Bloomberg SEF LLC 731 Lexington Avenue Tel +1 212 318 2000

 New York, NY 10022 bloombergsef.com

January 12, 2024

Submitted via Portal

U.S. Commodity Futures Trading Commission

Three Lafayette Centre

1155 21st Street, N.W.

Washington, D.C. 20581

Re: CFTC Regulation 40.6(a) Certification: Amendments to the Bloomberg SEF LLC Rulebook

BSEF Submission No. 2024-R-01

Ladies and Gentlemen:

Bloomberg SEF LLC (“BSEF”) is certifying to the U.S. Commodity Futures Trading Commission (“CFTC” or 

“Commission”) the amendment of Rules 213-214, 308, 409.A, 516, 516.A, 516.B, 522.A, 805, Chapter 12 

(Rules 1203.A-1214), Chapter 13 (Rules 1301-1368) and Chapter 14 (Rules 1400-1405) (collectively, the

“Rule Amendments”) and delisting of one foreign exchange non-deliverable forward contract (Rule

1401). The Rule Amendments and delisting are effective on January 29, 2024. A concise explanation of 

the Rule Amendments and delisting is in the below table.

Chapter Rule Amendment Explanation

Chapter 1. Definitions Definition of “Regulatory 

Services Provider”

Clarified that the National Futures 

Association (“NFA”) serves as BSEF’s 

Regulatory Services Provider.

Chapter 2. SEF 

Governance. 

Chapter 3. Participants 

Chapter 8. Miscellaneous 

• Rule 213. InformationSharing Agreements

• Rule 214. Regulatory

Services Agreement with

the Regulatory Services

Provider

• Rule 308. Recording of

Communications

• Rule 805. Confidentiality

Revised to clarify that BSEF may disclose 

information provided by or relating to 

Participants to its Regulatory Services 

Provider, the NFA, for NFA to separately 

use in fulfilling its obligations as a 

registered futures association. These 

changes were made at the behest of the 

NFA.

Chapter 4. Obligations 

of Participants, Account

Managers, DMA

Customers, Authorized

Traders and Supervised

Persons

Rule 409.A. Participant and 

Clearing Member Books and 

Records

Amended to specify that Participants and 

ISVs are responsible for maintaining a 

routing/front-end audit trail for all Orders, 

and that BSEF will enforce such audit trail 

and recordkeeping requirements by 
conducting an annual review of all 

Participants to verify their compliance.

Chapter 5. Trading 

Practices, Reporting,

Clearing and Business

Conduct

• Rule 516. Trade

Cancellation, Correction,

Offset and Adjustment –

General

• Rule 516.A. Notification

of Action Taken and

Trade Review – Cleared

Swaps

• Rule 516.B. Error Trade

Cancellation, Correction,

Adjustment and Offset -

Cleared Swaps

Amended to (i) include additional method 

of execution of Offsetting Trades and 

Correcting Trades via a standard RFQ-to-1 

and (ii) to provide that Participants can 

execute Correcting Trades using the 

execution methods for correcting Error 

Trades if a trade was not accepted by a 

Clearing House without being explicitly 

rejected by the Clearing House.

• Rule 522.A. Required

Transactions and Cleared 

Swaps

Revised "display" to "provide" to align with 

terminology used in CFTC Rule 37.9.

Chapter 12. CDS 

Contracts Terms and

Conditions

Rules 1203.A-1214 Revised UPI attribute fields.

Chapter 13. IRS 

Contracts Terms and

Conditions

Rules 1301-1368 Revised to include UPI attribute fields. 

Chapter 14. FX 

Contracts Terms and

Conditions

Rules 1400-1405 Revised to include UPI attribute fields and 

add Rule 1400 to contain list of Reference 

Currencies.

Chapter 14. FX 

Contracts Terms and

Conditions

Rule 1401 Delisting THB, as this currency is not 

supported for trading on BSEF. There is no 

open interest on BSEF in the Contract.1

Exhibit A provides amendments to the applicable BSEF Rulebook Chapters in redline format. 

A clean copy is attached hereto as Exhibit B.

Bloomberg SEF reviewed the swap execution facility core principles (“Core Principles”) as set forth in 

the Commodity Exchange Act (“Act” or “CEA”) and identified that the amendment of terms in Rules 

213-214, 308, 409.A, 516, 516.A, 516.B, 522.A, 805, Chapter 12 (Rules 1203.A – 1214), Chapter 13

(Rules 1301 – 1368), and Chapter 14 (Rules 1400 – 1405) and delisting in 1401 may have some

bearing on the following Core Principles:

1 As of the date of this submission, there is no open interest on BSEF. THB is not supported on BSEF and has not 

been traded on BSEF since December 31, 2021.
• Compliance with Rules (Core Principle 2) and CFTC Regulation 37.9: Amendments to Rule

516 allow for an additional method of execution of Offsetting Trades and Correcting Trades 

via a standard RFQ-to-1 and the execution of Correcting Trades using the execution 

methods for correcting Error Trades if a trade was not accepted by a Clearing House 

without being explicitly rejected by the Clearing House. Amendments to Rules 213, 214, 

308 and 805 to clarify that BSEF may disclose information provided by or relating to 

Participants to its Regulatory Services Provider, the NFA, for NFA to separately use in 

fulfilling its obligations as a registered futures association.

• Swaps Not Readily Susceptible to Manipulation (Core Principle 3): BSEF believes that the 

Rule Amendments do not change the prior determination that swaps listed in Chapter 12

(Rules 1203.A-1214), Chapter 13 (Rules 1301-1368), and Chapter 14 (Rules

1400-1405) are not readily susceptible to manipulation. Particularly, adding a new Reference 

Rate Term Value in Rules 1335-1336.

• Monitoring of Trading and Trade Processing (Core Principle 4): Amendments to Chapter 5

(Rules 516, 516.A, and 516.B) provide guidance regarding execution protocols for Trade

Cancellation and Correction.

• Ability to Obtain Information (Core Principles 2 and 5): Amendment to Chapter 4 (Rule 

409.A) establishes the record-keeping and audit trail responsibilities of Participants and 

ISVs for annual Compliance review.

• Emergency Authority (Core Principle 6): Contracts are not subject to the mandatory trading

determination under CFTC Rule 37.12. Therefore, there will be no market disruption related

to their delisting.

• Availability of General Information (Core Principle 7): Bloomberg SEF will make publicly

available the details of the Rule Amendments and delisting by publishing this submission on

Bloomberg SEF’s website.

Pursuant to Section 5c(c) of the Act and CFTC Regulations 40.6(a), BSEF hereby certifies that the Rule

Amendments and delisting comply with the Act, including all regulations thereunder. There were no

substantive opposing views to the proposal.

BSEF certifies that this submission has been concurrently posted on the BSEF website at

https://www.bloomberg.com/professional/product/sef-compliance. 

Please contact the undersigned at (212) 617-7331 with any questions regarding this matter.

Enclosure
'()*+*,	-	
“Regulatory Services Provider” means the National Futures Association

(“NFA”), the organization which provides regulatory services to BSEF

pursuant to a Regulatory Services Agreement.

“Reporting Counterparty” has the meaning set forth in Part 45 of the CFTC 

Regulations.

“Request for Quote” or “RFQ” means an electronic message

disseminated on the SEF Platform for the purposes of soliciting bids or

offers for a specific Swap.

“Request for Quote Functionality” means RFQT or RFQS. All RFQs and

responses to RFQs will disclose the name of the Person with which the

Authorized Trader who placed an Order or sent an RFQ is associated with

in BSEF’s records.

“RFQS” means a SEF Platform functionality that allows a Requesting

Participant to request a continuous stream of indicative quotes in a Swap

from other Participants. At any time during the continuous stream, a

Requesting Participant may send an Order to buy and/or sell a Swap to a

Participant that provided an indicative quote. A Requesting Participant

must provide to BSEF a standing instruction regarding RFQS recipients

that will be applied by BSEF to all RFQS for such Requesting Participant.

The SEF Platform will automatically display to a Requesting Participant a

continuous stream of indicative quotes from all Participants indicated in the

standing instruction upon Requesting Participant’s access to the SEF

Platform. The Requesting Participant may send an Order to a recipient

Participant requesting an execution at the price indicated in the indicative

response.

“RFQT ” means a functionality of the SEF Platform that allows a

Requesting Participant to send an RFQ to buy and/or sell a Swap to any

Participant(s), to which all such Participants may respond with a firm or

indicative quote. The Requesting Participant may accept a firm response to

an RFQ from a Recipient Participant or send an Order to a Recipient

Participant requesting execution.

(a) For RFQT for credit Swaps, if the SEF Platform receives from the

same Recipient Participant that provided the initial price accepted by

a Requesting Participant an updated response to an RFQ after the

Requesting Participant’s acceptance and before the execution of a

Trade by BSEF (a “Revised Price”); and

(i) if the firm Revised Price is better for the Requesting Participant

than the firm initial price the Requesting Participant accepted, then

the Trade will be executed by the SEF Platform at such Revised

Price;

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(i) provide market surveillance reports to the CFTC, any Governmental Body

with jurisdiction over BSEF, or, as necessary for BSEF to comply with its SRO

obligations, to other markets;

(ii) share information and documents concerning current and former

Participants to the CFTC, any Governmental Body with jurisdiction over BSEF, or, as

necessary for BSEF to comply with its SRO obligations, to other markets;

(iii) share information and documents concerning ongoing and completed

investigations to the CFTC, any Governmental Body with jurisdiction over BSEF, or, as

necessary for BSEF to comply with its SRO obligations, to other markets; and/or

(iv) require its current or former Participants to provide information and

documents to BSEF at the request of the CFTC, any Governmental Body with jurisdiction

over BSEF, or, as necessary for BSEF to comply with its SRO obligations, to other

markets.

(b) BSEF may enter into any information-sharing arrangement with any Person or

body (including the CFTC, the NFA, any Self-Regulatory Organization, any SEF, DCM, market,

or clearing organization, or any Governmental Body) if BSEF (i) believes that such entity

exercises a legal or regulatory function under any law or regulation, or a function comprising or

associated with the enforcement of a legal or regulatory function, or (ii) considers such

arrangement to be in furtherance of the purpose or duties of BSEF and the SEF operated by BSEF

under Applicable Law.

(c) BSEF may disclose any information provided by or relating to Participant, Account

Managers, Authorized Traders, Supervised Persons, Clearing Members, Customers or Accounts

or their agents, or Trades of Participant or of its Customers or Accounts, including the content of

this Agreement, to any Governmental Body, to the Regulatory Services Provider (whether for the

purpose of supporting the provision of services by the Regulatory Services Provider or for the

purpose of supporting the Regulatory Services Provider’s performance of its obligations and

responsibilities as a registered futures association), to an SDR where BSEF reports Trades, to any

other person or entity as required by Applicable Law or as necessary to conclude Participant’s

Trades, submit Participant’s Trades for clearance or perform services requested by a Participant,

and to any Person providing services to BSEF with respect to the SEF operated by BSEF. BSEF

will not disclose any proprietary data or personal information of any Participant, Account

Manager, Authorized Trader, Supervised Person, Clearing Member, Customer or Account

without a corresponding confidentiality agreement between such Person and BSEF, unless the

Person requesting such information is a Governmental Body.

RULE 214. Regulatory Services Agreement with the Regulatory Services

Provider

BSEF has contracted with the Regulatory Services Provider to provide certain regulatory

services to BSEF pursuant to a Regulatory Services Agreement. In accordance with the

Regulatory Services Agreement, the Regulatory Services Provider may perform certain

surveillance, investigative, and regulatory functions under the BSEF Rules and BSEF may

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provide information to the Regulatory Services Provider in connection with the performance by

the Regulatory Services Provider of those functions, which such information may be used by the

Regulatory Services Provider for the purpose of performing its obligations and responsibilities as

a registered futures association. BSEF shall retain ultimate decision-making authority with

respect to any functions that are contracted to the Regulatory Services Provider.

RULE 215. Delivery and Service of CFTC Communications for Non-U.S.

Participants

In accordance with CFTC Rule 15.05, BSEF will serve as an agent of a non-U.S.

Participant or a Customer of non-U.S. Participant for whom Swaps were executed or a non-U.S.

Authorized Trader for purposes of accepting delivery and service of any communication issued by

or on behalf of the CFTC to the non-U.S. Participant or the Customer of the non-U.S. Participant

or the non-U.S. Authorized Trader, in each case with respect to any swap traded on the SEF

operated by BSEF.

CHAPTER 3. PARTICIPANTS

RULE 301. Eligibility Criteria for Becoming a Participant

(a) To be eligible for admission as a Participant, an applicant warrants to BSEF that it

meets the following criteria:

(i) is an ECP, and each Account or Customer on whose behalf it wishes to

trade on the SEF operated by BSEF is an ECP, in each case eligible to enter into the asset

classes of Swaps it wishes to trade on the SEF operated by BSEF;

(ii) is of good reputation and business integrity;

(iii) is validly organized, in good standing, and authorized by its governing

body and, if relevant, documents of organization, to trade Swaps;

(iv) has not filed for bankruptcy;

(v) is not a SEF Official, agent or affiliate of BSEF;

(vi) is not prohibited from using the services of BSEF for any reason

whatsoever;

(vii) holds all registrations required under Applicable Law, if any;

(viii) is not subject to statutory disqualification under Section 8a(2) of the CEA;

(ix) satisfies any other criteria that BSEF may require from a Participant to

perform its SRO responsibilities, comply with Applicable Law or provide SEF services;

and

(x) is not an ISV or an automated trading system.

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condition, restrict or qualify the Trading Privileges of such Participant as it deems necessary or

appropriate.

RULE 307. Authorized Representatives

Each Participant shall designate one or more Authorized Representatives who will

represent the Participant before BSEF and its committees and receive notices on behalf of the

Participant. The Authorized Representative shall be empowered by the Participant to act on its

behalf and BSEF shall be entitled to rely on the actions of the Authorized Representative as

binding on the Participant. Each Participant must provide BSEF with current contact and other

requested information for each of its Authorized Representatives so that BSEF is able to

immediately contact the Authorized Representatives.

RULE 308. Recording of Communications

BSEF may record conversations and retain copies of electronic communications between

SEF Officials, on one hand, and Participants, their Account Managers, Authorized Traders,

Supervised Persons or other agents, on the other hand, to the extent required by Applicable Law.

Any such recordings may be retained by BSEF or the Regulatory Services Provider in such

manner and for such periods of time as BSEF or the Regulatory Services Provider may deem

necessary or appropriate.

RULE 309. Notices to Participants

BSEF shall publish a Notice to Participants with respect to each addition to, modification

of, or clarification of, the BSEF Rules or of any action to implement any BSEF Rules, in a form

and manner that is reasonably designed to enable each Participant to become aware of and

familiar with, and to implement any necessary preparatory measures to be taken by it with respect

to, such addition or modification, prior to the effective date thereof. For purposes of publication

in accordance with the first sentence of this Rule, it shall be sufficient (without limiting the

discretion of BSEF as to any other reasonable means of communication) if a Notice to

Participants is published on BSEF’s website and posted on BSEF’s internal notification system.

Any Notice to Participants shall also be deemed to have been made to all Account Managers,

Authorized Traders and Supervised Persons.

RULE 310. Communications between BSEF and Participants

Each Participant must provide BSEF with its current electronic mail address and telephone

number and the electronic mail address and telephone number of any of its Authorized Traders

and immediately (and in any event within 24 hours) update this information whenever it changes.

All communications between BSEF and the Participant will be transmitted by electronic mail

and/or posted on BSEF’s website, except as otherwise specified by BSEF. The Participant shall

be responsible for conveying such communications to its Authorized Traders and/or to its

Account Managers. Each Participant will be responsible for promptly reviewing and, if

necessary, responding to all electronic communications from BSEF to the Participant or any of its

Account Managers, Authorized Traders, Supervised Persons or any Person to whom it has given

40
responsible for all CFTC Regulation 1.35 recordkeeping obligations, including any records not

covered by the agreement with its Sponsoring Broker. Notwithstanding anything to the contrary

in this Rule 409.A, the DMA Customer shall remain directly responsible for the maintenance of

all records set forth in Rule 409.A(d).

(j) Participants and ISVs that operate systems that route orders to the SEF are

responsible for maintaining or causing to be maintained a routing/front-end audit trail for all

Orders, which shall include Order entry, modification and cancellation and any SEF responses to

such messages. For executed Orders, such audit trail must record the execution time of the Trade,

along with all fill information. Participants and ISVs shall maintain audit trail information as

required by Applicable Law and must have the ability to produce audit trail data in a reasonably

usable format upon request of the SEF. The SEF will enforce these audit trail and recordkeeping

requirements by conducting an annual review of all Participants to verify their compliance with

the SEF’s audit trail and recordkeeping requirements.

RULE 409.B. BSEF Books and Records

BSEF shall keep, or cause to be kept, complete and accurate books and records, including

all books and records required to be maintained pursuant to the CEA, the CFTC Regulations or

the BSEF Rules as required by CFTC Regulation 1.31.

RULE 410. Responsibility for Mandatory Trading

Each Participant that is a Swap Dealer or Major Swap Participant shall be responsible for

compliance with the mandatory trading requirement under Section 2(h)(8) of the CEA and shall

not enter into any Required Transaction outside a SEF that lists a Swap related to such Required

Transaction.

