpose and effect of the proposed rule change and 

its compliance with the Act, core principles and Commission’s regulations thereunder is included 
in the chart above. There were no substantive opposing views expressed by the trueEX governing 

board or market participants to the rule amendments.

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

Site at http://www.trueex.com/rules-and-notices. These amendments will be effective on 

February 13, 2018. 

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

at fran@trueex.com. 

Sincerely,

Fran Kenck

Chief Compliance Officer
Currency Float Rate Index Product Type Spot 

Starting

Fixing Date 

Offset Roll Types

Holiday 

Business 

Centers - Float 

Fixing Dates

Holiday Business 

Centers - Effective 

and Payment Dates

Holiday Business 

Centers - Expiration 

Date

Max Tenor 

(yrs)

Valid Fixed 

Payment 

Frequencies

Valid Float 

Designated 

Maturities

Valid Float 

Payment 

Frequencies

Valid Float 

Reset 

Frequencies

Valid Stub 

Index 

Frequencies

AUD AUD-BBR-BBSW IRS 1 0

Standard, 

IMM, EOM, 

None

AUSY AUSY n/a 30 1M, 3M, 6M, 

12M 3M, 6M, 12M 3M, 6M, 12M 3M, 6M 1M-6M

BRL BRL-CDI IRS 0 0 None BRBD BRBD, USNY n/a 10 1T 1D 1T 1D n/a

CAD CAD-BA-CDOR IRS 0 0 None CATO CATO n/a 30 1M, 3M, 6M, 

12M 3M, 6M, 12M 3M, 6M, 12M 3M 1M, 2M, 3M, 

6M, 12M

Schedule 1001 (c )

IRS Fixed for Floating Swaps eligible for Portfolio Terminations 

and Compressions ("PTC") on The SEF Trading System. Holiday Business Day Convention

CME

EXHIBIT 1 - PTC
Currency Float Rate Index Product Type Spot 

Starting

Fixing Date 

Offset Roll Types

Holiday 

Business 

Centers - Float 

Fixing Dates

Holiday Business 

Centers - Effective 

and Payment Dates

Holiday Business 

Centers - Expiration 

Date

Max Tenor 

(yrs)

Valid Fixed 

Payment 

Frequencies

Valid Float 

Designated 

Maturities

Valid Float 

Payment 

Frequencies

Valid Float 

Reset 

Frequencies

Valid Stub 

Index 

Frequencies

Schedule 1001 (c ) 

IRS Fixed for Floating Swaps eligible for Portfolio Terminations 

and Compressions ("PTC") on The SEF Trading System. Holiday Business Day Convention

CME

CHF CHF-LIBOR-BBA IRS 2 -2

Standard, 

IMM, EOM, 

None

GBLO CHZU, GBLO n/a 30 1M, 3M, 6M, 

12M 6M, 12M 6M, 12M 6M 1W, 1M, 2M, 3M, 6M, 12M

CLP CLP-TNA IRS 2 0

Standard, 

IMM, EOM, 

None

USNY, CLSA USNY, CLSA n/a n/a n/a 1D n/a n/a n/a

CNY

CNYCNREPOFIX=CFX

S-Reuters

IRS 1 -1

Standard, 

IMM, EOM, 

None

CNBE CNBE, USNY n/a n/a n/a n/a n/a n/a n/a
Currency Float Rate Index Product Type Spot 

Starting

Fixing Date 

Offset Roll Types

Holiday 

Business 

Centers - Float 

Fixing Dates

Holiday Business 

Centers - Effective 

and Payment Dates

Holiday Business 

Centers - Expiration 

Date

Max Tenor 

(yrs)

Valid Fixed 

Payment 

Frequencies

Valid Float 

Designated 

Maturities

Valid Float 

Payment 

Frequencies

Valid Float 

Reset 

Frequencies

Valid Stub 

Index 

Frequencies

Schedule 1001 (c )

IRS Fixed for Floating Swaps eligible for Portfolio Terminations 

and Compressions ("PTC") on The SEF Trading System. Holiday Business Day Convention

CME

CZK CZK-PRIBORPRBO IRS 2 -2

Standard, 

IMM, EOM, 

None

CZPR CZPR n/a 10 1M, 3M, 

6M,12M 6M 6M,12M 6M

1W, 2W, 1M, 

2M, 3M, 6M, 

9M, 12M

DKK

DKK-CIBORDKNA13, DKKCIBOR2-DKNA13

IRS 2 0 (-2 for 

CIBOR2)

Standard, 

IMM, EOM, 

None

DKCO DKCO n/a 30 1M, 3M, 6M, 

12M 6M 6M, 12M 6M 1W, 2W, 1M12M

EUR

EUR-EURIBORReuters, EUREURIBORTelerate, EURLIBOR (Libor LCH 

only) 

IRS 2 -2

Standard, 

IMM, EOM, 

None

EUTA EUTA n/a 50 1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M

1M, 3M, 6M, 

12M, 1T 1M, 3M, 6M

1W, 2W, 1M, 

2M, 3M, 6M, 

9M, 12M
Currency Float Rate Index Product Type Spot 

Starting

Fixing Date 

Offset Roll Types

Holiday 

Business 

Centers - Float 

Fixing Dates

Holiday Business 

Centers - Effective 

and Payment Dates

Holiday Business 

Centers - Expiration 

Date

Max Tenor 

(yrs)

Valid Fixed 

Payment 

Frequencies

Valid Float 

Designated 

Maturities

Valid Float 

Payment 

Frequencies

Valid Float 

Reset 

Frequencies

Valid Stub 

Index 

Frequencies

Schedule 1001 (c ) 

IRS Fixed for Floating Swaps eligible for Portfolio Terminations 

and Compressions ("PTC") on The SEF Trading System. Holiday Business Day Convention

CME

EUR EUR-EURIBORReuters

IRS 

SWAPTION n/a -2

Standard, 

IMM, EOM, 

None

EUTA EUTA EUTA n/a n/a n/a n/a n/a n/a

GBP GBP-LIBOR-BBA IRS 0 0

Standard, 

IMM, EOM, 

None

GBLO GBLO n/a 50 1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M

1M, 3M, 6M, 

12M, 1T 1M, 3M, 6M 1W, 1M, 2M, 

3M, 6M, 12M

GBP GBP-LIBOR-BBA IRS 

SWAPTION n/a -2

Standard, 

IMM, EOM, 

None

GBLO GBLO GBLO n/a n/a n/a n/a n/a n/a
Currency Float Rate Index Product Type Spot 

Starting

Fixing Date 

Offset Roll Types

Holiday 

Business 

Centers - Float 

Fixing Dates

Holiday Business 

Centers - Effective 

and Payment Dates

Holiday Business 

Centers - Expiration 

Date

Max Tenor 

(yrs)

Valid Fixed 

Payment 

Frequencies

Valid Float 

Designated 

Maturities

Valid Float 

Payment 

Frequencies

Valid Float 

Reset 

Frequencies

Valid Stub 

Index 

Frequencies

Schedule 1001 (c ) 

IRS Fixed for Floating Swaps eligible for Portfolio Terminations 

and Compressions ("PTC") on The SEF Trading System. Holiday Business Day Convention

CME

HKD HKD-HIBORHKAB IRS 0 0

Standard, 

IMM, EOM, 

None

HKHK HKHK n/a 15 1M, 3M, 

6M,12M 3M 3M, 6M, 12M 3M 1W, 2W, 1M12M

HUF HUF-BUBORREUTERS IRS 2 -2

Standard, 

IMM, EOM, 

None

HUBU HUBU n/a 10 1M, 3M, 

6M,12M 6M 6M,12M 6M 1W, 2W, 1-12M

ILS ILS-TELBOR01-

Reuters IRS 2 -2

Standard, 

IMM, EOM, 

None

ILTA ILTA n/a n/a n/a n/a n/a n/a n/a
Currency Float Rate Index Product Type Spot 

Starting

Fixing Date 

Offset Roll Types

Holiday 

Business 

Centers - Float 

Fixing Dates

Holiday Business 

Centers - Effective 

and Payment Dates

Holiday Business 

Centers - Expiration 

Date

Max Tenor 

(yrs)

Valid Fixed 

Payment 

Frequencies

Valid Float 

Designated 

Maturities

Valid Float 

Payment 

Frequencies

Valid Float 

Reset 

Frequencies

Valid Stub 

Index 

Frequencies

Schedule 1001 (c )

IRS Fixed for Floating Swaps eligible for Portfolio Terminations 

and Compressions ("PTC") on The SEF Trading System. Holiday Business Day Convention

CME

INR INR-MIFOR IRS 2 -2

Standard, 

IMM, EOM, 

None

INMU INMU, USNY n/a n/a n/a n/a n/a n/a n/a

JPY JPY-LIBOR-BBA IRS 2 -2

Standard, 

IMM, EOM, 

None

GBLO JPTO, GBLO n/a 30 1M, 3M, 6M, 

12M

1M, 3M, 6M, 

12M

1M, 3M, 6M, 

12M 1M, 3M, 6M 1W, 1M, 2M, 

3M, 6M, 12M

KRW KRW-CD-KSDABloomberg IRS 1 -1

Standard, 

IMM, EOM, 

None

KRSE KRSE, USNY n/a n/a n/a n/a n/a n/a n/a
Currency Float Rate Index Product Type Spot 

Starting

Fixing Date 

Offset Roll Types

Holiday 

Business 

Centers - Float 

Fixing Dates

Holiday Business 

Centers - Effective 

and Payment Dates

Holiday Business 

Centers - Expiration 

Date

Max Tenor 

(yrs)

Valid Fixed 

Payment 

Frequencies

Valid Float 

Designated 

Maturities

Valid Float 

Payment 

Frequencies

Valid Float 

Reset 

Frequencies

Valid Stub 

Index 

Frequencies

Schedule 1001 (c )