RULE 411. Eligibility for Clearing Exempt Transactions

(a) Each Participant wishing to execute any Clearing Exempt Transaction on the SEF

operated by BSEF must submit to BSEF documentation demonstrating its eligibility (or the

eligibility of its relevant Client or Customer, if applicable) for a Clearing Exception (a

“Clearing Exception Form”) required by CFTC Regulations or CFTC Staff No-Action Letters

prior to sending an RFQ or placing an Order subject to the Clearing Exception.

(b) Each Participant must comply with the conditions of the applicable Clearing

Exception.

CHAPTER 5. TRADING PRACTICES, REPORTING, CLEARING AND

BUSINESS CONDUCT

RULE 501. Scope

This Chapter 5 prescribes Rules concerning trading practices and business conduct on the

SEF operated by BSEF and applies to all RFQs, Orders and Trades in Swaps as defined in

Chapter 1.

49
RULE 515. Mishandling of Customer Orders

Any Participant that mishandles any Customer Order is responsible for all remedial

actions with respect to such Order.

RULE 516. Trade Cancellation, Correction, Offset and Adjustment –

General

(a) Any Trade executed on the SEF Platform operated by BSEF or in accordance with

BSEF Rules can be canceled, corrected, adjusted or offset only in accordance with this Rule

516.

(b) A Participant involved in an Error Trade and acting as an Account Manager,

Introducing Broker or FCM shall have the authority to request or consent to the cancellation,

adjustment or offset, as applicable, of such Trade on behalf of the relevant Counterparty

involved in the Trade.

(c) Timing of an Offset or Correction – Cleared Swaps

(i) For Error Trades rejected or not accepted by a Clearing House for

non-credit reasons, the Correcting Trade must be executed on the SEF operated by BSEF

and submitted for clearing as quickly as technologically practicable after receipt ofthe

Clearing House provides notice of the rejection byof the Clearing House to the Clearing

MembersError Trade or BSEF cancels the Error Trade, but, in any event, no later than one

hour from the issuance of the notice or cancellation by BSEF.

(ii) For Error Trades accepted by a Clearing House, the Offsetting Trade and/or

the Correcting Trade must be executed and submitted for clearing no later than three

Business Days after the Error Trade was executed.

(d) Timing of a Correction, Cancellation or Adjustment – Non-Cleared Swaps.

Any correction, cancellation or adjustment of a Trade in Non-Cleared Swaps made pursuant to

this Rule 516 shall be made no later than three Business Days after the erroneous Trade was

discovered.

RULE 516.A. Notification of Action Taken and Trade Review – Cleared

Swaps

(a) Cleared Swaps Executed on a Non-Anonymous Basis

(i) If Participants involved in a Trade agree that the Trade is an Error Trade

and that the cancellation, correction, adjustment or offset of the Error Trade is appropriate

and will not adversely impact market integrity, facilitate market manipulation, or other

illegitimate activity, or otherwise violate the CEA, CFTC Regulations or BSEF Rules,

Participants may enter into an Offsetting Trade and/or Correcting Trade using RFQT for

Permitted Transactions, as provided below in this Rule.

(ii) For both Required Transactions and Permitted Transactions, Participants

may enter into aan Offsetting Trade and/or Correcting Trade using RFQT and

54
specifyingspecify in the RFQ that a Trade is either an Offsetting Trade or Correcting

Trade. Providing such specification will constitute notice to the Compliance Department

and BSEF permission to perform the actions described in Rule 516.B(a).

(iii) For Permitted Transactions, Participants may enter into an Offsetting Trade

and/or Correcting Trade using RFQT without specifying that a Trade is either an

Offsetting Trade or Correcting Trade; provided that the Requesting Participant and the

Recipient Participant notify BSEF Support Desk at 1-212-617-1530 within 24 hours after

the execution of such Offsetting Trade and/or Correcting Trade and provide to BSEF the

following information:

(A) a description of the clerical or operational

error or omission in the terms of the Error Trade;

(B) the UTI for the Error Trade and Offsetting

Trade and/or Correcting Trade and any additional

information reasonably requested by BSEF; and

(C) a representation that the Trade qualifies as an

Error Trade, e.g., the Trade contains an operational or

clerical error.

(iv) (ii) For a Trade corrected pursuant to subsection (a)(i) of this Rule 516.A,

the Compliance Department will conduct an ex post facto review of the Trade, the

Offsetting Trade and the Correcting Trade within one Business Day of the date of

execution of the Offsetting Trade and/or the Correcting Trade. Such ex post facto review

will include a review of the electronic audit trail of the Trade, as well as other facts and

circumstances associated with the Trade. If BSEF makes an affirmative finding that such

Trade was not an Error Trade, BSEF Compliance will consider any action appropriate

under BSEF Rules.

(v) (iii) In the case of a Trade in Cleared Swaps executed on a non-anonymous

basis, BSEF may, but is not obliged to, inform Participants affected by the Error Trade of

the identity and contact information of any other Participant affected by the Error Trade.

(b) Cleared Swaps Executed on an Anonymous Basis

(i) To request cancellation, correction, adjustment or offset of a Trade in

Cleared Swaps executed on an anonymous basis (“Alleged Error Trade”), a Participant

must notify the BSEF Support Desk by phone at 1-212-617-1530 or

bsefdesk@bloomberg.net or by any form of written communication approved by BSEF by

providing details sufficient to identify the Error Trade (e.g., UTI, FIT/FITDNA key, or

Swap contract, notional amount, price/spread, Clearing House and execution time) and

stating the grounds for the request as soon as possible, but no later than the end of the

Business Day following the date of execution of the Alleged Error Trade. For

55
notifications received after such date, BSEF shall have discretion as to whether to review

the request to cancel, correct, adjust or offset the Alleged Error Trade.

(ii) The Compliance Department will review promptly the electronic audit trail

of the Alleged Error Trade as well as any facts and circumstances associated with the

Alleged Error Trade. If BSEF makes an affirmative finding that the Alleged Error Trade

was an Error Trade and that the cancellation, correction, adjustment or offset of the

Alleged Error Trade is appropriate and would not adversely impact market integrity,

facilitate market manipulation or other illegitimate activity, or otherwise violate the CEA,

CFTC Regulations or BSEF Rules, BSEF will designate such Alleged Error Trade as an

“Error Trade.”

(iii) BSEF will inform affected Participants of the Error Trade alleged as set

forth in subsection (b)(i) and of the next steps that the Participants must or could make.

(iv) BSEF will not take any action with respect to an Error Trade unless the

Error Trade is outside the No-Bust Range. BSEF will inform the affected Participants of

the final disposition of the Error Trade.

(v) For Trades in Cleared Swaps executed on an anonymous basis, BSEF will

not inform Participants affected by the Error Trade of the identity and contact information

of any other Participant affected by the Error Trade and will facilitate a pre-arranged

Offsetting Trade or a Correcting Trade if all such Participants agree to or are required to

enter into Trades described in Rule 516.B.

RULE 516.B . Error Trade Cancellation, Correction, Adjustment and Offset –

Cleared Swaps

(a) Participant Errors

(i) For each Error Trade cleared by a Clearing House, BSEF may, if both

Participants agree:

(A) request, or allow the Participants to request, the appropriate

Clearing House to cancel, correct or adjust the Error Trade; or

(B) allow the affected Participants to enter into a pre-arranged

Offsetting Trade to offset the position on the books of the Clearing House that

resulted from the Error Trade; and/or

(C) if desired by the affected Participants, allow the affected

Participants to execute a Correcting Trade, provided, however, that the terms of

such new Trade shall not include costs or fees associated with the Error Trade.

(ii) For each Error Trade rejected by a Clearing House and determined to be

void ab initio under Rule 533 or not accepted by a Clearing House and cancelled by BSEF

as provided in Rule 516.E, in each case because of an operational or clerical error or

omission made by a Participant, Counterparty or Account Manager, if both Participants

agree, the affected Participants may enter into a pre-arranged Correcting Trade.

(iii) All BSEF Rules other than Rule 522.A shall apply to Correcting Trades

executed by Participants pursuant to this Rule 516.B(a).

(iv) Participants must report to BSEF as soon as possible all changes made to

the Error Trade pursuant to Rule 516.B(a)(i)(A).

(v) With respect to an Error Trade rejected by a Clearing House for non-credit

reasons, if the Correcting Trade is also rejected by the Clearing House and void ab initio,

56
the affected Participants will not be provided a second opportunity to correct the Error

Trade.

(b) System Errors

(i) If, after its own investigation or a notice from a Participant, BSEF

determines in its sole discretion that the execution of a Trade cleared by a Clearing House

was the result of an error made by the SEF Platform and the Trade has been designated as

an Error Trade, then BSEF may:

(A) request, or allow the Participants to request, the appropriate

Clearing House to cancel, correct or adjust the Error Trade; or

(B) direct the affected Participants to enter into a pre-arranged

Offsetting Trade to offset the position on the books of the Clearing House that

resulted from the Error Trade; and/or

(C) direct the affected Participants to execute a Correcting Trade ,

provided, however, that the terms of such new Trade shall not include costs or fees

associated with the Error Trade.

(ii) If, after its own investigation or a notice from a Participant, BSEF

determines in its sole discretion that the execution of a Trade rejected by a Clearing House

and determined to be void ab initio under Rule 533 or not accepted by a Clearing House

and cancelled by BSEF as provided in Rule 516.E, in each case because of an operational

or clerical error or omission made by the SEF Platform was the result of an error made by

the SEF Platform, then BSEF may direct the affected Participants to enter into a

pre-arranged Correcting Trade, provided, however, that the terms of such new Trade shall

not include costs or fees associated with the Error Trade.

(iii) If BSEF directs affected Participants to enter into a pre-arranged Trade in

accordance with sub-section (i)(B) above, the affected Participants shall enter into such

pre-arranged Trade.

(iv) All BSEF Rules other than Rule 522.A shall apply to Correcting Trades

executed by Participants pursuant to this Rule 516.B(b).

(v) Notwithstanding anything to the contrary in this Rule 516(B)(b), BSEF

reserves the right to correct an Error Trade resulting from an error made by the SEF

Platform by any means BSEF deems appropriate.

(vi) If BSEF is unable to determine how to correct the Error Trade, BSEF may

either not fix the error, or it may seek guidance on how to address the error from the

affected Participants. Any such guidance may not be implemented without consent from

both Participants.

(vii) Participant must report to BSEF as soon as possible all changes made to the

Error Trade pursuant to Rule 516.B(b)(i)(A).

(viii) With respect to an Error Trade rejected by a Clearing House for non-credit

reasons, if the Correcting Trade is also rejected by the Clearing House and void ab initio,

the affected Participants will not be directed to enter into another Trade to correct the

Error Trade.

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RULE 519.B. Exceptions

The foregoing restriction shall not apply to transactions executed pursuant to Rule 531.A

or Rule 531.B.

RULE 520. Disclosing Orders Prohibited

No Person shall disclose another Person’s RFQ or Order to buy or sell except to a

designated SEF Official or the CFTC, and no Person shall solicit or induce another Person to

disclose RFQ or Order information. No Person shall take action or direct another to take action

based on non-public RFQ or Order information, however acquired.

RULE 521. Simultaneous Buy And Sell Orders For Different Beneficial

Owners

(a) A Participant that is a broker or a dealer which seeks either to execute against a

Customer’s Order or to execute two Customers against each other through an Order Book

following some form of pre-arrangement or pre-negotiating of such Orders must expose one side

of the transaction for a minimum of 15 seconds to the other Participants before the second side of

the transaction (whether for the Participant’s own account or for a second Customer) can be

submitted for execution.

(b) Notwithstanding the foregoing clause (a), this Rule shall not apply to any DMA

Order.

RULE 522. Execution of Orders on the SEF Platform

RULE 522.A. Required Transactions and Cleared Swaps

(a) No Participant shall execute a Required Transaction in a Swap listed on the SEF

operated by BSEF other than as described in this Rule 522.A unless it is a Block Trade, Offsetting

Trade, Correcting Trade or a component of a Covered Package Transaction.

(b) Request for Quote Functionality

(i) The SEF Platform will not transmit an RFQ or an Order for a Required

Transaction unless (x) an RFQ for a specific Swap is sent to at least three MAT Recipient

Participants using RFQT; or (y) RFQS displaysprovides quotes from at least three MAT

Recipient Participants.

(ii) Together with the first response from any MAT Recipient Participant, the

SEF Platform will displayprovide to a Requesting Participant any firm Resting Quotes for

the Swap indicated in the RFQ that are posted on an Order Book together with any

responses to the RFQ from the MAT Recipient Participants, and such Resting Quotes will

remain displayedprovided until all responses to the RFQ are received or the time for

response has lapsed. The SEF Platform will permit the Requesting Participant to execute

against such firm Resting Quotes along with any responsive Order from a MAT Recipient

Participant.

“MAT Recipient Participant” means, with respect to any Requesting Participant sending

any RFQ via the Request for Quote functionality of the SEF Platform, a Participant other

60
than the Requesting Participant that (x) is not an Affiliate of or Controlled by the

Requesting Participant and (y) is not an Affiliate of or Controlled by any other MAT

Recipient Participant receiving the same RFQ of the Requesting Participant.

(iii) The Request for Quote Functionality will provide each Participant with

equal priority in receiving RFQs, transmitting and displayingproviding responses and

accepting resulting Orders.

(c) Anonymous CLOB for Cleared Swaps

Only firm bids and offers can be posted on the CLOB. Firm bids or offers may be

posted on the CLOB for Cleared Swaps only by a Participant that is a member of

the applicable Clearing House, by a Participant that has a clearing account with a

Clearing Member as set forth in Rule 533(b), or by a Participant in the name of an

Account or Customer that has a clearing account with a Clearing Member as set

forth in Rule 533(b). Bids and offers posted on the CLOB for Cleared Swaps are

anonymous and will be matched on a price/time priority basis. BSEF shall not

disclose the names of Participants or Counterparties for a Trade executed on the

CLOB and it shall be a violation of the Rules for a Participant or Counterparty to

ascertain or attempt to ascertain the name of the Participant or Counterparty that is

on the opposite side of a Trade executed on the CLOB.

RULE 522.B. Permitted Transactions

The following execution methods are available for Permitted Transactions:

(a) Disclosed Order Book for Permitted Transactions in foreign exchange Swaps;

(b) Anonymous CLOB for Permitted Transactions in rate and credit Swaps that are

Cleared Swaps;

(c) Disclosed CLOB for Permitted Transactions in rate and credit Swaps that are

Non-Cleared Swaps;

(d) RFQS for rate, credit, non-deliverable forwards; and

(e) RFQT for all Swaps.

RULE 522.C. Package Transactions

(a) Other than as set forth in Rule 522.C(b), a Package Transaction or a component of

a Package Transaction that is a Required Transaction must be executed as provided in Rule

522.A.

(b) A Covered Package Transaction or a component of a Covered Package Transaction

that is a Required Transaction may be executed using RFQT in accordance with CFTC Rule

37.9(d) or No-Action Letter 22-15, which expires November 15, 2025.

61
RULE 804. Prohibited Use of Data Collected for Regulatory Purposes

BSEF shall not use for business or marketing purposes any proprietary data or personal

information it collects or receives, from or on behalf of any person, for the purpose of fulfilling its

regulatory obligations; provided, however, that BSEF may use such data or information for

business or marketing purposes if the Person from whom it collects or receives such data or

information clearly consents in Writing to BSEF’s use of such data or information in such

manner. BSEF shall not condition access to its market(s) or market services on a Person’s

consent to BSEF’s use of proprietary data or personal information for business or marketing

purposes. BSEF, where necessary for regulatory purposes, may share such data or information

with one or more SEFs or DCMs registered with the CFTC.

RULE 805. Confidentiality

(a) All non-public information provided by a Participant or Authorized Trader to

BSEF shall be held in confidence and shall not be made known to any other Person except as

follows:

(i) with the consent of the Participant or Authorized Trader providing such

information;

(ii) to a Governmental Body if BSEF is requested or legally required to do so

by such Governmental Body;

(iii) pursuant to a lawful discovery request;

(iv) to a Derivatives Clearing Organization of which such Participant is a

member or in connection with the clearing of a Swap;

(v) to an SDR;

(vi) subject to appropriate confidentiality requirements, to any Person providing

services to BSEF, including the Regulatory Services Provider, which may also use such

information for the purpose of performing its obligations and responsibilities as a

registered futures association;

(vii) pursuant to an information sharing agreement or other arrangement or

procedures in accordance with Rule 213;

(viii) subject to appropriate confidentiality requirements, to BSEF employees, the

Board, Board committees, Disciplinary Panels, Appeals Panels, BSEF Officers, attorneys,

auditors, and agents, independent contractors or other Persons that have been engaged by

BSEF, in each case, who require such information in connection with the discharge of

their duties to BSEF; and

(ix) as otherwise permitted under these Rules.

92
103

Effective Date

Credit Default Swap. An agreement to buy or sell protection on a basket comprised of a number of sovereign

issuers, domiciled in Latin America based upon an agreed upon notional amount.

Unadjusted date at which obligations under the swap come into effect.

Index Factor

CDX Emerging Markets: all series

Maturity/Expiration

Date

Current factor

Unadjusted date at which obligations under the swap stop being effective.

RULE 1203.A. CDX Emerging Markets

Settlement Method Financially settled

Notional Currency

Settlement

USD

 Contingent payment: Payments related to credit event settlement will be determined pursuant to the

2009 ISDA Credit Derivatives Determination Committees and Auction Settlement Supplement, (i.e., the

Big Bang Protocol).

 Fixed quarterly cash payments: Reflected in basis points and paid by the protection buyer to the

protection seller.

 Upfront fee payment: The upfront fee is a portion of the payments, expressed in percentage points of

the notional, which is present valued and paid immediately to the seller.

Index Type

Final Contractual

Settlement Date

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual Settlement

Date is determined by Credit Event Rules.

Quoting Convention

CorporateSovereign; Untranched

Settlement Currency

Price and/or upfront payment

USD

Ticker

“Made Available to

Trade” Determination

None

Minimum Increment

Mandatory Clearing

Determination

CLOB: $0.0025

Trading Protocols other than CLOB: As agreed by counterparties

None

Index Version

Trading Hours

CDX EM CDSI [seriesSeries number] [tenor]Number] [Tenor]

00:01 -24:00 Sunday-Friday; Eastern Time

Minimum Size

Current version

Settlement Procedure

CLOB: $1,000,000

Trading Protocols other than CLOB: As agreed by counterparties

As determined by the Clearing House or Bilateral

Contract Overview

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

Trading Conventions

Block Size

Buy = Buy Protection

Sell = Sell Protection

As set forth in Part 43 of the CFTC Regulations

Index Term Value

Speculative Limits As set in Part 150 of the CFTC Regulations

Swap Tenor

Same as Tenor

Reportable Levels

Any

As set in the CFTC Regulation 15.03

Index
112

Effective Date

Credit Default Swap. An agreement to buy or sell protection on an index comprised of 14 names from the Eurozone

region plus Denmark, Norway, Sweden and United Kingdom that trade on Western European documentation based

upon an agreed upon notional amount.

Unadjusted date at which obligations under the swap come into effect.

Index Factor

iTraxx SovX Western Europe: all series

Maturity/Expiration

Date

Current factor

Unadjusted date at which obligations under the swap stop being effective.

RULE 1208.A. iTraxx SovX Western Europe

Settlement Method Financially settled

Notional Currency

Settlement

USD

 Contingent payment: Payments related to credit event settlement will be determined pursuant to the

2009 ISDA Credit Derivatives Determination Committees and Auction Settlement Supplement, (i.e., the

Big Bang Protocol).

 Fixed quarterly cash payments: Reflected in basis points and paid by the protection buyer to the

protection seller.

 Upfront fee payment: The upfront fee is a portion of the payments, expressed in percentage points of

the notional, which is present valued and paid immediately to the seller.

Index Type

Final Contractual

Settlement Date

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual Settlement

Date is determined by Credit Event Rules.

Quoting Convention

CorporateSovereign; Untranched

Settlement Currency

Spread and/or upfront payment

USD

Ticker

“Made Available to

Trade” Determination

None

Minimum Increment

Mandatory Clearing

Determination

CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

None

Index Version

Trading Hours

ITRX SOVX WE CDSI [series number] [tenor]

Series Number] [Tenor]

00:01 -24:00 Sunday-Friday; Eastern Time

Minimum Size

Current version

Settlement Procedure

CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

As determined by the Clearing House or Bilateral

Contract Overview

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

Trading Conventions

Block Size

Buy = Buy Protection

Sell = Sell Protection

As set forth in Part 43 of the CFTC Regulations

Index Term Value

Speculative Limits As set in Part 150 of the CFTC Regulations

Swap Tenor

Same as Tenor

Reportable Levels

Any

As set in the CFTC Regulation 15.03

Index
118

Effective Date

Credit Default Swap. An agreement to buy or sell protection on a basket comprised of a number of

sovereign issues domiciled in Asia, EEMEA (Eastern Europe, Middle East, Africa), and Latin America

with an investment grade rating.

The date on which parties begin calculating accrued obligations such as fixed payments. Also known as

the start date of the swap.

Index Factor

CDX Emerging Markets Investment Grade; all series

Maturity Date/Expiration Date

Current factor

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

RULE 1213. [Reserved]A. CDX Emerging Markets Investment Grade

Delivery Type Cash

Currency

Settlement

USD

Contingent payment – Payments related to credit event settlement will be determined pursuant to the

2014 ISDA Credit Derivatives Definitions, as published by the International Swaps and Derivatives

Association, Inc.

Fixed Quarterly cash payments – Reflected in basis points and paid by the protection buyer to the

protection seller.

Upfront fee payment – The upfront fee is a portion of the payments, expressed in percentage points of

the notional, which is present valued and paid immediately to the seller.

Index Type

Settlement Date Same as Expiration Date

Quoting Convention

Sovereign; Untranched

Settlement Currency

Price

USD

Ticker

“Made Available to Trade”

Determination

None

Minimum Increment

Mandatory Clearing Determination

Order Book: $0.0025

Trading Protocols other than Order Book: As agreed by counterparties

None

Index Version

Trading Hours

CDX EM IG CDSI [series number] [tenor]

00:01 -24:00 Sunday-Friday; Eastern Time

Minimum Size

Current version

Settlement Procedure

Order Book: $1,000,000

Trading Protocols other than Order Book: As agreed by counterparties

Bilateral

Contract Overview

Clearing House Bilateral

Trading Conventions

Block Size

Buy = Buy Protection

Sell = Sell Protection

As set forth in Part 43 of the CFTC Regulations

Index Term Value

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Swap Tenor

Same as Tenor

Reportable Levels

Any

As set forth in CFTC Regulation 15.03

Index
119

Effective Date

Credit Default Swap. An agreement to buy or sell protection on a basket comprised of a number of

sovereign issues domiciled in Asia, EEMEA (Eastern Europe, Middle East, Africa), and Latin America

with credit ratings below “BBB-” or “Baa3” that trade in the CDS market.

The date on which parties begin calculating accrued obligations such as fixed payments. Also known as

the start date of the swap.

Index Factor

CDX Emerging Markets High Yield; all series

Maturity Date/Expiration Date

Current factor

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

RULE 1214. [Reserved]A. CDX Emerging Markets High Yield

Delivery Type Cash

Currency

Settlement

USD

Contingent payment – Payments related to credit event settlement will be determined pursuant to the

2014 ISDA Credit Derivatives Definitions, as published by the International Swaps and Derivatives

Association, Inc.

Fixed Quarterly cash payments – Reflected in basis points and paid by the protection buyer to the

protection seller.

Upfront fee payment – The upfront fee is a portion of the payments, expressed in percentage points of

the notional, which is present valued and paid immediately to the seller.

Index Type

Settlement Date Same as Expiration Date

Quoting Convention

Sovereign; Untranched

Settlement Currency

Price

USD

Ticker

“Made Available to Trade”

Determination

None

Minimum Increment

Mandatory Clearing Determination

Order Book: $0.0025

Trading Protocols other than Order Book: As agreed by counterparties

None

Index Version

Trading Hours

CDX EM HY CDSI [Series Number] [Tenor]

00:01 -24:00 Sunday-Friday; Eastern Time

Minimum Size

Current version

Settlement Procedure

Order Book: $1,000,000

Trading Protocols other than Order Book: As agreed by counterparties

Bilateral

Contract Overview

Clearing House Bilateral

Trading Conventions

Block Size

Buy = Buy Protection

Sell = Sell Protection

As set forth in Part 43 of the CFTC Regulations

Index Term Value

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Swap Tenor

Same as Tenor

Reportable Levels

Any

As set forth in CFTC Regulation 15.03

Index
129

Quoting Convention and Minimum

Increment

AUD-BBSW

AUD-BBR-BBSW

As agreed by the counterpartiesFixed rate

Ticker

Minimum Increment  CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

Floating Rate Index MaturityReference

Rate Term Value

AUD SWAP vs Floating Index[Reference Rate Term Value] [Swap Tenor or Maturity]

Minimum Size

3, 6 months

As agreed by the counterparties

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

Contract Overview

Trading Conventions Buy = 

 Pay Fixed, Receive Float.

Sell = 

 Receive Fixed, Pay Float.

Fixed Rate

Trade Start Types

Par; Custom Coupon

 Spot: A new swap where the Effective Date is T+2 from the trade date.

 Non-Spot: Any date where the Effective Date is a date other than the spot date.

Currency

Fixing Offset

Interest Rate Swap. 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.

0 to 10 days

Notional Currency

AUD

SwapPayment Conventions

AUD

CHAPTER 13. RATES CONTRACTS TERMS AND CONDITIONS

RULE 1301. AUD BBR-BBSW Fixed-to-Floating Swap Contract

Notional Schedule

Fixed Leg 

 Payment Frequency: Semi-Annual, Quarterly 

 Day Count Conventions: ACT/365(Fixed)

 Business Calendar: Sydney

 Business Day Conventions: Modified Following

Floating Leg 

 Payment/Resets: Semi-Annual, Quarterly 

 Day Count Conventions: ACT/365(Fixed) 

 Business Calendar: Sydney

 Fixing Calendar: Sydney

 Business Day Conventions: Modified Following

Constant

Swap Tenor

FloatingReference Rate Index

The duration of time from the effective date to the maturity date. A contract can have a Tenor

Fixed Leg

 Payment: Semi-Annual, Quarterly

 Day Count Conventions: ACT/365(Fixed)

 Holiday Calendar: Australia

 Business Day Conventions: Modified

Following

Floating Leg

 Payment/Resets : Semi-Annual, Quarterly

 Day Count Conventions: ACT/365(Fixed)

 Holiday Calendar: Australia

 Fixing Calendar: Australia

 Business Day Conventions: Modified

Following
130

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties.Bilateral

TheUnadjusted date onat which parties begin calculating accrued obligations such as

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

come into effect.

Settlement Currency

Periodic Settlement:

Payment and ResetsLag

AUD

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

Notional, Payment Frequency, Day Count Convention and Fixed Interest Rate.0

days

 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. 0 days

“Made Available to Trade”

Determination

None

from 28 days to up to 3031 years.

Mandatory Clearing Determination

Settlement Method

None

Maturity/Expiration Date

Financially Settled

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time)

The finalUnadjusted date onat which the obligations no longer accrue and the final

payment occursunder the swap stop being effective.

Clearing House

First Fixing Date

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

The first BBSW Fixing Date is two (2) Sydney business days prior to the Effective Date.

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

Speculative Limits

Trade Start Types

As set forth in Part 150 of the CFTC Regulations

Final Contractual Settlement Date

Spot:

 A new swap where the Effective Date is T+2 from the trade date.

Non-Spot:

 Any date where the Effective Date is a date other than the spot date.

Reportable Levels

Effective Date

As set forth in CFTC Regulation 15.03

Expiration Date
132

Fixed Rate  Par

 Custom coupon

 Standard coupon; the then-current rates for Market Agreed Coupon (“MAC”)

Swap Tenor

Currency

The duration of time from the effective date to the maturity date. A non-MAT or non-MAC EUR EURIBOR

Fixed-to-Floating Swap Contract can have a tenor from 28 days to up to 50 years. A MAC EUR EURIBOR

Fixed-to-Floating Swap Contract can have a tenor from 1 year to 30 years.

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.

Effective Date

Quoting

Convention and

Minimum

Increment

The date on which the parties begin calculating accrued obligations such as fixed and floating interest rate

payments. This is also known as the start date of the swap.

EUR

As agreed by the counterparties

Maturity Date

RULE 1303. EUR Euribor Fixed-to-Floating Swap Contract*

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

Periodic

Settlement:

Payment and

Resets

Contract Size

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.

Fixed notional; as agreed by the counterparties

First Fixing Date

Floating Rate

Index

The first Euribor Fixing Date is 2 Target business days prior to the Effective Date of the swap.

Trade Start

Types

Minimum Size

Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

EURIBOR

As agreed by the counterparties

Settlement

Procedure

Ticker

As determined by the Clearing House

Trading Hours

Trading

Conventions

00:01 -24:00 Sunday-Friday (Eastern Time)

Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Clearing House

Floating Rate

Index Maturity

Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd, Eurex Clearing Aktiengesellschaft. or Bilateral

EUR SWAP vs [Floating Index Maturity]

Block Size

Swap

Conventions

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

1, 3, 6, 12 months

Contract

Overview

Fixed Leg

 Payment: Quarterly, Semi-Annual, Annual

 Day Count Conventions: 30/360, ACT/360, 30E/360

 Holiday Calendar: Target

 Business Day Conventions: Modified Following

Floating Leg

 Payment/Resets : Monthly, Quarterly, Semi-Annual,

Annual

 Day Count Conventions: ACT/360, 30/360

 Holiday Calendar: Target

 Fixing Calendar: Target

 Business Day Conventions: Modified Following
133

Payment Conventions Fixed Leg 

 Payment Frequency: Quarterly, Semi-Annual, Annual

 Day Count Conventions: 30/360, ACT/360, 30E/360

 Business Calendar: Target

 Business Day Conventions: Modified Following

Floating Leg 

 Payment/Resets: Monthly, Quarterly, Semi-Annual, Annual 

 Day Count Conventions: ACT/360, 30/360 

 Business Calendar: Target

 Fixing Calendar: Target

 Business Day Conventions: Modified Following

Notational Currency

Swap Tenor

EUR

The duration of time from the effective date to the maturity date. A contract can have a Tenor from

28 days to up to 51 years.

Ticker

Effective Date

Reportable

Levels

Unadjusted date at which obligations under the swap come into effect.

Notational Schedule

EUR SWAP vs [Reference Rate Term Value] [Swap Tenor or Maturity]

Maturity/Expiration Date

Constant

Unadjusted date at which the obligations under the swap stop being effective.

Speculative

Limits

Final Contractual Settlement Date Expiration Date

Quoting Convention

As set forth in CFTC Regulation 15.03

Payment Lag

Fixed rate

 Fixed Leg: 0 days

 Floating Leg: 0 days

Reference Rate Index

Settlement Method Financially Settled

Minimum Increment

EUR-EURIBOR

EUR-EURIBOR-Reuters

Settlement Procedure

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

As determined by Clearing House or Bilateral

*Certain EUR

RULE 1303. EUR-EURIBOR Fixed-to-Floating swap contracts are subject to “made

available to trade” determinations and must be traded as set forth in Rule 522. For the full list of

terms of MAT swap contracts, please see the current list of “Swaps Made Available to Trade” at

http://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm.

Settlement Currency EUR

Minimum Size

“Made Available to Trade”

Determination

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

See https://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm > Products > Swaps Made

Available to Trade

Reference Rate Index Term Value

Mandatory Clearing Determination

As set forth in Part 150 of the CFTC Regulations

See https://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm > Products > Swaps Made

Available to Trade

Trading Conventions

1, 3, 6, 12 months

Trading Hours

 Pay Fixed, Receive Float. 

 Receive Fixed, Pay Float.

00:01 -24:00 Sunday-Friday (Eastern Time)

Contract Overview

Clearing House Chicago Mercantile Exchange, Inc.; LCH.Clearnet Ltd; Eurex Clearing Aktiengesellschaft

Trade Start Types

Block Size

 Spot: A new swap where the Effective Date is T+2 from the trade date.

 Non-Spot: Any date where the Effective Date is a date other than the spot date.

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

Fixed Rate

Speculative Limits

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.

As set forth in Part 150 of the CFTC Regulations

Fixing Offset

Par; Custom Coupon

Reportable Levels

0 to 10 days

As set forth in CFTC Regulation 15.03
136

FloatingReference

Rate Index

Quoting Convention

Minimum Increment

FedUSD-Federal Funds -OIS Compound

USD-Federal Funds-H.15-OIS-COMPOUND

As agreed by counterparties

Fixed rate

Ticker

Minimum Increment  CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

Reference Rate Term

Value

USD SWAP OISVS [Reference Rate Term Value] [Swap Tenor or Maturity]

OIS FWD 1ST FED

OIS FWD 2ND FED

Minimum Size

1 day

As agreed by counterparties

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

Contract Overview

Trading Conventions Buy = 

 Pay Fixed, Receive Float.

Sell = 

 Receive Fixed, Pay Float.

Fixed Rate

Trade Start Types

Par; Custom Coupon

 Spot: A new swap where the Effective Date is T+2 from the trade date.

 Non-Spot: Any date where the Effective Date is a date other than the spot date.

Currency

Fixing Offset

Interest Rate Swap. 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.

0 to 10 days

Notational Currency

USD

SwapPayment

Conventions

USD

RULE 1308. USD OIS FedFederal Funds OIS Compound Fixed-to-Floating

Swap Contract

Notational Schedule

Fixed Leg 

 Payment Frequency: Quarterly, Semi-annual, Annual

 Day Count Conventions: ACT/360, Act/365, 30/360

 Business Calendar: New York

 Business Day Conventions: Modified Following

Floating Leg 

 Payment/Resets: Quarterly, Annual

 Day Count Conventions: ACT/360 

 Business Calendar: New York

 Fixing Calendar: New York

Constant

Fixed Leg

 Payment: Quarterly, Semi-annual, Annual

 Day Count Conventions: ACT/360, Act/365,

30/360

 Holiday Calendar: New York

 Business Day Conventions: Modified Following

Floating Leg

 Payment/Resets : Quarterly, Annual

 Day Count Conventions: ACT/360

 Holiday Calendar: New York

 Fixing Calendar: New York

 Business Day Conventions: Modified

Following
137

The duration of time from the effective date to the maturity date. A contract can have a Tenor from 1

week7 days to up to 5051 years.

Settlement Procedure

Final Contractual

Settlement Date

As determined by the Clearing House or Bilateral

Expiration Date

Settlement Currency USD

 Business Day Conventions: Modified Following

“Made Available to

Trade” Determination

Periodic Settlement:

Payment and

ResetsLag

None

Effective Date

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. 