IRS Fixed for Floating Swaps eligible for Portfolio Terminations 

and Compressions ("PTC") on The SEF Trading System. Holiday Business Day Convention

CME

MXN MXN-TIIE-Banxico IRS 2 -2 None MXMC MXMC n/a 21 28D 28D 28D 28D 28D

MYR MYR-KLIBORBNM IRS 0 0

Standard, 

IMM, EOM, 

None

MYKL MYKL, USNY n/a n/a n/a n/a n/a n/a n/a

NOK

NOK-NIBOR-NIBR

NOK-NIBOROIBORIRS 2 -2

Standard, 

IMM, EOM, 

None

NOOS NOOS n/a 30 1M, 3M, 6M, 

12M 6M 6M, 12M 6M 1W, 2W, 1M6M, 9m, 12M
Currency Float Rate Index Product Type Spot 

Starting

Fixing Date 

Offset Roll Types

Holiday 

Business 

Centers - Float 

Fixing Dates

Holiday Business 

Centers - Effective 

and Payment Dates

Holiday Business 

Centers - Expiration 

Date

Max Tenor 

(yrs)

Valid Fixed 

Payment 

Frequencies

Valid Float 

Designated 

Maturities

Valid Float 

Payment 

Frequencies

Valid Float 

Reset 

Frequencies

Valid Stub 

Index 

Frequencies

Schedule 1001 (c ) 

IRS Fixed for Floating Swaps eligible for Portfolio Terminations 

and Compressions ("PTC") on The SEF Trading System. Holiday Business Day Convention

CME

NZD NZD-BBR-FRA IRS 2 0

Standard, 

IMM, EOM, 

None

NZWE NZWE, NZAU n/a 15 1M, 3M, 

6M,12M 3M 3M, 6M, 12M 3M 1M-6M

PLN PLN-WIBORWIBO IRS 2 -2

Standard, 

IMM, EOM, 

None

PLWA PLWA n/a 10 1M, 3M, 

6M,12M 6M 6M,12M 6M

1W, 2W, 1M, 

3M, 6M, 9M, 

12M

SEK SEK-STIBORSIDE IRS 2 -2

Standard, 

IMM, EOM, 

None

SEST SEST n/a 30 1M, 3M, 6M, 

12M 3M 3M, 6M, 12M 3M 1W, 1M, 2M, 

3M, 6M
Currency Float Rate Index Product Type Spot 

Starting

Fixing Date 

Offset Roll Types

Holiday 

Business 

Centers - Float 

Fixing Dates

Holiday Business 

Centers - Effective 

and Payment Dates

Holiday Business 

Centers - Expiration 

Date

Max Tenor 

(yrs)

Valid Fixed 

Payment 

Frequencies

Valid Float 

Designated 

Maturities

Valid Float 

Payment 

Frequencies

Valid Float 

Reset 

Frequencies

Valid Stub 

Index 

Frequencies

Schedule 1001 (c )

IRS Fixed for Floating Swaps eligible for Portfolio Terminations 

and Compressions ("PTC") on The SEF Trading System. Holiday Business Day Convention

CME

SGD SGD-SORREUTERS IRS 2 -2

Standard, 

IMM, EOM, 

None

SGSI SGSI n/a 15 1M, 3M, 

6M,12M 6M 6M, 12M 6M

1W, 1M, 2M, 

3M, 6M, 9M, 

12M

THB THB-THBFIXReuters IRS 2 -2

Standard, 

IMM, EOM, 

None

THBA THBA, USNY n/a n/a n/a n/a n/a n/a n/a

TWD TWD-TAIBORReuters IRS 2 -2

Standard, 

IMM, EOM, 

None

TWTA TWTA, USNY n/a n/a n/a n/a n/a n/a n/a
Currency Float Rate Index Product Type Spot 

Starting

Fixing Date 

Offset Roll Types

Holiday 

Business 

Centers - Float 

Fixing Dates

Holiday Business 

Centers - Effective 

and Payment Dates

Holiday Business 

Centers - Expiration 

Date

Max Tenor 

(yrs)

Valid Fixed 

Payment 

Frequencies

Valid Float 

Designated 

Maturities

Valid Float 

Payment 

Frequencies

Valid Float 

Reset 

Frequencies

Valid Stub 

Index 

Frequencies

Schedule 1001 (c )

IRS Fixed for Floating Swaps eligible for Portfolio Terminations 

and Compressions ("PTC") on The SEF Trading System. Holiday Business Day Convention

CME

USD USD-LIBOR-BBA IRS 2 -2

Standard, 

IMM, EOM, 

None

GBLO USNY, GBLO n/a 50 1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M

1M, 3M, 6M, 

12M, 1T 1M, 3M, 6M 1W, 1M, 2M, 

3M, 6M, 12M

USD USD-LIBOR-BBA IRS 

SWAPTION n/a -2

Standard, 

IMM, EOM, 

None

GBLO USNY, GBLO USNY, GBLO n/a n/a n/a n/a n/a n/a

ZAR ZAR-JIBARSAFEX IRS 0 0

Standard, 

IMM, EOM, 

None

ZAJO ZAJO n/a 10 1M, 3M, 

6M,12M 3M 3M, 6M,12M 3M 1M, 3M, 6M, 

9M, 12M
Float Leg Day 

Count

Fixed Leg Day 

Count

Max Tenor 

(yrs)

Valid Fixed 

Payment 

Frequencies

Valid Float 

Designated 

Maturities

Valid Float 

Payment 

Frequencies

Valid Float 

Reset 

Frequencies

Valid Stub 

Index 

Frequencies

Float Leg Day 

Count

Fixed Leg Day 

Count

Max Tenor 

(yrs)

Valid Fixed 

Payment 

Frequencies

Valid Float 

Designated 

Maturities

Valid Float 

Payment 

Frequencies

Valid Float 

Reset 

Frequencies

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

30 1M, 3M, 6M, 

12M, 1T 1M, 3M, 6M 1M, 3M, 6M, 

12M, 1T 1M, 3M, 6M 1M, 2M, 3M, 4M, 5M, 6M ACT/365.FIXED

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

30 1M, 3M, 6M, 

12M

1M, 3M, 6M, 

12M

1M, 3M, 6M, 

12M

1M, 3M, 6M, 

12M

BUS/252 BUS/252 n/a n/a n/a n/a n/a n/a n/a n/a 10 1T 1D 1T 1D

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

30 1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M

1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M

1M, 2M, 3M, 

6M, 12M ACT/365.FIXED

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

30 1M, 3M, 6M, 

12M 1T

1M, 3M, 6M, 

12M

1M, 3M, 6M, 

12M 1T

1M, 3M, 6M, 

12M 1T

LCH
Float Leg Day 

Count

Fixed Leg Day 

Count

Max Tenor 

(yrs)

Valid Fixed 

Payment 

Frequencies

Valid Float 

Designated 

Maturities

Valid Float 

Payment 

Frequencies

Valid Float 

Reset 

Frequencies

Valid Stub 

Index 

Frequencies

Float Leg Day 

Count

Fixed Leg Day 

Count

Max Tenor 

(yrs)

Valid Fixed 

Payment 

Frequencies

Valid Float 

Designated 

Maturities

Valid Float 

Payment 

Frequencies

Valid Float 

Reset 

Frequencies

LCH

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

30 1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M

1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M

1W, 1M, 2M, 

3M, 6M, 12M ACT/360

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

31 1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M

1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M, 1T

n/a n/a n/a n/a n/a n/a n/a n/a n/a n/a 50 1M, 3M, 6M, 

12M, 1T 1D 1M, 3M, 6M, 12M, 1T

1M, 3M, 6M, 

12M, 1T

n/a n/a n/a n/a n/a n/a n/a n/a n/a n/a 50 1M, 3M, 6M, 

12M, 1T 1W 1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M, 1T
Float Leg Day 

Count

Fixed Leg Day 

Count

Max Tenor 

(yrs)

Valid Fixed 

Payment 

Frequencies

Valid Float 

Designated 

Maturities

Valid Float 

Payment 

Frequencies

Valid Float 

Reset 

Frequencies

Valid Stub 

Index 

Frequencies

Float Leg Day 

Count

Fixed Leg Day 

Count

Max Tenor 

(yrs)

Valid Fixed 

Payment 

Frequencies

Valid Float 

Designated 

Maturities

Valid Float 

Payment 

Frequencies

Valid Float 

Reset 

Frequencies

LCH

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

ACT/ACT.ICMA

30E/360

30E/360.ISDA

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

ACT/ACT.ICMA

30E/360

30E/360.ISDA

10 1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M

1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M

1W, 2W, 1M, 

2M, 3M, 6M, 

9M, 12M

ACT/360

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

50 1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M

1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M, 1T

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

31 1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M

1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M

1W, 1M, 2M, 

3M, 4M, 5M, 

6M, 9M, 12M

ACT/360

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

30 1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M

1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M, 1T

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

50 1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M

1M, 3M, 6M, 

12M 1T

1M, 3M, 6M, 

12M

EURIBOR:

1W, 2W, 1M, 

2M, 3M, 6M, 

9M, 12M

LIBOR: 1W, 

1M, 2M, 3M, 

6M, 12M

ACT/360

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

50 1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M

1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M, 1T
Float Leg Day 

Count

Fixed Leg Day 

Count

Max Tenor 

(yrs)

Valid Fixed 

Payment 

Frequencies

Valid Float 

Designated 

Maturities

Valid Float 

Payment 

Frequencies

Valid Float 

Reset 

Frequencies

Valid Stub 

Index 

Frequencies

Float Leg Day 

Count

Fixed Leg Day 

Count

Max Tenor 

(yrs)