 Fixed Leg: 0 days, or the same number of days as the Floating Leg

 Floating Leg: 2 to 5 days

Mandatory Clearing

Determination

None

TheUnadjusted date onat which parties begin calculating accrued obligations such as fixed and floating

interest rate payments. Also known as the start date ofunder the swap come into effect.

Trading Hours

Settlement Method

00:01 -24:00 Sunday-Friday Eastern Time

Financially Settled

Clearing House Chicago Mercantile Exchange, Inc.,; LCH.Clearnet Ltd..; Eurex Clearing Aktiengesellschaft or Bilateral

Block Size

First Fixing Date

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

Maturity /Expiration

Date

The first Fed Funds Fixing Date is 2 New York business days prior to the Effective Date.

Speculative Limits

Swap Tenor

As set in Part 150 of the CFTC Regulations

The finalUnadjusted date onat which the obligations no longer accrue and the final payment

occursunder the swap stop being effective.

Reportable Levels

Trade Start Types

As set in CFTC Regulation 15.03

Spot:

 A new swap where the Effective Date is T+2 from the trade date.

Non-Spot:

 Any date where the effective date is a date other than the spot date.
139

As agreed by the counterparties

Spread

Contract Overview

Minimum Increment  CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

Reference Rate 2 Term

Value

Minimum Size

1 day

As agreed by the counterparties

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

Reference Rate 1 Index

Trading Conventions

Interest Rate Swap. An agreement to exchange a stream of cash flows by applying two floating interest rates to

a specified notional over a term to maturity.

 Buy = Pay Spread

 Sell = Receive Spread

Fixed Rate

USD-SOFR-OIS Compound

USD-SOFR-COMPOUND

Trade Start Types

Par; Custom Coupon

 Spot: A new swap where the Effective Date is T+2 from the trade date.

 Non-Spot: Any date where the Effective Date is a date other than the spot date.

RULE 1315. USD Basis Swap Contract

Fixing Offset 0 to 10 days

Notational Currency

SwapPayment

Conventions

USD

SOFR Floating Leg

 Payment/Resets Frequency: Monthly, Quarterly, Semi-annual, Annual, At Maturity

 Day Count Conventions: ACT/360, or as agreed by the counterparties

 HolidayBusiness Calendar: England, USNew York, or as agreed by the counterparties

 Fixing Calendar: USGS US Government Securities

 Business Day Conventions: Modified Following

Fed Funds Floating Leg

 Payment/Resets: Monthly, Quarterly, Semi-annual, Annual, At Maturity

 Day Count Conventions: ACT/360, or as agreed by the counterparties

 HolidayBusiness Calendar: USNew York, or as agreed by the counterparties

 Fixing Calendar: US New York

 Business Day Conventions: Modified Following

Reference Rate 2 Index

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenorTenor from

287 days to up to 5051 years.

Notational Schedule

USD-Federal Funds-OIS Compound

USD-Federal Funds-H.15-OIS-COMPOUND

Effective Date

Constant

TheUnadjusted date onat which parties begin calculating accrued obligations such as fixed and floating

interest rate payments (i.e., the start date ofunder the swap) come into effect.

Ticker

Maturity/Expiration

Date

The finalUnadjusted date onat which the obligations no longer accrue and the final payment occursunder

the swap stop being effective.

Floating Rate Index

Final Contractual

Settlement Date

SOFR

Fed Funds

Expiration Date

Reference Rate 1 Term

Value

Periodic Settlement:

Payment and

ResetsLag

USD SWAP [floating rate 1] V [floating rate 2] [tenor]Reference Rate Index 1] V [Reference Rate Index 2]

[Swap Tenor or 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 (Reference Rate 1): 0-5 days 

 Floating Leg: (Reference Rate 2): 2 days

Quoting Convention and

Minimum Increment

1 day
140

Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Mandatory Clearing

Determination

None

Trading Hours

Settlement Procedure

00:01-24:00 Sunday-Friday Eastern Time

First Fixing Date

As determined by the Clearing House or Bilateral

Clearing House

Settlement Method

 SOFR v Fed Funds:

Chicago Mercantile Exchange, Inc.,; LCH.Clearnet Ltd.,; Eurex Clearing Aktiengesellschaft or Bilateral



 The first Fixing Date will equal the effective date of the swap.

Block Size

Settlement Currency

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

USD

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Financially Settled

Reportable Levels

“Made Available to

Trade” Determination

As set forth in CFTC Regulation 15.03

Trade Start Types

None
142

Ticker

Minimum Increment  CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

Reference Rate Term

Value

SEK SWAP VS 3M [Trade Start Type] [tenor]Reference Rate Term Value] [Swap Tenor or Maturity Date]

Minimum Size

3 months

As agreed by counterparties

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

Contract Overview

Trading Conventions Buy = 

 Pay Fixed, Receive Float.

Sell = 

 Receive Fixed, Pay Float.

Fixed Rate

Trade Start Types

Par; Custom Coupon

 Spot: A new swap where the Effective Date is T+2 from the trade date.

 Non-Spot: Any date where the Effective Date is a date other than the spot date.

Currency

Fixing Offset

Interest Rate Swap. 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.

0 to 10 days

Notional Currency

SEK

SwapPayment

Conventions

SEK

RULE 1317. SEK STIBOR (3M)SIDE Fixed-to-Floating Swap Contract

Notional Schedule

Fixed Leg 

 Payment Frequency: Quarterly, Semi-Annual, Annual

 Day Count Conventions: 30/360, ACT/360, ACT/365

 Business Calendar: Stockholm

 Business Day Conventions: Modified Following

Floating Leg 

 Payment/Resets: Quarterly, Semi-Annual

 Day Count Conventions: ACT/360 

 Business Calendar: Stockholm

 Fixing Calendar: Stockholm

 Business Day Conventions: Modified Following

Constant

Swap Tenor

FloatingReference Rate

Index

The duration of time from the effective date to the maturity date. A contract can have a Tenor from 28 days to

as long as 1531 years.

Effective Date

Quoting Convention and

Minimum Increment

TheUnadjusted date onat which parties begin calculating accrued obligations such as fixed and floating

STIBOR

SEK-STIBOR

SEK-STIBOR-SIDE

As agreed by counterpartiesFixed rate

Fixed Leg

 Payment: Quarterly, Semi-Annual, Annual

 Day Count Conventions: 30/360, ACT/360,

ACT/365

 Holiday Calendar: Stockholm

 Business Day Conventions: Modified Following

Floating Leg

 Payment/Resets : Quarterly, Semi-Annual

 Day Count Conventions: ACT/360

 Holiday Calendar: Stockholm

 Fixing Calendar: Stockholm

 Business Day Conventions: Modified

Following
143

Maturity/Expiration

Date

 Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment

Frequency, Day Count Convention and Fixed Interest Rate.0 days

 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.0 days

Settlement Currency SEK

The finalUnadjusted date onat which the obligations no longer accrue and the final payment occursunder

the swap stop being effective.

“Made Available to

Trade” Determination

Settlement Method

None

Financially Settled

Mandatory Clearing

Determination

None

interest rate payments. Also known as the start date ofunder the swap come into effect.

Trading Hours

First Fixing Date

00:01 -24:00 Sunday-Friday Eastern Time

Final Contractual

Settlement Date

The first STIBOR Fixing Date is 2 Stockholm business days prior to the Effective Date.

Clearing House Chicago Mercantile Exchange, Inc.,; LCH.Clearnet Ltd. or Bilateral

Expiration Date

Block Size

Trade Start Types

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

Spot:

 A new swap where the Effective Date is T+2 from the trade date.

Non-Spot:

 Any date where the effective date is a date other than the spot date.

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels

Settlement Procedure

As set in CFTC Regulation 15.03

Periodic Settlement:

Payment and

ResetsLag

As determined by the Clearing House or an agreement between the counterpartiesBilateral
144

Trading Conventions  Pay Fixed, Receive Float.

 Receive Fixed, Pay Float.

Fixed Rate

Trade Start Types

Par; Custom Coupon; the then-current rates for Market Agreed Coupon (“MAC”)

 Spot: A new swap where the Effective Date is T+2 from the trade date.

 Non-Spot: Any date where the Effective Date is a date other than the spot date.

Currency

Fixing Offset

Interest Rate Swap. 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.

0 to 10 days

Notational Currency

USD

SwapPayment

Conventions

USD

Fixed Leg

 Payment Frequency: Monthly, Quarterly, Monthly, Semi-Annual, Annual

 Day Count Conventions: ACT/360, ACT/365.FIXED, ACT/ACT.ISDA, 30/360

 Business Calendars: New York/USNY; selected other calendars supported by a clearing house

 Business Day Conventions: Modified Following, Following, Preceding, None

Floating Leg

 Payment/Resets: Monthly, Quarterly, Monthly, Semi-Annual, Annual, At Maturity

 Day Count Conventions: ACT/360

 Business Calendar: New York/USNY; selected calendars supported by a clearing house

 Fixing Calendars: U.S Government Securities Business Day

 Business Day Conventions: Modified Following, Following, Preceding, None

RULE 1318.

RULE 1318.A. USD SOFR OIS Compound Fixed-to-Floating Swap Contract

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenorTenor from 7

days to up to 5051 years.

Notional

Effective Date

Fixed Notional/Constant NotionalNotational ScheduleConstant

TheUnadjusted date onat which parties begin calculating accrued obligations, such as fixed and floating

interest rate payments (i.e., the start date of under the swap) come into effect.

Reference Rate Index

Trade Start Types  Spot: A new swap where the Effective Date is T+2 from the trade date.

 Non-Spot: Any date where the Effective Date is a date other than the spot date.

Quoting Convention

SOFR (Secured Overnight Financing Rate)

USD-SOFR-OIS Compound

USD-SOFR-COMPOUND

Fixing offset

Coupon/fixed rate; Upfront fee and coupon/fixedFixed rate

0 to 10 days

Ticker

Maturity/Expiration

Date

The finalUnadjusted date onat which the obligations no longer accrue, and the final payment occursunder

the swap stop being effective.

Minimum Increment

Final Contractual

Settlement Date

 CLOB: $100,000

 Non-Trading Protocols other than CLOB: $0.01

Expiration Date

Reference Rate Term

Value

Periodic Settlement:

Payment and Resets

USD VS SOFR OIS Compound [Swap Tenor or Maturity Date]

USD MACRFR [Effective Date] [Maturity Date]

USD SFR [Payment Frequency] [Effective Month Year] [Maturity Date]

USD SwapSprd SOFR [Swap Tenor]

 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.

 No optionality.

Minimum Size

1 day

Payment Lag

 CLOB: $100,000

 Non-Trading Protocols other than CLOB: $0.01



Fixed Leg: 0 orto 2 days

Floating Leg: 2 days

Contract Overview
145

As determined by the Clearing House or bilateralBilateral

Trading Hours 00:01 – 24:00 Sunday – Friday (Eastern Time)

Clearing VenueHouse

Settlement Currency

Chicago Mercantile Exchange, Inc.; LCH.Clearnet Ltd.; Eurex Clearing Aktiengesellschaft; or Bilateral

Delivery Type

USD

Block Size

Settlement Method

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

Physical

Speculative Limits

“Made Available to

Trade” Determination

As set forth in Part 150 of the CFTC Regulations.

See https://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm > Products > Swaps Made Available to

Trade

Reportable Levels As set forth in CFTC Regulation 15.03.

Financially Settled

Mandatory Clearing

Determination

Settlement Procedure

See https://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm > Products > Swaps Subject to Clearing

requirements
146

Unadjusted date at which obligations under the swap come into effect.

Underlying Swap

Expiration Date

Swaption on Interest Rate Swap. An agreement granting the buyer the right, but not the obligation, to enter into

a Swap listed for trading on BSEF.

Unadjusted date at which the obligations under the swap stop being effective.

Minimum Size

USD SOFR OIS Compound Fixed-to-Floating Swap Contract (Rule 1318.A)

Final Contractual

Settlement Date

As agreed by counterparties.

Unadjusted date by which all transfer of cash or assets should take place and the counterparties should no

longer have any outstanding obligations to each other under that contract.

RULE 1318.B. Option – USD SOFR OIS Compound Fixed-to-Floating

Settlement Method Financially Settled or Delivered. If Delivered, the counterparties must submit the underlying Swap for clearing

to the Clearing House, if required by the Applicable Law.

Option Style

Settlement Procedure

European

Bilateral

Notional Currency

Settlement Currency USD

Option Type

USD

“Made Available to

Trade” Determination

 Call: A payer option gives the buyer of the option the right to enter into a swap where they pay

the fixed leg and receive the floating leg. 

 Put: A receiver option gives the buyer of the option the right to enter into a swap in which they

will receive the fixed leg and pay the floating leg.

None

Ticker

Mandatory Clearing

Determination

None

Valuation Method

Exercise method

Vanilla

The buyer of the option must notify the seller of the option of the buyer’s intent to exercise the option during

business hours on the expiration date of the option and the manner of the exercise: financial or physical

delivery. Notice shall be in the form and manner as agreed by the counterparties.

Quoting Convention

Trading Hours and

Venue

SO-USD SWAP VS SOFR [Underlying Swap Tenor] [Expiration Date] [Option Type] [Strike Price]

00:01 - 24:00 Sunday-Friday; Eastern Time

Strike Price

Premium

Clearing House for the

underlying Swap

Fixed Rate of the underlying Swap.

Chicago Mercantile Exchange, Inc.; LCH.Clearnet Ltd.; Eurex Clearing AG or Bilateral

Contract Overview

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

Option Premium

Currency

Speculative Limits

USD

Same as for the underlying Swap

Minimum Increment

Reportable Levels Same as for the underlying Swap

Effective Date

As agreed by counterparties.
129

Contract Overview

Minimum Size As agreed by counterparties

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

Fixed Rate

Trading Conventions

Par; Custom Coupon

Buy = 

 Pay Fixed, Receive Float.

Sell = 

 Receive Fixed, Pay Float.

Currency

Trade Start Types

Interest Rate Swap. 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.

 Spot: A new swap where the Effective Date is T+0 from the trade date.

 Non-Spot: Any date where the effective date is a date other than the spot date.

Notional Currency

CAD

Fixing Offset

CAD

0 to 10 days

RULE 1327. CAD CDOR CBA (3M) Fixed-to-Floating Swap Contract

SwapPayment

Conventions

Notional Schedule Constant

FloatingReference Rate

Index

Fixed Leg 

 Payment Frequency: Semi-Annual

 Day Count Conventions: ACT/365F

 Business Calendar: Toronto 

 Business Day Conventions: Modified Following

Swap Tenor

Quoting Convention

The duration of time from the effective date to the maturity date. A contract can have a Tenor from 28 days to

as long as 5041 years.

3 Month

CAD-CDOR

CAD-BA-CDOR

Fixed rate

Effective Date

Ticker

TheUnadjusted date onat which parties begin calculating accrued obligations such as fixed and floating

interest rate payments. Also known as the start date ofunder the swap come into effect.

Maturity/Expiration

Date

Minimum Increment

The finalUnadjusted date onat which the obligations no longer accrue and the final payment occursunder

the swap stop being effective.

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

Final Contractual

Settlement Date

Reference Rate Term

Value

Expiration Date

CAD SWAP 3M [Trade Start TypeReference Rate Term Value] [tenor]Swap Tenor or Maturity Date]

Periodic Settlement:

Payment and

ResetsLag

Contract Size

 Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment

Frequency, Day Count Convention and Fixed Interest Rate.0 days

3 Months

As agreed by counterparties

FixedFloating Leg

 Payment:/Resets: Quarterly, Semi-Annual

 Day Count Conventions: ACT/365F

 HolidayBusiness Calendar: Canada Toronto

 Business Day Conventions: Modified

Following



Floating Leg

 Payment/Resets: Quarterly,

Semi-Annual

 Day Count Conventions: ACT/365F

 Holiday Calendar: Canada

 Business Day Conventions:

Modified Following
130

“Made Available to

Trade” Determination

None

Mandatory Clearing

Determination

Trade Start Types

None

Settlement Method

Spot:

 A new swap where the Effective Date is T+0 from the trade date.

Non-Spot:

 Any date where the effective date is a date other than the spot date.

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time

Financially Settled

Clearing House

Settlement Procedure

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

As determined by the Clearing House or an agreement between the counterpartiesBilateral

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

 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. 0 days

Speculative Limits

Settlement Currency

As set forth in Part 150 of the CFTC Regulations

First CDOR Fixing Date

CAD

Reportable Levels As set forth in CFTC Regulation 15.03

The first CDOR Fixing Date is equal to the Effective Date.
131

Contract Overview

Contract Size As agreed by counterparties

Reference Rate Term

Value

Minimum Size

28 days

As agreed by counterparties

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

Currency

Trading Conventions

Interest Rate Swap. 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.

Buy = 

 Pay Fixed, Receive Float.

Sell =

Receive Fixed, Pay Float.

Fixed Rate

MXN

Trade Start Types

Par; Custom Coupon

 Spot: A new swap where the Effective Date is T+1 from the trade date.

 Non-Spot: Any date where the effective date is a date other than the spot date.

RULE 1328. Interest Rate MXN TIIE (28D)Banxico Fixed-Toto-Floating

Swap Contract

Fixing Offset 0 to 10 days

Notional Currency

Payment Conventions

MXN

Fixed Leg

 Payment Frequency: 28 Days

 Day Count Conventions: ACT/360

 Business Calendar: Mexico

 Business Day Conventions: Modified Following

Floating Leg

 Payment/Resets: 28 Days

 Day Count Conventions: ACT/360

 Business Calendar: Mexico

 Business Day Conventions: Modified Following

FloatingReference Rate

Index

Swap Conventions

Notional Schedule

28 Days Interbank Equilibrium Interest Rate (Tasa de Interes Interbancaria de Equilibrio)

Constant

Ticker

Swap Tenor

Quoting Convention

The duration of time from the effective date to the maturity date. A contract can have a Tenor from 3

months28 days to as long as 260 months21 years.

Fixed rate

Effective Date

Reference Rate Index

TheUnadjusted date onat which parties begin calculating accrued obligations such as fixed and floating

interest rate payments. Also known as the start date ofunder the swap come into effect.

MXN SWAP vs.VS 28D [tenorReference Rate Term Value] [Swap Tenor or Maturity Date]

Maturity/Expiration

Date

Minimum Increment

The finalUnadjusted date onat which the obligations no longer accrue and the final payment occursunder

the swap stop being effective.

MXN-TIIE

MXN-TIIE-Banxico

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

Fixed Leg

 Payment: 28 Days

 Day Count Conventions: ACT/360

 Holiday Calendar: Mexico

 Business Day Conventions: Modified

Following

Floating Leg

 Payment/Resets: 28 Days

 Day Count Conventions: ACT/360

 Holiday Calendar: Mexico

 Business Day Conventions: Modified

Following
132

“Made Available to

Trade” Determination

First TIIE Fixing Date

None

Periodic Settlement:

Payment and

ResetsLag

The first Mexican Interbank Fixing Date is one Mexican business day prior to the Effective Date.

Mandatory Clearing

Determination

Final Contractual

Settlement Date

None

 Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment

Frequency, Day Count Convention and Fixed Interest Rate.0 days

 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. 0 days

Trading Hours

Trade Start Types

00:01 -24:00 Sunday-Friday Eastern Time

Spot:

 A new swap where the Effective Date is T+1 from the trade date.

Clearing House Chicago Mercantile Exchange, Inc

Expiration Date

Block Size

Settlement Procedure

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

Settlement Method

As determined by the Clearing House or Bilateral

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Financially Settled

Reportable Levels

Settlement Currency

As set forth in CFTC Regulation 15.03

MXN
134

Currency

AUD OIS SWAP [Trade Start TypeReference Rate Term Value] [Swap Tenor or Maturity Date]

Minimum Increment

AUD

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

Contract Overview

Contract Size As agreed by counterparties

Floating Rate Index

Minimum Size

RBACOR (Interbank Overnight Cash Rate)

As agreed by counterparties

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

Reference Rate Index

Trading Conventions

Interest Rate Swap. 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.

Buy = 

 Pay Fixed, Receive Float.

Sell = 

 Receive Fixed, Pay Float.

Fixed Rate

AUD-AONIA-OIS Compound

AUD-AONIA-OIS-COMPOUND

Trade Start Types

Par; Custom Coupon

 Spot: A new swap where the Effective Date is T+1 from the trade date.

 Non-Spot: Any date where the effective date is a date other than the spot date.

RULE 1331. AUD AONIA OIS RBACORCompound Fixed-to-Floating

Swap Contract

Fixing Offset 0 to 10 days

Notional Currency

Payment Conventions

AUD

Fixed Leg

 Payment Frequency: Annual

 Day Count Conventions: ACT/365

 Business Calendar: Sydney

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

Floating Leg

 Payment/Resets: Annual

 Day Count Conventions: ACT/365

 Business Calendar: Sydney

 Fixing Calendar: Sydney

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

Reference Rate Term

Value

Swap Conventions

Notional Schedule

1 day

Constant

Ticker

Swap Tenor

Quoting Convention

The duration of time from the effective date to the maturity date. A contract can have a Tenor from 1 month to 30

Fixed rate

Fixed Leg

 Payment: Annual

 Day Count Conventions: ACT/365

 Holiday Calendar: Australia

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

Floating Leg

 Payment/Resets : Annual

 Day Count Conventions: ACT/365

 Holiday Calendar: Australia

 Fixing Calendar: Australia

 Business Day Conventions: Modified Following with adjustment to period end

dates
135

Settlement Procedure As determined by the Clearing VenueHouse or Bilateral

TheUnadjusted date onat which parties begin calculating accrued obligations such as fixed and floating

interest rate payments. Also known as the start date ofunder the swap come into effect.

Settlement Currency

Periodic Settlement:

Payment and

ResetsLag

AUD

 Fixed Leg: The payment amount0 days, or the same number of days as the FixedFloating 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. 2 to 5 days

“Made Available to

Trade” Determination

None

years.

Mandatory Clearing

Determination

Settlement Method

None

Maturity/Expiration

Date

Financially Settled

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time

The finalUnadjusted date onat which the obligations no longer accrue and the final payment occursunder the

swap stop being effective.

Clearing House

First Fixing Date

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

The first AONIA Fixing Date is equal to the effective date of the swap.

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

Speculative Limits

Trade Start Types

As set in Part 150 of the CFTC Regulations

Final Contractual

Settlement Date

Spot:

 A new swap where the Effective Date is T+1 from the trade date.

Non Spot

 Any date other than the effective date.

Reportable Levels

Effective Date

As set in CFTC Regulation 15.03

Expiration Date
137

Ticker

Minimum Increment  CLOB: GBP $100,000

 Non-Trading Protocols other than CLOB: GBP $0.01

Reference Rate Term

Value

GBP SWAP vsVS SON Compound[Reference Rate Term Value] [Swap Tenor or Maturity Date]

Minimum Size

1 day

 CLOB: GBP $100,000

 Non-Trading Protocols other than CLOB: GBP $0.01

Contract Overview

Trading Conventions  Pay Fixed, Receive Float.

 Receive Fixed, Pay Float.

Fixed Rate

Trade Start Types

Par; Custom coupon; the then-current rates for Market Agreed Coupon (“MAC”)

 Spot: A new swap where the Effective Date is T+0 from the trade date.

 Non-Spot: Any date where the Effective Date is a date other than the spot date.

Currency

Fixing Offset

Interest Rate Swap. 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.

0 to 10 days

Notional Currency

GBP

SwapPayment

Conventions

GBP

RULE 1333. GBP OIS SONIA OIS Compound Fixed-to-Floating Swap

Contract

Notional

Fixed Leg 

 Payment Frequency: Monthly, Quarterly, Semi-Annual, Annual 

 Day Count Conventions: ACT/360, ACT/365.FIXED, ACT/ACT.ISDA, 30/360

 Business Calendars: London/GBLO; selected other calendars supported by a clearing house

 Business Day Conventions: Modified Following, Following, Preceding, None

Floating Leg 

 Payment/Resets: Monthly, Quarterly, Semi-Annual, Annual

 Day Count Conventions: ACT/365.FIXED

 Business Calendar: London/GBLO; selected other calendars supported by a clearing house

 Fixing Calendar: London/GBLO

 Business Day Conventions: Modified Following, Following, Preceding, None

Fixed Notional/Constant Notional ScheduleConstant

Swap Tenor

Reference Rate Index

The duration of time from the effective date to the maturity date. A contract can have a Tenor from 7 days to up to

5051 years.

Effective Date

Quoting Convention

TheUnadjusted date onat which parties begin calculating accrued obligations, such as fixed and floating

interest rate payments (i.e., the start date of under the swap) come into effect.

SONIA

GBP-SONIA-OIS Compound

GBP-SONIA-COMPOUND

Coupon/fixed rate; Upfront fee and coupon/fixedFixed rate

Fixed Leg

 Payment: Monthly, Quarterly, Semi-Annual, Annual

 Day Count Conventions: ACT/360, ACT/365.FIXED, ACT/ACT.ISDA, 30/360

 Business Calendars: London/GBLO; selected other calendars supported by a clearing

house

 Business Day Conventions: Modified Following, Following, Preceding, None

Floating Leg

 Payment/Resets: Monthly, Quarterly, Semi-Annual, Annual

 Day Count Conventions: ACT/365.FIXED

 Business Calendar: London/GBLO; selected other calendars supported by a clearing

house

 Fixing Calendar: London/GBLO

 Business Day Conventions: Modified Following, Following, Preceding, None
138

Settlement Procedure

Trade Start Types

As determined by the Clearing House or Bilateral

0 to 10 days

Settlement Currency

Periodic Settlement:

Payment and Resets

GBP

 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.

 No optionality.

“Made Available to

Trade” Determination

See https://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm > Products > Swaps Made Available to

Trade

 Spot: A new swap where the Effective Date is T+0 from the trade date.

 Non Spot: Any date other than the effective date.

Mandatory Clearing

Determination

Payment Lag

See https://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm > Products > Swaps Subject to Clearing

requirements

Maturity/Expiration

Date

 Fixed Leg: 0 days, or the same number of days as the Floating Leg.

 Floating Leg: 0 to 5 days

Trading Hours 00:01 – 24:00 Sunday – Friday Eastern Time

The finalUnadjusted date onat which the obligations no longer accrue, and the final payment occursunder

the swap come into effect.

Clearing House

Settlement Method

Chicago Mercantile Exchange, Inc.; LCH.Clearnet Ltd.; Eurex Clearing Aktiengesellschaft; or Bilateral

Financially Settled

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

Speculative Limits

Delivery Type

As set in Part 150 of the CFTC Regulations.

Final Contractual

Settlement Date

Physical

Reportable Levels

Fixing offset

As set in CFTC Regulation 15.03.

RULE 1334. [Reserved]

Expiration Date
139

Trading Conventions

Par; customCustom couponCoupon

Buy = 

 Pay Fixed, Receive Float

Sell =.

 Receive Fixed, Pay Float.

Currency

Trade Start Types

Interest Rate Swap. 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.

 Spot: A new swap where the Effective Date is T+2 from the trade date.

 Non-Spot: Any date where the Effective Date is a date other than the spot date.

Notational Currency

NOK

Fixing Offset

NOK

0 to 10 days

RULE 1335. NOK NIBOR Fixed-to-Floating Swap Contract

SwapPayment

Conventions

Fixed Leg

 o Payment Frequency: Annual

 o Day Count Conventions: 30/360

 o HolidayBusiness Calendar: NorwayOslo

 o Business Day Conventions: Modified Following

Floating Leg

 o Payment/Resets: Semi-Annual/ Semi-Annual

 o Day Count Conventions: ACT/360

 o HolidayBusiness Calendar: NorwayOslo

 o Business Day Conventions: Modified Following

Notional Schedule

Swap Tenor

Constant

The duration of time from the effective date to the maturity date. A contract can have a tenorTenor from 28

days to up to 5031 years.

FloatingReference Rate

Index

Effective Date TheUnadjusted date onat which parties begin calculating accrued obligations such as fixed and floating

interest rate payments (i.e., the start date ofunder the swap) come into effect.

Quoting Convention and

Minimum Increment

NIBOR

NOK-NIBOR

NOK-NIBOR-OIBOR

Maturity/Expiration

Date

As agreed by the counterparties Fixed rate

The finalUnadjusted date onat which the obligations no longer accrue and the final payment occursunder

the swap stop being effective.

Ticker

Final Contractual

Settlement Date

Expiration Date

Minimum Increment

Periodic Settlement:

Payment and

ResetsLag

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

 Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment

Frequency, Day Count Convention and Fixed Interest Rate.0 days

 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. 0 days

FloatingReference Rate

Index MaturityTerm

Value

Settlement Method

NOK SWAP vsVS [Floating IndexReference Rate Term Value] [Swap Tenor or Maturity Date]

Financially Settled

Contract Size

3, 6 months

First Fixing Date

As agreed by the counterparties

The first NIBOR Fixing Date is two Norwegian business days prior to the Effective Date of the swap.

Contract Overview

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Minimum Size

Settlement Procedure

As agreed by the counterparties

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

As determined by the Clearing House or an agreement between the counterpartiesBilateral

Fixed Rate
140

Settlement Currency

None

Clearing House Chicago Mercantile Exchange, Inc.,; LCH.Clearnet Ltd. or Bilateral

NOK

Block Size

Mandatory Clearing

Determination

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

None

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels

Trading Hours

As set forth in CFTC Regulation 15.03

“Made Available to

Trade” Determination

00:01-24:00 Sunday-Friday (Eastern Time)
141

Trading Conventions

Par; custom coupon Custom Coupon

Buy = 

 Pay Fixed, Receive Float

Sell =.

 Receive Fixed, Pay Float.

Currency

Trade Start Types

Interest Rate Swap. 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.

 Spot: A new swap where the Effective Date is T+2 from the trade date.

 Non-Spot: Any date where the Effective Date is a date other than the spot date.

Notional Currency

DKK

Fixing Offset

DKK

0 to 10 days

RULE 1336. DKK CIBOR2 Fixed-to-Floating Swap Contract

SwapPayment

Conventions

Fixed Leg

 o Payment Frequency: Annual

 o Day Count Conventions: 30/360

 o HolidayBusiness Calendar: DenmarkCopenhagen

 o Business Day Conventions: Modified Following

Floating Leg

 o Payment/Resets: Semi-Annual/Semi-Annual

 o Day Count Conventions: ACT/360

 o HolidayBusiness Calendar: DenmarkCopenhagen

 o Business Day Conventions: Modified Following

Notional Schedule

Swap Tenor

Constant

The duration of time from the effective date to the maturity date. A contract can have a tenorTenor from 28

days to up to 5031 years.

FloatingReference Rate

Index

Effective Date TheUnadjusted date onat which parties begin calculating accrued obligations such as fixed and floating

interest rate payments (i.e., the start date ofunder the swap) come into effect.

Quoting Convention and

Minimum Increment

CIBOR

DKK-CIBOR2

DKK-CIBOR2-DKNA13

Maturity/Expiration

Date

As agreed by the counterpartiesFixed rate

The finalUnadjusted date onat which the obligations no longer accrue and the final payment occursunder

the swap stop being effective.

Ticker

Final Contractual

Settlement Date

Expiration Date

Minimum Increment

Periodic Settlement

Payment and

ResetsLag

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

 Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment

Frequency, Day Count Convention and Fixed Interest Rate.0 days

 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. 0 days

FloatingReference Rate

Index MaturityTerm

Value

Settlement Method

DKK SWAP vsVS [Floating IndexReference Rate Term Value] [Swap Tenor or Maturity Date]

Financially Settled

Contract Size

3, 6 months

First Fixing Date

As agreed by the counterparties

The first CIBOR Fixing Date is two Danish business days prior to the Effective Date of the swap.

Contract Overview

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Minimum Size

Settlement Procedure

As agreed by the counterparties

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

As determined by the Clearing House or an agreement between the counterpartiesBilateral

Fixed Rate
142

Settlement Currency

None

Clearing House Chicago Mercantile Exchange, Inc.,; LCH.Clearnet Ltd. or Bilateral

DKK

Block Size

Mandatory Clearing

Determination

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

None

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels

Trading Hours

As set forth in CFTC Regulation 15.03

“Made Available to

Trade” Determination

00:01-24:00 Sunday-Friday (Eastern Time)
143

Trading Conventions

Par; customCustom Coupon

Buy = 

 Pay Fixed, Receive Float

Sell =.

 Receive Fixed, Pay Float.

Currency

Trade Start Types

Interest Rate Swap. 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.

 Spot: A new swap where the Effective Date is T+2 from the trade date.

 Non-Spot: Any date where the Effective Date is a date other than the spot date.

Notational Currency

HKD

Fixing Offset

HKD

0 to 10 days

RULE 1337. HKD HIBOR Fixed-to-Floating Swap Contract

SwapPayment

Conventions

Fixed Leg

 o Payment Frequency: Quarterly

 o Day Count Conventions: ACT/365

 o HolidayBusiness Calendar: Hong Kong

 o Business Day Conventions: Modified Following

Floating Leg

 o Payment/Resets: Quarterly/ Quarterly

 o Day Count Conventions: ACT/365

 o HolidayBusiness Calendar: Hong Kong

 o Business Day Conventions: Modified Following

Notional Schedule

Swap Tenor

Constant

The duration of time from the effective date to the maturity date. A contract can have a tenorTenor from 28

days to up to 5015.5 years.

FloatingReference Rate

Index

Effective Date TheUnadjusted date onat which parties begin calculating accrued obligations such as fixed and floating

interest rate payments (i.e., the start date ofunder the swap) come into effect.

Quoting Convention and

Minimum Increment

HIBOR

HKD-HIBOR

HKD-HIBOR-HKAB

Maturity/Expiration

Date

As agreed by the counterparties Fixed rate

The finalUnadjusted date onat which the obligations no longer accrue and the final payment occursunder

the swap stop being effective.

Ticker

Final Contractual

Settlement Date

Expiration Date

Minimum Increment

Periodic Settlement

Payment and

ResetsLag

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

 Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment

Frequency, Day Count Convention and Fixed Interest Rate.0 days

 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. 0 days

FloatingReference Rate

Index MaturityTerm

Value

Settlement Method

HKD SWAP vsVS [Floating IndexReference Rate Term Value] [Swap Tenor or Maturity Date]

Financially Settled

Contract Size

3 months

First Fixing Date

As agreed by the counterparties

The first HIBOR Fixing Date is equal to the Effective Date of the swap.