Valid Fixed 

Payment 

Frequencies

Valid Float 

Designated 

Maturities

Valid Float 

Payment 

Frequencies

Valid Float 

Reset 

Frequencies

LCH

n/a n/a n/a n/a n/a n/a n/a n/a n/a n/a 30 1M, 3M, 6M, 

12M

1M, 3M, 6M, 

12M

1M, 3M, 6M, 

12M

1M, 3M, 6M, 

12M

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

50 1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M

1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M

1W, 1M, 2M, 

3M, 6M, 12M ACT/365.FIXED

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

50 1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M

1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M, 1T

n/a n/a n/a n/a n/a n/a n/a n/a n/a n/a 30 1M, 3M, 6M, 

12M

1M, 3M, 6M, 

12M

1M, 3M, 6M, 

12M

1M, 3M, 6M, 

12M
Float Leg Day 

Count

Fixed Leg Day 

Count

Max Tenor 

(yrs)

Valid Fixed 

Payment 

Frequencies

Valid Float 

Designated 

Maturities

Valid Float 

Payment 

Frequencies

Valid Float 

Reset 

Frequencies

Valid Stub 

Index 

Frequencies

Float Leg Day 

Count

Fixed Leg Day 

Count

Max Tenor 

(yrs)

Valid Fixed 

Payment 

Frequencies

Valid Float 

Designated 

Maturities

Valid Float 

Payment 

Frequencies

Valid Float 

Reset 

Frequencies

LCH

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

10 1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M

1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M 1M-12M ACT/365.FIXED

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

15 1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M

1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M, 1T

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

10 1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M

1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M

1W, 2W, 1M12M ACT/360

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

50 1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M

1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M, 1T

n/a n/a n/a n/a n/a n/a n/a n/a n/a n/a 50 1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M

1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M, 1T
Float Leg Day 

Count

Fixed Leg Day 

Count

Max Tenor 

(yrs)

Valid Fixed 

Payment 

Frequencies

Valid Float 

Designated 

Maturities

Valid Float 

Payment 

Frequencies

Valid Float 

Reset 

Frequencies

Valid Stub 

Index 

Frequencies

Float Leg Day 

Count

Fixed Leg Day 

Count

Max Tenor 

(yrs)

Valid Fixed 

Payment 

Frequencies

Valid Float 

Designated 

Maturities

Valid Float 

Payment 

Frequencies

Valid Float 

Reset 

Frequencies

LCH

n/a n/a n/a n/a n/a n/a n/a n/a n/a n/a 50 1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M

1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M, 1T

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

40* 1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M

1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M

1W, 1M, 2M, 

3M, 6M, 12M ACT/360

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

30 1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M

1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M, 1T

n/a n/a n/a n/a n/a n/a n/a n/a n/a n/a 21 3M 3M 3M 3M
Float Leg Day 

Count

Fixed Leg Day 

Count

Max Tenor 

(yrs)

Valid Fixed 

Payment 

Frequencies

Valid Float 

Designated 

Maturities

Valid Float 

Payment 

Frequencies

Valid Float 

Reset 

Frequencies

Valid Stub 

Index 

Frequencies

Float Leg Day 

Count

Fixed Leg Day 

Count

Max Tenor 

(yrs)

Valid Fixed 

Payment 

Frequencies

Valid Float 

Designated 

Maturities

Valid Float 

Payment 

Frequencies

Valid Float 

Reset 

Frequencies

LCH

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

ACT/ACT.ICMA

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

ACT/ACT.ICMA

10.5 21 28D 28D 28D 28D 28D ACT/360

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA

21 28D 28D 28D 28D

n/a n/a n/a n/a n/a n/a n/a n/a n/a n/a 50 1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M

1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M, 1T

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

15.5 1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M

1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M

1W, 2W, 1M, 

2M, 3M, 4M, 

5M, 6M, 9M, 

12M

ACT/360

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

50 1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M

1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

1T
Float Leg Day 

Count

Fixed Leg Day 

Count

Max Tenor 

(yrs)

Valid Fixed 

Payment 

Frequencies

Valid Float 

Designated 

Maturities

Valid Float 

Payment 

Frequencies

Valid Float 

Reset 

Frequencies

Valid Stub 

Index 

Frequencies

Float Leg Day 

Count

Fixed Leg Day 

Count

Max Tenor 

(yrs)

Valid Fixed 

Payment 

Frequencies

Valid Float 

Designated 

Maturities

Valid Float 

Payment 

Frequencies

Valid Float 

Reset 

Frequencies

LCH

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

15 1M, 3M, 6M, 

12M, 1T 1M, 3M, 6M 1M, 3M, 6M, 

12M, 1T 1M, 3M, 6M 1M, 2M, 3M, 4M, 5M, 6M ACT/365.FIXED

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

15.5 1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M

1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M, 1T

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

15.5 1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M

1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M

1W, 2W, 1M, 

3M, 6M, 9M, 

12M

ACT/365.FIXED

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

50 1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M

1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M, 1T

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

30 1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M

1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M

1W, 1M, 2M, 

3M, 6M, 9M, 

12M

ACT/360

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

50 1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M

1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M, 1T
Float Leg Day 

Count

Fixed Leg Day 

Count

Max Tenor 

(yrs)