Contract Overview

Trade Start Types Spot: A new swap where the Effective Date is T+0 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Minimum Size

Settlement Procedure

As agreed by the counterparties

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

As determined by the Clearing House or an agreement between the counterpartiesBilateral

Fixed Rate
144

Settlement Currency

None

Clearing Venue Chicago Mercantile Exchange, Inc.,; LCH.Clearnet Ltd. or Bilateral

HKD

Block Size

Mandatory Clearing

Determination

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

None

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels

Trading Hours

As set forth in CFTC Regulation 15.03

“Made Available to

Trade” Determination

00:01-24:00 Sunday-Friday (Eastern Time)
145

Trading Conventions

Par; customCustom couponCoupon

Buy = 

 Pay Fixed, Receive Float

Sell =.

 Receive Fixed, Pay Float.

Currency

Trade Start Types

Interest Rate Swap. 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.

 Spot: A new swap where the Effective Date is T+2 from the trade date.

 Non-Spot: Any date where the Effective Date is a date other than the spot date.

Notational Currency

PLN

Fixing Offset

PLN

0 to 10 days

RULE 1338. PLN WIBOR Fixed-to-Floating Swap Contract

SwapPayment

Conventions

Fixed Leg

 o Payment Frequency: Annual

 o Day Count Conventions: ACT/ACT

 o HolidayBusiness Calendar: PolandWarsaw

 o Business Day Conventions: Modified Following

Floating Leg

 o Payment/Resets: Semi-Annual/Semi-Annual

 o Day Count Conventions: ACT/365

 o HolidayBusiness Calendar: PolandWarsaw

 o Business Day Conventions: Modified Following

Notional Schedule

Swap Tenor

Constant

The duration of time from the effective date to the maturity date. A contract can have a tenorTenor from 28

days to up to 5016 years.

FloatingReference Rate

Index

Effective Date TheUnadjusted date onat which parties begin calculating accrued obligations such as fixed and floating

interest rate payments (i.e., the start date ofunder the swap) come into effect.

Quoting Convention and

Minimum Increment

WIBOR

PLN-WIBOR

PLN-WIBOR-WIBO

Maturity/Expiration

Date

As agreed by the counterparties

The finalUnadjusted date onat which the obligations no longer accrue and the final payment occursunder

the swap stop being effective.

Ticker

Final Contractual

Settlement Date

Expiration Date

Minimum Increment

Periodic Settlement

Payment and

ResetsLag

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

 Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment

Frequency, Day Count Convention and Fixed Interest Rate.0 days

 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. 0 days

FloatingReference Rate

Index MaturityTerm

Value

Settlement Method

PLN SWAP vsVS [Floating IndexReference Rate Term Value] [Swap Tenor or Maturity Date]

Financially Settled

Contract Size

6 months

First Fixing Date

As agreed by the counterparties

The first WIBOR Fixing Date is two Polish business days prior to the Effective Date of the swap.

Contract Overview

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Minimum Size

Settlement Procedure

As agreed by the counterparties

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

As determined by the Clearing House or an agreement between the counterpartiesBilateral

Fixed Rate
146

Settlement Currency

None

Clearing House Chicago Mercantile Exchange, Inc.,; LCH.Clearnet Ltd. or Bilateral

PLN

Block Size

Mandatory Clearing

Determination

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

None

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels

Trading Hours

As set forth in CFTC Regulation 15.03

“Made Available to

Trade” Determination

00:01-24:00 Sunday-Friday (Eastern Time)
147

Trading Conventions

Par; custom coupon Custom Coupon

Buy = 

 Pay Fixed, Receive Float

Sell =.

 Receive Fixed, Pay Float.

Currency

Trade Start Types

Interest Rate Swap. 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.

 Spot: A new swap where the Effective Date is T+0 from the trade date.

 Non-Spot: Any date where the Effective Date is a date other than the spot date.

Notational Currency

ZAR

Fixing Offset

ZAR

0 to 10 days

RULE 1339. ZAR JIBAR Fixed-to-Floating Swap Contract

SwapPayment

Conventions

Fixed Leg

 o Payment: Quarterly

 o Day Count Conventions: ACT/365

 o Holiday Calendar: South AfricaJohannesburg

 o Business Day Conventions: Modified Following

Floating Leg

 o Payment/Resets: Quarterly/Quarterly

 o Day Count Conventions: ACT/365

 o Holiday Calendar: South AfricaJohannesburg

 o Business Day Conventions: Modified Following

Notional Schedule

Swap Tenor

Constant

The duration of time from the effective date to the maturity date. A contract can have a tenorTenor from 28

days to up to 5031 years.

FloatingReference Rate

Index

Effective Date TheUnadjusted date onat which parties begin calculating accrued obligations such as fixed and floating

interest rate payments (i.e., the start date ofunder the swap) come into effect.

Quoting Convention and

Minimum Increment

JIBAR

ZAR-JIBAR

ZAR-JIBAR-SAFEX

Maturity/Expiration

Date

As agreed by the counterparties

The finalUnadjusted date onat which the obligations no longer accrue and the final payment occursunder

the swap stop being effective.

Ticker

Final Contractual

Settlement Date

Expiration Date

Minimum Increment

Periodic Settlement

Payment and

ResetsLag

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

 Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment

Frequency, Day Count Convention and Fixed Interest Rate.0 days

 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. 0 days

FloatingReference Rate

Index MaturityTerm

Value

Settlement Method

ZAR SWAP vsVS [Floating IndexReference Rate Term Value] [Swap Tenor or Maturity Date]

Financially Settled

Contract Size

3 months

First Fixing Date

As agreed by the counterparties

The first JIBAR Fixing Date is equal to the Effective Date of the swap.

Contract Overview

Trade Start Types Spot: A new swap where the Effective Date is T+0 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Minimum Size

Settlement Procedure

As agreed by the counterparties

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

As determined by the Clearing House or an agreement between the counterpartiesBilateral

Fixed Rate
148

Settlement Currency

None

Clearing House Chicago Mercantile Exchange, Inc.,; LCH.Clearnet Ltd. or Bilateral

ZAR

Block Size

Mandatory Clearing

Determination

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

None

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels

Trading Hours

As set forth in CFTC Regulation 15.03

“Made Available to

Trade” Determination

00:01-24:00 Sunday-Friday (Eastern Time)
150

Trading Conventions

Par; custom coupon Custom Coupon

Buy = 

 Pay Fixed, Receive Float

Sell =.

 Receive Fixed, Pay Float.

Currency

Trade Start Types

Interest Rate Swap. 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.

 Spot: A new swap where the Effective Date is T+2 from the trade date.

 Non-Spot: Any date where the Effective Date is a date other than the spot date.

Notional Currency

HUF

Fixing Offset

HUF

0 to 10 days

RULE 1341. HUF BUBOR Fixed-to-Floating Swap Contract

SwapPayment

Conventions

Fixed Leg

 o Payment Frequency: Annual

 o Day Count Conventions: ACT/365

 o HolidayBusiness Calendar: HungaryBudapest

 o Business Day Conventions: Modified Following

Floating Leg

 o Payment/Resets: Semi-Annual/Semi-Annual

 o Day Count Conventions: ACT/360

 o HolidayBusiness Calendar: HungaryBudapest

 o Business Day Conventions: Modified Following

Notional Schedule

Swap Tenor

Constant

The duration of time from the effective date to the maturity date. A contract can have a tenorTenor from 28

days to up to 5021 years.

FloatingReference Rate

Index

Effective Date TheUnadjusted date onat which parties begin calculating accrued obligations such as fixed and floating

interest rate payments (i.e., the start date ofunder the swap) come into effect.

Quoting Convention and

Minimum Increment

BUBOR

HUF-BUBOR

HUF-BUBOR-Reuters

Maturity/Expiration

Date

As agreed by the counterparties

The finalUnadjusted date onat which the obligations no longer accrue and the final payment occursunder

the swap stop being effective.

Ticker

Final Contractual

Settlement Date

Expiration Date

Minimum Increment

Periodic Settlement:

Payment and

ResetsLag

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

 Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment

Frequency, Day Count Convention and Fixed Interest Rate.0 days

 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. 0 days

FloatingReference Rate

Index MaturityTerm

Value

Settlement Method

HUF SWAP vsVS [Floating IndexReference Rate Term Value] [Swap Tenor or Maturity Date]

Financially Settled

Contract Size

6 months

First Fixing Date

As agreed by the counterparties

The first BUBOR Fixing Date is two Hungarian business days prior to the Effective Date of the swap.

Contract Overview

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Minimum Size

Settlement Procedure

As agreed by the counterparties

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

As determined by the Clearing House or an agreement between the counterpartiesBilateral

Fixed Rate
151

Settlement Currency

None

Clearing House Chicago Mercantile Exchange, Inc.,; LCH.Clearnet Ltd. or Bilateral

HUF

Block Size

Mandatory Clearing

Determination

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

None

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels

Trading Hours

As set forth in CFTC Regulation 15.03

“Made Available to

Trade” Determination

00:01-24:00 Sunday-Friday (Eastern Time)
152

As agreed by the counterparties

FloatingReference Rate

Index MaturityTerm

Value

Minimum Size

3 months

As agreed by the counterparties

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

Reference Rate Index

Trading Conventions

Interest Rate Swap. 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.

Buy = 

 Pay Fixed, Receive Float

Sell =.

 Receive Fixed, Pay Float.

Fixed Rate

KRW-CD 91D

KRW-CD-KSDA-Bloomberg

Trade Start Types

Par; customCustom couponCoupon

 Spot: A new swap where the Effective Date is T+1 from the trade date.

 Non-Spot: Any date where the Effective Date is a date other than the spot date.

RULE 1342. KRW South Korean Won 3 Month Certificate of DepositCD

91D Fixed-to-Floating Swap Contract

Fixing Offset 0 to 10 days

Notional Currency

SwapPayment

Conventions

KRW

Fixed Leg

 Payment Frequency: Quarterly

 Day Count Conventions: ACT/365

 HolidayBusiness Calendar: South KoreaSeoul/New York

 Business Day Conventions: Modified Following

Floating Leg

 Payment/Resets: Quarterly/Quarterly

 Day Count Conventions: ACT/365

 HolidayBusiness Calendar: South Korea Seoul/New York

 Business Day Conventions: Modified Following

Currency

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenorTenor from 28

days to up to 5021 years.

Notional Schedule

KRW

Effective Date

Constant

TheUnadjusted date onat which parties begin calculating accrued obligations such as fixed and floating

interest rate payments (i.e., the start date ofunder the swap) come into effect.

Ticker

Maturity/Expiration

Date

The finalUnadjusted date onat which the obligations no longer accrue and the final payment occursunder

the swap stop being effective.

Quoting Convention and

Minimum Increment

Final Contractual

Settlement Date

As agreed by the counterparties

Expiration Date

Floating Rate Index

Periodic Settlement

Payment and

ResetsLag

KRW SWAP vsVS [Floating IndexReference Rate Term Value] [Swap Tenor or Maturity Date]

 Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment

Frequency, Day Count Convention and Fixed Interest Rate.0 days

 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. 0 days

Minimum Increment

South Korean Won 3 Month Certificate of Deposit

Settlement Method

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

Financially Settled

Contract Overview

First Fixing Date The first South Korean Won 3 Month Certificate of Deposit Fixing Date is one South Korean business day

Contract Size
153

Mandatory Clearing

Determination

Settlement Procedure

None

As determined by the Clearing House or an agreement between the counterpartiesBilateral

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time)

Clearing House

Settlement Currency

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

Trade Start Types

USD

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

Spot: A new swap where the Effective Date is T+1 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Speculative Limits

“Made Available to

Trade” Determination

As set forth in Part 150 of the CFTC Regulations

None

Reportable Levels As set forth in CFTC Regulation 15.03

prior to the Effective Date.
154

Trading Conventions

Par; custom coupon Custom Coupon

Buy = 

 Pay Fixed, Receive Float

Sell =.

 Receive Fixed, Pay Float.

Currency

Trade Start Types

Interest Rate Swap. 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.

 Spot: A new swap where the Effective Date is T+2 from the trade date.

 Non-Spot: Any date where the Effective Date is a date other than the spot date.

Notational Currency

CZK

Fixing Offset

CZK

0 to 10 days

RULE 1343. CZK PRIBOR Fixed-to-Floating Swap Contract

SwapPayment

Conventions

Fixed Leg

 o Payment Frequency: Annual

 o Day Count Conventions: ACT/360

 o HolidayBusiness Calendar: Czech RepublicPrague

 o Business Day Conventions: Modified Following

Floating Leg

 o Payment/Resets: Semi-Annual/ Semi-Annual

 o Day Count Conventions: ACT/360

 o HolidayBusiness Calendar: Czech RepublicPrague

 o Business Day Conventions: Modified Following

Notional Schedule

Swap Tenor

Constant

The duration of time from the effective date to the maturity date. A contract can have a tenorTenor from 28

days to up to 5016 years.

FloatingReference Rate

Index

Effective Date TheUnadjusted date onat which parties begin calculating accrued obligations such as fixed and floating

interest rate payments (i.e., the start date ofunder the swap) come into effect.

Quoting Convention and

Minimum Increment

PRIBOR

CZK-PRIBOR

CZK-PRIBOR-PRBO

Maturity/Expiration

Date

As agreed by the counterparties

The finalUnadjusted date onat which the obligations no longer accrue and the final payment occursunder

the swap stop being effective.

Ticker

Final Contractual

Settlement Date

Expiration Date

Minimum Increment

Periodic Settlement:

Payment and

ResetsLag

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

 Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment

Frequency, Day Count Convention and Fixed Interest Rate.0 days

 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. 0 days

FloatingReference Rate

Index MaturityTerm

Value

Settlement Method

CZK SWAP vsVS [Floating IndexReference Rate Term Value] [Swap Tenor or Maturity Date]]

Financially Settled

Contract Size

6 months

First Fixing Date

As agreed by the counterparties

The first PRIBOR Fixing Date is two Czech business days prior to the Effective Date of the swap.

Contract Overview

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Minimum Size

Settlement Procedure

As agreed by the counterparties

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

As determined by the Clearing House or an agreement between the counterpartiesBilateral

Fixed Rate
155

Settlement Currency

None

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd. or Bilateral

CZK

Block Size

Mandatory Clearing

Determination

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

None

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels

Trading Hours

As set forth in CFTC Regulation 15.03

“Made Available to

Trade” Determination

00:01-24:00 Sunday-Friday (Eastern Time)
156

Trading Conventions

Par; customCustom couponCoupon

Buy = 

 Pay Fixed, Receive Float

Sell =.

 Receive Fixed, Pay Float.

Currency

Trade Start Types

Interest Rate Swap. 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.

 Spot: A new swap where the Effective Date is T+2 from the trade date.

 Non-Spot: Any date where the Effective Date is a date other than the spot date.

Notational Currency

CLP

Fixing Offset

CLP

0 days

RULE 1344. CLP Indice Cámara Promedio RateICP Fixed-to-Floating

Swap Contract

SwapPayment

Conventions

Fixed Leg

 o Payment Frequency: Semi-Annual

 o Day Count Conventions: ACT/360

 o HolidayBusiness Calendar: ChileSantiago

 o Business Day Conventions: Modified Following

Floating Leg

 o Payment/Resets: Semi-Annual/Semi-Annual

 o Day Count Conventions: ACT/360

 o HolidayBusiness Calendar: ChileSantiago

 o Business Day Conventions: Modified Following

Notional Schedule

Swap Tenor

Constant

The duration of time from the effective date to the maturity date. A contract can have a tenorTenor from 28

days to up to 5015.5 years.

FloatingReference Rate

Index

Effective Date TheUnadjusted date onat which parties begin calculating accrued obligations such as fixed and floating

interest rate payments (i.e., the start date ofunder the swap) come into effect.

Quoting Convention and

Minimum Increment

Indice Cámara Promedio Rate

CLP-ICP

CLP-TNA

Maturity/Expiration Date

As agreed by the counterparties Fixed rate

The finalUnadjusted date onat which the obligations no longer accrue and the final payment occursunder

the swap stop being effective.

Ticker

Final Contractual

Settlement Date

Expiration Date

Minimum Increment

Periodic Settlement:

Payment and ResetsLag

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

 Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment

Frequency, Day Count Convention and Fixed Interest Rate.0 days

 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. 0 days

FloatingReference Rate

Index MaturityTerm

Value

Settlement Method

CLP SWAP vsVS [Floating IndexReference Rate Term Value] [Swap Tenor or Maturity Date]

Financially Settled

Contract Size

1 day

First Fixing Date

As agreed by the counterparties

The first Indice Cámara Promedio Rate Fixing Date is equal to the Effective Date of the swap.

Contract Overview

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Minimum Size

Settlement Procedure

As agreed by the counterparties

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

As determined by the Clearing House or an agreement between the counterpartiesBilateral

Fixed Rate
157

Settlement Currency

None

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd. or Bilateral

USD

Block Size

Mandatory Clearing

Determination

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

None

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels

Trading Hours

As set forth in CFTC Regulation 15.03

“Made Available to

Trade” Determination

00:01 -24:00 Sunday-Friday (Eastern Time)
158

Trading Conventions

Par; customCustom couponCoupon

Buy = 

 Pay Fixed, Receive Float

Sell =.

 Receive Fixed, Pay Float.

Currency

Trade Start Types

Interest Rate Swap. 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.

 Spot: A new swap where the Effective Date is T+0 from the trade date.

 Non-Spot: Any date where the Effective Date is a date other than the spot date.

Notational Currency

MYR

Fixing Offset

MYR

0 to 10 days

RULE 1345. MYR KLIBOR Fixed-to-Floating Swap Contract

SwapPayment

Conventions

Fixed Leg

 o Payment Frequency: Quarterly

 o Day Count Conventions: ACT/365

 o HolidayBusiness Calendar: MalaysiaKuala Lumpur/New York

 o Business Day Conventions: Modified Following

Floating Leg

 o Payment/Resets: Quarterly/Quarterly

 o Day Count Conventions: ACT/365

 o HolidayBusiness Calendar: MalaysiaKuala Lumpur/New York

 o Business Day Conventions: Modified Following

Notional Schedule

Swap Tenor

Constant

The duration of time from the effective date to the maturity date. A contract can have a tenorTenor from 28

days to up to 50 years.

FloatingReference Rate

Index

Effective Date TheUnadjusted date onat which parties begin calculating accrued obligations such as fixed and floating

interest rate payments (i.e., the start date ofunder the swap) come into effect.

Quoting Convention and

Minimum Increment

KLIBOR

MYR-KLIBOR

MYR-KLIBOR-BNM

Maturity/Expiration

Date

As agreed by the counterparties Fixed rate

The finalUnadjusted date onat which the obligations no longer accrue and the final payment occursunder

the swap stop being effective.

Ticker

Final Contractual

Settlement Date

Expiration Date

Minimum Increment

Periodic Settlement

Payment and

ResetsLag

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

 Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment

Frequency, Day Count Convention and Fixed Interest Rate.0 to 2 days

 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. 2 days

FloatingReference Rate

Index MaturityTerm

Value

Settlement Method

MYR SWAP vsVS [Floating IndexReference Rate Term Value] [Swap Tenor or Maturity Date]

Financially Settled

Contract Size

3 months

First Fixing Date

As agreed by the counterparties

The first KLIBOR Fixing Date is equal to the Effective Date of the swap.

Contract Overview

Trade Start Types Spot: A new swap where the Effective Date is T+0 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Minimum Size

Settlement Procedure

As agreed by the counterparties

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

As determined by the Clearing House or an agreement between the counterpartiesBilateral

Fixed Rate
159

Settlement Currency

None

Clearing House Bilateral

USD

Block Size

Mandatory Clearing

Determination

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

None

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels

Trading Hours

As set forth in CFTC Regulation 15.03

“Made Available to

Trade” Determination

00:01 -24:00 Sunday-Friday (Eastern Time)
160

Buy = 

 Pay Fixed, Receive Float

Sell =.

 Receive Fixed, Pay Float.

Currency

Trade Start Types

Interest Rate Swap. 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.

 Spot: A new swap where the Effective Date is T+2 from the trade date.

 Non-Spot: Any date where the Effective Date is a date other than the spot date.

Notational Currency

TWD

Fixing Offset

TWD

0 to 10 days

RULE 1346. TWD TAIBOR Fixed-to-Floating Swap Contract

SwapPayment

Conventions

Fixed Leg

 o Payment Frequency: Quarterly

 o Day Count Conventions: ACT/365

 o HolidayBusiness Calendar: TaiwanTaipei/New York

 o Business Day Conventions: Modified Following

Floating Leg

 o Payment/Resets: Quarterly/Quarterly

 o Day Count Conventions: ACT/365

 o HolidayBusiness Calendar: TaiwanTaipei/New York

 o Business Day Conventions: Modified Following

Notional Schedule

Swap Tenor

Constant

The duration of time from the effective date to the maturity date. A contract can have a tenorTenor from 28

days to up to 5011 years.

FloatingReference Rate

Index

Effective Date TheUnadjusted date onat which parties begin calculating accrued obligations such as fixed and floating

interest rate payments (i.e., the start date ofunder the swap) come into effect.

Quoting Convention and

Minimum Increment

TAIBOR

TWD-TAIBOR

TWD-TAIBOR-Reuters

Maturity/Expiration

Date

As agreed by the counterparties Fixed rate

The finalUnadjusted date onat which the obligations no longer accrue and the final payment occursunder

the swap stop being effective.

Ticker

Final Contractual

Settlement Date

Expiration Date

Minimum Increment

Periodic Settlement:

Payment and

ResetsLag

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

 Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment

Frequency, Day Count Convention and Fixed Interest Rate.0 days

 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. 0 days

FloatingReference Rate

Index MaturityTerm

Value

Settlement Method

TWD SWAP vsVS [Floating IndexReference Rate Term Value] [Swap Tenor or Maturity Date]

Financially Settled

Contract Size

3 months

First Fixing Date

As agreed by the counterparties

The first TAIBOR Fixing Date is two Taiwan business days prior to the Effective Date of the swap.

Contract Overview

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Minimum Size

Settlement Procedure

As agreed by the counterparties

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

As determined by the Clearing House or an agreement between the counterpartiesBilateral

Fixed Rate

Settlement Currency USD

Trading Conventions

Par; customCustom couponCoupon
161

Clearing House

Mandatory Clearing

Determination

LCH.Clearnet Ltd. or Bilateral

“Made Available to

Trade” Determination

None

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

None

Speculative Limits

Trading Hours

As set forth in Part 150 of the CFTC Regulations

00:01 -24:00 Sunday-Friday (Eastern Time)

Reportable Levels As set forth in CFTC Regulation 15.03
162

Minimum Size As agreed by the counterparties

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

Fixed Rate

Trading Conventions

Par; customCustom couponCoupon

Buy = 

 Pay Fixed, Receive Float

Sell =.

 Receive Fixed, Pay Float.

Currency

Trade Start Types

Interest Rate Swap. 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.

 Spot: A new swap where the Effective Date is T+1 from the trade date.

 Non-Spot: Any date where the Effective Date is a date other than the spot date.

Notational Currency

INR

Fixing Offset

INR

0 days

RULE 1347. INR OIS FBIL MIBOR OIS Compound Fixed-to-Floating

Swap Contract

SwapPayment

Conventions

Fixed Leg

 Payment Frequency: Annual

 Day Count Conventions: ACT/365

 HolidayBusiness Calendar: IndiaMumbai/New York

 Business Day Conventions: Modified Following

Floating Leg

 Payment/Resets: Annual/Daily

 Day Count Conventions: ACT/365

 HolidayBusiness Calendar: IndiaMumbai/New York

 Business Day Conventions: Modified Following

Notional Schedule

Swap Tenor

Constant

The duration of time from the effective date to the maturity date. A contract can have a tenorTenor from 28

days to up to 5011 years.

FloatingReference Rate

Index

Effective Date TheUnadjusted date onat which parties begin calculating accrued obligations such as fixed and floating

interest rate payments (i.e., the start date ofunder the swap) come into effect.

Quoting Convention and

Minimum Increment

INR-MIBOR-OIS Compound

INR-FBIL Overnight -MIBOR-OIS-COMPOUND

Maturity/Expiration

Date

As agreed by the counterpartiesFixed rate

The finalUnadjusted date onat which the obligations no longer accrue and the final payment occursunder

the swap stop being effective.

Ticker

Final Contractual

Settlement Date

Expiration Date

Minimum Increment

Periodic Settlement

Payment and

ResetsLag

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

 Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment

Frequency, Day Count Convention and Fixed Interest Rate.0 days

 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. 0 days

FloatingReference Rate

Index MaturityTerm

Value

Settlement Method

INR SWAP vsVS [Floating Index Maturity]

Financially Settled

Contract Size

1 day

First Fixing Date

As agreed by the counterparties

The first FBIL Overnight MIBOR Fixing Date is equal to the Effective Date of the swap.

Contract Overview
163

Spot: A new swap where the Effective Date is T+1 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Trading Hours

Settlement Currency

00:01 -24:00 Sunday-Friday (Eastern Time)

USD

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd. or Bilateral

Block Size

“Made Available to

Trade” Determination

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

Settlement Procedure

None

Speculative Limits

Trade Start Types

As set forth in Part 150 of the CFTC Regulations

As determined by the Clearing House or an agreement between the counterpartiesBilateral

Reportable Levels

Mandatory Clearing

Determination

As set forth in CFTC Regulation 15.03

None
164

As agreed by the counterparties

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

Fixed Rate

Trading Conventions

Par; customCustom couponCoupon

Buy = 

 Pay Fixed, Receive Float

Sell =.

 Receive Fixed, Pay Float.

Currency

Trade Start Types

Interest Rate Swap. 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.

 Spot: A new swap where the Effective Date is T+0 from the trade date.

 Non-Spot: Any date where the Effective Date is a date other than the spot date.

Notational Currency

BRL

Fixing Offset

BRL

0 days

RULE 1348. BRL Brazilian Interfinancial Offered Rate (1D)CDI Zero Coupon

Fixed-to-Floating Swap Contract

SwapPayment

Conventions

Fixed Leg

 Payment Frequency: At Maturity

 Day Count Conventions: DU/252

 HolidayBusiness Calendar: Brazil/New York

 Business Day Conventions: Following

Floating Leg

 Payment/Resets: At maturity/daily

 Day Count Conventions: DU/252

 HolidayBusiness Calendar: Brazil/New York

 Business Day Conventions: Following

Notional Schedule

Swap Tenor

Constant

The duration of time from the effective date to the maturity date. A contract can have a tenorTenor from 28

days to up to 5011 years.

FloatingReference Rate

Index

Effective Date TheUnadjusted date onat which parties begin calculating accrued obligations such as fixed and floating

interest rate payments (i.e., the start date ofunder the swap) come into effect.

Quoting Convention and

Minimum Increment

Brazilian Interfinancial Offered Rate (DI Rate)BRL-CDI

Maturity/Expiration

Date

As agreed by the counterpartiesFixed rate

The finalUnadjusted date onat which the obligations no longer accrue and the final payment occursunder

the swap stop being effective.

Ticker

Final Contractual

Settlement Date

Expiration Date

Minimum Increment

Periodic Settlement

Payment and

ResetsLag

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

 Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment

Frequency, Day Count Convention and Fixed Interest Rate.1 day

 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. 1 day

FloatingReference Rate

Index MaturityTerm

Value

Settlement Method

BRL SWAP vsVS [Floating IndexReference Rate Term Value] [Swap Tenor or Maturity Date]

Financially Settled

Contract Size

1 day

First Fixing Date

As agreed by the counterparties

The first Brazilian Interfinancial Offered Rate Fixing Date is equal to the Effective Date of the swap.

Contract Overview

Trade Start Types Spot: A new swap where the Effective Date is T+0 from the trade date.

Minimum Size
165

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Trading Hours

Settlement Currency

00:01 -24:00 Sunday-Friday (Eastern Time)

USD

Clearing House Chicago Mercantile Exchange, Inc. or Bilateral

Block Size

“Made Available to

Trade” Determination

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

Settlement Procedure

None

Speculative Limits As set forth in Part 150 of the CFTC Regulations

As determined by the Clearing House or an agreement between the counterpartiesBilateral

Reportable Levels

Mandatory Clearing

Determination

As set forth in CFTC Regulation 15.03

None
167

Trading Conventions

Par; customCustom couponCoupon

Buy = 

 Pay Fixed, Receive Float

Sell =.

 Receive Fixed, Pay Float.

Currency

Trade Start Types

Interest Rate Swap. 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.

 Spot: A new swap where the Effective Date is T+1 from the trade date.

 Non-Spot: Any date where the Effective Date is a date other than the spot date.

Notational Currency

CNY

Fixing Offset

CNY

1 day

RULE 1350. CNY China Fixing Repo (7D) Rate Fixed-to-Floating Swap

Contract

SwapPayment

Conventions

Fixed Leg

 o Payment Frequency: Weekly, Monthly, Quarterly, Semi-Annually, Annually

 o Day Count Conventions: ACT/365, or as otherwise agreed by the counterparties

 o HolidayBusiness Calendar: China InterbankBeijing/New York

 o Business Day Conventions: Modified Following

Floating Leg

 o Payment/Resets: Weekly, Monthly, Quarterly, Semi-Annually, Annually

 o Day Count Conventions: ACT/365, or as otherwise agreed by the counterparties

 o HolidayBusiness Calendar: China InterbankBeijing/New York

 o Business Day Conventions: Modified Following

Notional Schedule

Swap Tenor

Constant

The duration of time from the effective date to the maturity date. A contract can have a tenorTenor from 28

days to up to 505.5 years.

FloatingReference Rate

Index

Effective Date TheUnadjusted date onat which parties begin calculating accrued obligations such as fixed and floating

interest rate payments (i.e., the start date ofunder the swap) come into effect.

Quoting Convention and

Minimum Increment

China CNY-Fixing Repo (7D) Rate

CNY-CNREPOFIX=CFXS-Reuters

Maturity/Expiration

Date

As agreed by the counterparties Fixed rate

The finalUnadjusted date onat which the obligations no longer accrue and the final payment occursunder

the swap stop being effective.

Ticker

Final Contractual

Settlement Date

Expiration Date

Minimum Increment

Periodic Settlement

Payment and

ResetsLag

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

 Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment

Frequency, Day Count Convention and Fixed Interest Rate.0 days

 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. 0 days

FloatingReference Rate

Index MaturityTerm

Value

Settlement Method

CNY SWAP vsVS [Floating IndexReference Rate Term Value] [Swap Tenor or Maturity Date]

CNY NDS [Reference Rate Term Value] [Effective Date] [Swap Tenor or Maturity Date]

Financially Settled

Contract Size

7 days

First Fixing Date

As agreed by the counterparties

The first China Fixing Repo (7D) Rate Fixing Date is one business day prior to the Effective Date of the swap.

Contract Overview

Trade Start Types Spot: A new swap where the Effective Date is T+1 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Minimum Size

Settlement Procedure

As agreed by the counterparties

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

As determined by the Clearing House or an agreement between the counterpartiesBilateral

Fixed Rate
168

Settlement Currency

None

Clearing House Chicago Mercantile Exchange, Inc.,; LCH.Clearnet Ltd. or Bilateral

USD

Block Size

Mandatory Clearing

Determination

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

None

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels

Trading Hours

As set forth in CFTC Regulation 15.03

“Made Available to

Trade” Determination

00:01 -24:00 Sunday-Friday (Eastern Time)
169

Interest Rate Swap. 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.

Minimum Size As agreed by the counterparties

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

NZD

Reference Rate Index

Term Value

Trading Conventions

RULE 1351. NZD BKBM FRA Fixed-to-Floating Swap Contract

Buy = 

 Pay Fixed, Receive Float

Sell =.

 Receive Fixed, Pay Float.

3 months

Trade Start Types  Spot: A new swap where the Effective Date is T+2 from the trade date.

 Non-Spot: Any date where the Effective Date is a date other than the spot date.

Fixed Rate

Fixing Offset

Floating Rate Index

0 to 10 days

Par; customCustom couponCoupon

SwapPayment

Conventions

Fixed Leg

 Payment Frequency: Monthly, Quarterly, Semi-Annual, Annual, At Maturity

 Day Count Conventions: ACT/365.FIXED or as agreed by the counterparties.

 HolidayBusiness Calendars: Auckland, Wellington

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

Floating Leg

 Payment/Resets : Quarterly

 Day Count Conventions: ACT/365.FIXED, or as agreed by the counterparties

 HolidayBusiness Calendars: Auckland, Wellington

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

Bank Bill Benchmark Rate (BKBM)

Notational Currency

Swap Tenor

Ticker

The duration of time from the effective date to the maturity date. A contract can have a tenorTenor from 28 days to

up to 5016 years.

NZD

Effective Date TheUnadjusted date onat which parties begin calculating accrued obligations such as fixed and floating interest

rate payments (i.e., the start date ofunder the swap) come into effect.

Notional Schedule

Maturity/Expiration

Date

Ticker

The finalUnadjusted date onat which the obligations no longer accrue and the final payment occursunder the

swap stop being effective.

Constant

NZD [Tenor] Swap

Final Contractual

Settlement Date

Expiration Date

FloatingNZD [Reference Rate IndexTerm Value] [Swap

Tenor or Maturity Date] SWAP

Quoting Convention and

Minimum Increment

Periodic Settlement

Payment and

ResetsLag

Contract Overview

 Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency,

Day Count Convention and Fixed Interest Rate.0 days

 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. 0 days

As agreed by the counterparties Fixed rate

3 months

Settlement Method Financially Settled

Minimum Increment

First Fixing Date The first BKBM Fixing Date is equal to the trade date of the swap.

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Reference Rate Index

Contract Size

Settlement Procedure

Currency

As determined by the Clearing House or an agreement between the counterpartiesBilateral

As agreed by the counterparties

NZD-BKBM FRA

NZD-BBR-FRA
170

Settlement Currency

None

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd. or Bilateral

NZD

Block Size

Mandatory Clearing

Determination

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

None

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels

Trading Hours

As set forth in CFTC Regulation 15.03

“Made Available to

Trade” Determination

00:01-24:00 Sunday-Friday (Eastern Time)
171

Trading Conventions

Par; customCustom couponCoupon

Buy = 

 Pay Fixed, Receive Float

Sell =.

 Receive Fixed, Pay Float.

Currency

Trade Start Types

Interest Rate Swap. 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.

 Spot: A new swap where the Effective Date is T+2 from the trade date.

 Non-Spot: Any date where the Effective Date is a date other than the spot date.