Valid Fixed 

Payment 

Frequencies

Valid Float 

Designated 

Maturities

Valid Float 

Payment 

Frequencies

Valid Float 

Reset 

Frequencies

Valid Stub 

Index 

Frequencies

Float Leg Day 

Count

Fixed Leg Day 

Count

Max Tenor 

(yrs)

Valid Fixed 

Payment 

Frequencies

Valid Float 

Designated 

Maturities

Valid Float 

Payment 

Frequencies

Valid Float 

Reset 

Frequencies

LCH

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

10 1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M

1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M

1W, 1M, 2M, 

3M, 6M, 9M, 

12M

ACT/365.FIXED

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

15 1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M

1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M, 1T

n/a n/a n/a n/a n/a n/a n/a n/a n/a n/a 50 1M, 3M, 6M, 

12M, 1T 1M, 3M, 6M 1M, 3M, 6M, 12M, 1T

1M, 3M, 6M, 

1T

n/a n/a n/a n/a n/a n/a n/a n/a n/a n/a 50 1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M

1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M, 1T
Float Leg Day 

Count

Fixed Leg Day 

Count

Max Tenor 

(yrs)

Valid Fixed 

Payment 

Frequencies

Valid Float 

Designated 

Maturities

Valid Float 

Payment 

Frequencies

Valid Float 

Reset 

Frequencies

Valid Stub 

Index 

Frequencies

Float Leg Day 

Count

Fixed Leg Day 

Count

Max Tenor 

(yrs)

Valid Fixed 

Payment 

Frequencies

Valid Float 

Designated 

Maturities

Valid Float 

Payment 

Frequencies

Valid Float 

Reset 

Frequencies

LCH

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

50 1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M

1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M

1W, 1M, 2M, 

3M, 6M, 12M ACT/360

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

50 1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M

1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M, 1T

n/a n/a n/a n/a n/a n/a n/a n/a n/a n/a 30 1M, 3M, 6M, 

12M

1M, 3M, 6M, 

12M

1M, 3M, 6M, 

12M

1M, 3M, 6M, 

12M

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

30/360

ACT/360

ACT/365.FIXED

ACT/ACT.ISDA

30E/360

30E/360.ISDA

10 1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M

1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M

1M, 3M, 6M, 

9M, 12M ACT/365.FIXED

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

50 1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M

1M, 3M, 6M, 

12M, 1T

1M, 3M, 6M, 

12M, 1T
Valid Stub 

Index 

Frequencies

Float Leg Day 

Count

Fixed Leg Day 

Count

Expiration Date 

Offset

Max Expiration 

(yrs) Exercise Type Settlement Type

1D, 1M, 2M, 

3M, 4M, 5M, 

6M

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA

n/a n/a n/a n/a

n/a BUS/252 BUS/252 n/a n/a n/a n/a

1M, 2M, 3M, 

6M, 12M

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA

n/a n/a n/a n/a

UNCLEARED
Valid Stub 

Index 

Frequencies

Float Leg Day 

Count

Fixed Leg Day 

Count

Expiration Date 

Offset

Max Expiration 

(yrs) Exercise Type Settlement Type

UNCLEARED

1W, 1M, 2M, 

3M, 6M, 12M

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

n/a n/a n/a n/a

1M, 2M, 3M, 

6M, 12M

30/360

30E/360

30E/360.ISDA

ACT/360

ACT/365.Fixed

ACT/ACT.ISDA

ACT/ACT.ICMA

30/360

30E/360

30E/360.ISDA

ACT/360

ACT/365.Fixed

ACT/ACT.ISDA

ACT/ACT.ICMA

n/a n/a n/a n/a

1M, 2M, 3M, 

6M, 12M

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

n/a n/a n/a n/a
Valid Stub 

Index 

Frequencies

Float Leg Day 

Count

Fixed Leg Day 

Count

Expiration Date 

Offset

Max Expiration 

(yrs) Exercise Type Settlement Type

UNCLEARED

1W, 2W, 1M, 

2M, 3M, 6M, 

9M, 12M

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

n/a n/a n/a n/a

1W, 1M, 2M, 

3M, 4M, 5M, 

6M, 9M, 12M

30/360

30E/360

30E/360.ISDA

ACT/360

ACT/365.Fixed

ACT/ACT.ISDA

ACT/ACT.ICMA

30/360

30E/360

30E/360.ISDA

ACT/360

ACT/365.Fixed

ACT/ACT.ISDA

ACT/ACT.ICMA

n/a n/a n/a n/a

1W, 2W, 1M, 

2M, 3M, 6M, 

9M, 12M

30/360

30E/360

30E/360.ISDA

ACT/360

ACT/365.Fixed

ACT/ACT.ISDA

ACT/ACT.ICMA

30/360

30E/360

30E/360.ISDA

ACT/360

ACT/365.Fixed

ACT/ACT.ISDA

ACT/ACT.ICMA

n/a n/a n/a n/a
Valid Stub 

Index 

Frequencies

Float Leg Day 

Count

Fixed Leg Day 

Count

Expiration Date 

Offset

Max Expiration 

(yrs) Exercise Type Settlement Type

UNCLEARED

1W, 2W, 1M, 

2M, 3M, 6M, 

9M, 12M

ACT/360

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA

-2 2 European Physical

1W, 1M, 2M, 

3M, 6M, 12M

30/360

30E/360

30E/360.ISDA

ACT/360

ACT/365.Fixed

ACT/ACT.ISDA

ACT/ACT.ICMA

30/360

30E/360

30E/360.ISDA

ACT/360

ACT/365.Fixed

ACT/ACT.ISDA

ACT/ACT.ICMA

n/a n/a n/a n/a

1W, 1M, 2M, 

3M, 6M, 12M ACT/360

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA

0 2 European Physical
Valid Stub 

Index 

Frequencies

Float Leg Day 

Count

Fixed Leg Day 

Count

Expiration Date 

Offset

Max Expiration 

(yrs) Exercise Type Settlement Type

UNCLEARED

1W, 2W, 1M, 

2M, 3M, 4M, 

5M, 6M, 7M, 

8M, 9M, 10M, 

11M, 12M

30/360

30E/360

30E/360.ISDA

ACT/360

ACT/365.Fixed

ACT/ACT.ISDA

ACT/ACT.ICMA

30/360

30E/360

30E/360.ISDA

ACT/360

ACT/365.Fixed

ACT/ACT.ISDA

ACT/ACT.ICMA

n/a n/a n/a n/a

1W, 2W, 1M, 

2M, 3M, 6M, 

9M, 12M

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

n/a n/a n/a n/a

1M, 3M, 6M, 

9M, 12M

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

n/a n/a n/a n/a
Valid Stub 

Index 

Frequencies

Float Leg Day 

Count

Fixed Leg Day 

Count

Expiration Date 

Offset

Max Expiration 

(yrs) Exercise Type Settlement Type

UNCLEARED

1M, 2M, 3M, 

6M, 12M

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

n/a n/a n/a n/a

1W, 1M, 2M, 

3M, 6M, 12M

30/360

30E/360

30E/360.ISDA

ACT/360

ACT/365.Fixed

ACT/ACT.ISDA

ACT/ACT.ICMA

30/360

30E/360

30E/360.ISDA

ACT/360

ACT/365.Fixed

ACT/ACT.ISDA

ACT/ACT.ICMA

n/a n/a n/a n/a

3M

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA

n/a n/a n/a n/a
Valid Stub 

Index 

Frequencies

Float Leg Day 

Count

Fixed Leg Day 

Count

Expiration Date 

Offset

Max Expiration 

(yrs) Exercise Type Settlement Type

UNCLEARED

28D

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA

n/a n/a n/a n/a

1M, 2M, 3M, 

6M, 9M, 12M

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

n/a n/a n/a n/a

1W, 1M, 2M, 

3M, 6M

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

n/a n/a n/a n/a
Valid Stub 

Index 

Frequencies

Float Leg Day 

Count

Fixed Leg Day 

Count

Expiration Date 

Offset

Max Expiration 

(yrs) Exercise Type Settlement Type

UNCLEARED

1D, 1M, 2M, 

3M, 4M, 5M, 

6M

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA

n/a n/a n/a n/a

1W, 2W, 1M, 

3M, 6M, 9M, 

12M

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

n/a n/a n/a n/a

1W, 1M, 2M, 

3M, 6M, 9M, 

12M

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

n/a n/a n/a n/a
Valid Stub 

Index 

Frequencies

Float Leg Day 

Count

Fixed Leg Day 

Count

Expiration Date 

Offset

Max Expiration 

(yrs) Exercise Type Settlement Type

UNCLEARED

1W, 1M, 2M, 

3M, 6M, 9M, 

12M

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA

n/a n/a n/a n/a

1M, 3M, 6M, 

12M

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

n/a n/a n/a n/a

1M, 3M, 6M, 

12M

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

n/a n/a n/a n/a
Valid Stub 

Index 

Frequencies

Float Leg Day 

Count

Fixed Leg Day 

Count

Expiration Date 

Offset

Max Expiration 

(yrs) Exercise Type Settlement Type

UNCLEARED

1W, 1M, 2M, 

3M, 6M, 12M

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA

n/a n/a n/a n/a

1W, 1M, 2M, 

3M, 6M, 12M ACT/360

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA

-2 2 European Physical

1M, 3M, 6M, 

12M

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

30/360

30E/360

ACT/360

ACT/365.Fixed

ACT/365.ISDA

ACT/ACT.ISMA

ACT/ACT.ISDA

30E/360.ISDA 

ACT/ACT.ICMA 

n/a n/a n/a n/a
Currency Float Rate Index Product Type Spot 

Starting

Fixing Date 

Offset Roll Types

Holiday Business 

Centers - Float 

Fixing Dates

Holiday Business 

Centers - Effective 

and Payment Dates

Max Tenor 

(yrs) Forward Periods

Valid Fixed 

Payment 

Frequencies

Valid Float 

Designated 

Maturities

Valid Float 

Payment 

Frequencies

Valid Float 

Reset 

Frequencies

2 -2 Standard, 

EOM GBLO USNY, GBLO 50 N/A 6M 3M 3M 3M

N/A -2 Standard, 

EOM GBLO USNY, GBLO 50

All forward periods up to the 

max tenor that land on a 

good business day

6M 3M 3M 3M

N/A -2 IMM GBLO USNY, GBLO 50 N/A 3M, 12M 3M 3M 3M

N/A -2 IMM GBLO USNY, GBLO 50 N/A 6M 3M 3M 3M

2 -2 Standard EUTA EUTA 50 N/A 12M 3M, 6M 3M, 6M 3M, 6M

N/A -2 Standard EUTA EUTA 50 1M, 3M, 6M, 12M, 2-5Y, 7Y, 

10Y, 15Y, 20Y 12M 3M, 6M 3M, 6M 3M, 6M

N/A -2 IMM EUTA EUTA 30 N/A 12M 6M 6M 6M

0 0 Standard GBLO GBLO 50 N/A 6M 6M 6M 6M

N/A 0 Standard GBLO GBLO 50 1M, 3M, 6M, 12M, 2-5Y, 7Y, 

10Y, 15Y, 20Y 6M 6M 6M 6M

N/A 0 IMM GBLO GBLO 30 N/A 6M 6M 6M 6M

Holiday Business Day 

Convention

CME

USD USD-LIBOR-BBA IRS

EUR EUR-EURIBORReuters IRS

GBP GBP-LIBOR-BBA IRS

EXHIBIT 1 - RFQ
Currency Float Rate Index Product Type Spot 

Starting

Fixing Date 

Offset Roll Types

Holiday Business 

Centers - Float 

Fixing Dates

Holiday Business 

Centers - Effective 

and Payment Dates

Max Tenor 

(yrs) Forward Periods

Valid Fixed 

Payment 

Frequencies

Valid Float 

Designated 

Maturities

Valid Float 

Payment 

Frequencies

Valid Float 

Reset 

Frequencies

Holiday Business Day 

Convention

CME

1 -1 None MXMC MXMC 20 N/A 28D 28D 28D 28D
Valid Stub 

Index 

Frequencies

Float Leg Day 

Count

Fixed Leg Day 

Count

Max Tenor 

(yrs) Forward Periods

Valid Fixed 

Payment 

Frequencies

Valid Float 

Designated 

Maturities

Valid Float 

Payment 

Frequencies

Valid Float 

Reset 

Frequencies

Valid Stub 

Index 

Frequencies

Float Leg Day 

Count

Fixed Leg Day 

Count

1W, 1M, 2M, 

3M, 6M, 12M ACT/360 30/360 50 N/A 6M 3M 3M 3M 1W, 1M, 2M, 3M, 6M, 12M ACT/360 30/360

1W, 1M, 2M, 

3M, 6M, 12M ACT/360 30/360 50

All forward periods up to the 

max tenor that land on a good 

business day

6M 3M 3M 3M 1W, 1M, 2M, 

3M, 6M, 12M ACT/360 30/360

N/A ACT/360 ACT/360 50 N/A 3M, 12M 3M 3M 3M N/A ACT/360 ACT/360

N/A ACT/360 30/360 50 N/A 6M 3M 3M 3M N/A ACT/360 30/360

N/A ACT/360 30/360 50 N/A 12M 3M, 6M 3M, 6M 3M, 6M N/A ACT/360 30/360

N/A ACT/360 30/360 50 1M, 3M, 6M, 12M, 2-5Y, 7Y, 

10Y, 15Y, 20Y 12M 3M, 6M 3M, 6M 3M, 6M N/A ACT/360 30/360

N/A ACT/360 30/360 30 N/A 12M 6M 6M 6M N/A ACT/360 30/360

N/A ACT/365.FIXED ACT/365.FIXED 50 N/A 6M 6M 6M 6M N/A ACT/365.FIXED ACT/365.FIXED

N/A ACT/365.FIXED ACT/365.FIXED 50 1M, 3M, 6M, 12M, 2-5Y, 7Y, 

10Y, 15Y, 20Y 6M 6M 6M 6M N/A ACT/365.FIXED ACT/365.FIXED

N/A ACT/365.FIXED ACT/365.FIXED 30 N/A 6M 6M 6M 6M N/A ACT/365.FIXED ACT/365.FIXED

LCH
Valid Stub 

Index 

Frequencies

Float Leg Day 

Count

Fixed Leg Day 

Count

Max Tenor 

(yrs) Forward Periods

Valid Fixed 

Payment 

Frequencies

Valid Float 

Designated 

Maturities

Valid Float 

Payment 

Frequencies

Valid Float 

Reset 

Frequencies

Valid Stub 

Index 

Frequencies

Float Leg Day 

Count

Fixed Leg Day 

Count

LCH

N/A ACT/360 ACT/360 10.5 20 N/A 28D 28D 28D 28D N/A ACT/360 ACT/360