Notational Currency

CHF

Fixing Offset

CHF

0 to 10 days

RULE 1352. CHF SARON OIS Compound Fixed-to-Floating Swap Contract

SwapPayment

Conventions

Fixed Leg

 Payment Frequency: Annual, at Maturity

 Day Count Conventions: ACT/360 or as agreed by the counterparties.

 HolidayBusiness Calendar: SwitzerlandZurich

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

Floating Leg

 Payment/Resets: Annual, at Maturity

 Day Count Conventions: ACT/360 or as agreed by the counterparties

 HolidayBusiness Calendar: SwitzerlandZurich

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

Notional Schedule

Swap Tenor

Constant

The duration of time from the effective date to the maturity date. A contract can have a tenorTenor from 7 days to up

to 5031 years.

FloatingReference Rate

Index

Effective Date TheUnadjusted date onat which parties begin calculating accrued obligations such as fixed and floating interest

rate payments (i.e., the start date ofunder the swap) come into effect.

Quoting Convention and

Minimum Increment

Swiss Average Rate Overnight

CHF-SARON-OIS Compound

CHF-SARON-OIS-COMPOUND

Maturity/Expiration

Date

As agreed by the counterparties Fixed rate

The finalUnadjusted date onat which the obligations no longer accrue and the final payment occursunder the

swap stop being effective.

Ticker

Final Contractual

Settlement Date

Expiration Date

Minimum Increment

Periodic Settlement

Payment and

ResetsLag

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

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. 

 Fixed Leg: 0 days, or the same number of days as the Floating Leg

 Floating Leg: 2 to 5 days

FloatingReference Rate

Index MaturityTerm

Value

Settlement Method

CHF SWAP OIS [Tenor]

CHF SWAP VS SARON [Maturity Date]

CHF SWAP VS SRN [Tenor]

CHF SRN [Payment Frequency] [Effective Date] [Maturity Date]

Financially Settled

Contract Size

1 day

First Fixing Date

As agreed by the counterparties

The first SARON Fixing Date is equal to the effective date of the swap.

Contract Overview

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Minimum Size

Settlement Procedure

As agreed by the counterparties

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

As determined by the Clearing House or an agreement between the counterpartiesBilateral

Fixed Rate
172

Settlement Currency

None

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft or Bilateral

CHF

Block Size

Mandatory Clearing

Determination

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

None

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels

Trading Hours

As set forth in CFTC Regulation 15.03

“Made Available to

Trade” Determination

00:01-24:00 Sunday-Friday (Eastern Time)
173

Trading Conventions

Par; Custom coupon; the then-current rates for Market Agreed Coupon (“MAC”)

Buy = 

 Pay Fixed, Receive Float.

Sell = 

 Receive Fixed, Pay Float.

Currency

Trade Start Types

Interest Rate Swap. 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.

 Spot: A new swap where the Effective Date is T+2 from the trade date.

 Non-Spot: Any date where the Effective Date is a date other than the spot date.

Notational Currency

EUR

Fixing Offset

EUR

0 to 10 days

RULE 1353. EUR €STREuroSTR OIS Compound Fixed-to-Floating Swap

Contract

SwapPayment

Conventions

Fixed Leg

 Payment Frequency: Annual

 Day Count Conventions: ACT/360 or as agreed by the counterparties.

 HolidayBusiness Calendars: Target

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

Floating Leg

 Payment/Resets: Daily, Annual

 Day Count Conventions: ACT/360, or as agreed by the counterparties

 HolidayBusiness Calendars: Target

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

Notional Schedule

Swap Tenor

Constant

The duration of time from the effective date to the maturity date. A contract can have a tenorTenor from 7

days to up to 70 years.

FloatingReference Rate

Index

Effective Date TheUnadjusted date onat which parties begin calculating accrued obligations such as fixed and floating

interest rate payments (i.e., the start date ofunder the swap) come into effect.

Quoting Convention

€STR

EUR-EuroSTR-OIS Compound

EUR-EuroSTR-COMPOUND

Maturity/Expiration

Date

Fixed rate

The finalUnadjusted date onat which the obligations no longer accrue and the final payment occursunder

the swap stop being effective.

Ticker

Final Contractual

Settlement Date

Expiration Date

Minimum Increment

Periodic Settlement:

Payment and

ResetsLag

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

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. 

 Fixed Leg: 0 days, or the same number of days as the Floating Leg

 Floating Leg: 1 to 5 days

Reference Rate Index

Term Value

Settlement Method

EUR SWAP VS ESTR [Swap (ESTR) [Tenor or Maturity Date]

Financially Settled

Contract Size

1 day

First Fixing Date

As agreed by the counterparties

The first €STR Fixing Date is equal to the effective date of the swap.

Contract Overview

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Minimum Size

Settlement Procedure

As agreed by the counterparties

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

As determined by the Clearing House or Bilateral

Fixed Rate
174

Settlement Currency

None

Clearing Venue Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft or Bilateral

EUR

Block Size

Mandatory Clearing

Determination

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

None

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels

Trading Hours

As set forth in CFTC Regulation 15.03

“Made Available to

Trade” Determination

00:01 -24:00 Sunday-Friday (Eastern Time)
175

Trade Start Types

Interest Rate Swap. 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.

 Spot: A new swap where the Effective Date is T+2 from the trade date.

 Non-Spot: Any date where the Effective Date is a date other than the spot date.

Notational Currency

JPY

Fixing Offset

JPY

0 to 10 days

RULE 1354. JPY TONA OIS TONARCompound Fixed-to-Floating Swap

Contract

SwapPayment

Conventions

Fixed Leg

 Payment Frequency: Annual, Semi-Annual, Quarterly

 Day Count Conventions: ACT/365, ACT/360, 30/360

 HolidayBusiness Calendars: Tokyo

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

Floating Leg

 Payment/Resets: Annual, Semi-Annual, Quarterly

 Day Count Conventions: ACT/365, or as agreed by the counterparties

 HolidayBusiness Calendars: Tokyo

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

Notional Schedule

Swap Tenor

Constant

The duration of time from the effective date to the maturity date. A contract can have a tenorTenor from 7

days to up to 5041 years.

FloatingReference Rate

Index

Effective Date TheUnadjusted date onat which parties begin calculating accrued obligations such as fixed and floating

interest rate payments (i.e., the start date ofunder the swap) come into effect.

Quoting Convention

TONAR

JPY-TONA-OIS Compound

JPY-TONA-OIS-COMPOUND

Maturity/Expiration

Date

Fixed rate

The finalUnadjusted date onat which the obligations no longer accrue and the final payment occursunder

the swap stop being effective.

Ticker

Final Contractual

Settlement Date

Expiration Date

Minimum Increment

Periodic Settlement:

Payment and

ResetsLag

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

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. 

 Fixed Leg: 0 days, or the same number of days as the Floating Leg

 Floating Leg: 2 to 5 days

Reference Rate Index

Term Value

Settlement Method

JPY OIS SWAP [Tenor]

JPY SWAP VS TONAR [Maturity Date]

Financially Settled

Contract Size

1 day

First Fixing Date

As agreed by the counterparties

The first TONAR Fixing Date is equal to the effective date of the swap.

Contract Overview

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Minimum Size

Settlement Procedure

As agreed by the counterparties

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

As determined by the Clearing House or Bilateral

Fixed Rate

Settlement Currency JPY

Trading Conventions

Par,; Custom Coupon

“Made Available to

Buy = 

 Pay Fixed, Receive Float.

Sell = 

 Receive Fixed, Pay Float.

None

Currency
176

Clearing VenueHouse Japan Securities Clearing Corporation, LCH.Clearnet Ltd.; Chicago Mercantile Exchange, Inc.; Eurex Clearing

Aktiengesellschaft or Bilateral

Mandatory Clearing

Determination

Block Size

None

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

Speculative Limits

Trade” Determination

As set forth in Part 150 of the CFTC Regulations

Trading Hours

Reportable Levels

00:01 -24:00 Sunday-Friday (Eastern Time)

As set forth in CFTC Regulation 15.03
178

Trade Start Types

Interest Rate Swap. 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.

 Spot: A new swap where the Effective Date is T+2 from the trade date.

 Non-Spot: Any date where the Effective Date is a date other than the spot date.

Notational Currency

SGD-SORA-OIS Compound

SGD-SORA-COMPOUND

Fixing Offset

SGD

0 to 10 days

RULE 1356. OISSGD SORA OIS Compound Fixed-to-Floating Swap Contract

SwapPayment

Conventions

Fixed Leg

 o Payment Frequency: Monthly, Quarterly, Semi-Annual, Annual

 o Day Count Conventions: ACT/365 or as agreed by the counterparties

 o HolidayBusiness Calendar: Singapore

 o Business Day Conventions: Modified Following

Floating Leg

 o Payment/Resets: Monthly, Quarterly, Semi-Annual, Annual

 o Day Count Conventions: ACT/365 or as agreed by the counterparties

 o HolidayBusiness Calendar: Singapore

 o Business Day Conventions: Modified Following

Notional Schedule

Swap Tenor

Constant

The duration of time from the effective date to the maturity date. A contract can have a tenorTenor from 28

days to up to 5031 years.

Currency

Effective Date TheUnadjusted date onat which parties begin calculating accrued obligations such as fixed and floating

interest rate payments (i.e., the start date ofunder the swap) come into effect.

Quoting Convention and

Minimum Increment

SGD

Maturity/Expiration

Date

As agreed by the counterparties Fixed rate

The finalUnadjusted date onat which the obligations no longer accrue and the final payment occursunder

the swap stop being effective.

Ticker

Final Contractual

Settlement Date

Expiration Date

Minimum Increment

Periodic Settlement:

Payment and

ResetsLag

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

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. 

 Fixed Leg: 0 days, or the same number of days as the Floating Leg

 Floating Leg: 2-5 days

FloatingReference Rate

Index Term Value

Settlement Method

SGD SWAP vsVS SORA [Floating Index MaturitySwap Tenor]

Financially Settled

Contract Size

SORA1 day

First Fixing Date

As agreed by the counterparties

The first SORA Fixing Date is equal to the Effective Date of the swap

Contract Overview

Trade Start Types Spot: A new swap where the Effective Date is T+0 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Minimum Size

Settlement Procedure

As agreed by the counterparties

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

As determined by the Clearing House or an agreement between the counterpartiesBilateral

Fixed Rate

Settlement Currency SGD

Trading Conventions

Par; custom coupon Custom Coupon

“Made Available to

Buy = 

 Pay Fixed, Receive Float

Sell =.

 Receive Fixed, Pay Float.

None

Reference Rate Index
179

Clearing House LCH.Clearnet Ltd. or Bilateral

Mandatory Clearing

Determination

Block Size

None

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

Speculative Limits

Trade” Determination

As set forth in Part 150 of the CFTC Regulations

Trading Hours

Reportable Levels

00:01-24:00 Sunday-Friday (Eastern Time)

As set forth in CFTC Regulation 15.03
180

As agreed by the counterparties

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

Fixed Rate

Trading Conventions

Par; custom coupon Custom Coupon

Buy = 

 Pay Fixed, Receive Float

Sell =.

 Receive Fixed, Pay Float.

Currency

Trade Start Types

Interest Rate Swap. 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.

 Spot: A new swap where the Effective Date is T+1 from the trade date.

 Non-Spot: Any date where the Effective Date is a date other than the spot date.

Notational Currency

CAD

Fixing Offset

CAD

0 to 10 days

RULE 1357. CAD OIS CORRA OIS Compound Fixed-to-Floating Swap

Contract

SwapPayment

Conventions

Fixed Leg

 o Payment Frequency: Monthly, Quarterly, Semi-Annual, Annual

 o Day Count Conventions: ACT/365 or as agreed by the counterparties

 o HolidayBusiness Calendar: CanadaToronto

 o Business Day Conventions: Modified Following

Floating Leg

 o Payment/Resets: Monthly, Quarterly, Semi-Annual, Annual

 o Day Count Conventions: ACT/365 or as agreed by the counterparties

 o HolidayBusiness Calendar: CanadaToronto

 o Business Day Conventions: Modified Following

Notional Schedule

Swap Tenor

Constant

The duration of time from the effective date to the maturity date. A contract can have a tenorTenor from 28

days to up to 5041 years.

FloatingReference Rate

Index

Effective Date TheUnadjusted date onat which parties begin calculating accrued obligations such as fixed and floating

interest rate payments (i.e., the start date ofunder the swap) come into effect.

Quoting Convention and

Minimum Increment

CORRA

CAD-CORRA-OIS Compound

CAD-CORRA-OIS-COMPOUND

Maturity/Expiration

Date

As agreed by the counterparties Fixed rate

The finalUnadjusted date onat which the obligations no longer accrue and the final payment occursunder

the swap stop being effective.

Ticker

Final Contractual

Settlement Date

Expiration Date

Minimum Increment

Payment Lag

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

 Fixed Leg: 0 days, or the same number of days as the Floating Leg

 Floating Leg: 1 to 5 days

Reference Rate Index

Term Value

Periodic Settlement:

Payment and Resets

Method

CAD SWAP vsVS CORRA [Floating IndexReference Rate Term Value] [Swap Tenor or Maturity Date]

CAD SWAP OIS [Reference Rate Term Value] [Swap Tenor or Maturity Date]

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.

Financially Settled

Contract Size

1 day

First Fixing Date

As agreed by the counterparties

The first CORRA Fixing Date is equal to the Effective Date of the swap

Contract Overview

Trade Start Types Spot: A new swap where the Effective Date is T+1 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Minimum Size
181

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

As determined by the Clearing House or an agreement between the counterpartiesBilateral

Clearing House

“Made Available to

Trade” Determination

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

None

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

Speculative Limits

Mandatory Clearing

Determination

As set forth in Part 150 of the CFTC Regulations

Settlement Currency

None

Reportable Levels

Settlement Procedure

As set forth in CFTC Regulation 15.03

CAD
182

Minimum Size As agreed by the counterparties

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

Fixed Rate

Trading Conventions

Par Coupon,; Custom Coupon

Buy = 

 Pay Fixed, Receive Floating

Sell =Float.

 Receive Fixed, Pay FloatingFloat.

Currency

Trade Start Types

Inflation Rate Swap. An agreement to transfer inflation risk from one party to another through an exchange of

cash flows. In a zero -coupon inflation swap, only one payment is due at maturity where one party pays a fixed

rate on a notional principal amount and the other party pays a floating rate linked to an inflation index.

 Spot: A new swap where the Effective Date is T+2 from the trade date.

 Non-Spot: Any date where the Effective Date is a date other than the spot date.

Notational Currency

USD

Inflation Lag

USD

3 to 12 months

RULE 1358. USD U.S.USA CPI Urban Consumers Not Seasonably AdjustedU

Zero Coupon Fixed-to-Floating (Inflation Zero Coupon) Swap

Contract

SwapPayment

Conventions

Fixed Leg

 Payment Frequency: At maturity

 Compounding: Annual

 Day Count Conventions: 1/1

 HolidayBusiness Calendars: Federal Reserve, EnglandNew York, London

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

Inflation Leg

 Payment/Resets: At maturity/At maturity

 Day Count Conventions: 1/1

 HolidayBusiness Calendars: Federal Reserve, EnglandNew York, London

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

Notional Schedule

Swap Tenor

Constant

The duration of time from the effective date to the maturity date. A contract can have a tenorTenor from 1

year to up to 30 years.

FloatingReference Rate

Index

Effective Date TheUnadjusted date onat which parties begin calculating accrued obligations such as fixed rate and

inflation payments (i.e., the start date ofunder the swap) come into effect.

Quoting Convention

U.S. CPI Urban Consumers Not Seasonably Adjusted (CPURNSA)USA-CPI-U

Maturity/Expiration

Date

Fixed rate

The finalUnadjusted date onat which the obligations no longer accrue and the final payment occursunder

the swap stop being effective.

Ticker

Final Contractual

Settlement Date

Expiration Date

Minimum Increment

Periodic Settlement:

Payment and

ResetsLag

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

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

Compounding Frequency, Payment Frequency, Day Count and Fixed Interest Rate.0 days

 Floating Leg: The payment amount of the Inflation Leg is based on the following: Notional,

Payment Frequency, Day Count, Floating Rate Index and Reset Dates.

Payments are settled in accordance with the payment frequency of the swap. 0 days

Reference Rate Index

Term Value

Settlement Method

USD [ZC Inflation] Swap vsSWAP VS CPURNSA [Tenor]

USD [ZC Inflation] Swap vs CPURNSA [Tenor or Maturity Date]

Financially Settled

Contract Size

1 day

First Fixing Date

As agreed by the counterparties

The first CPURNSA Fixing Date is observed 3 months prior to the effective date of the swap.

Contract Overview
183

Spot: A new swap where the Effective Date is 2 business days after trade date.

Non-Spot: Any swap with an Effective Date different to the Effective Date of a Spot Swap.

Trading Hours

Settlement Currency

00:01-24:00 Sunday-Friday (Eastern Time)

USD

Clearing VenueHouse LCH.Clearnet Ltd or Bilateral

Block Size

“Made Available to

Trade” Determination

As set forth in Appendix F to Part 43 of CFTC Regulations.

Settlement Procedure

None

Speculative Limits

Trade Start Types

As set forth in Part 150 of CFTC Regulations

As determined by the Clearing House or Bilateral

Reportable Levels

Mandatory Clearing

Determination

As set forth in CFTC Regulation 15.03

None
184

As agreed by the counterparties

Contract Overview

Minimum Size As agreed by the counterparties

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

Fixed Rate

Trading Conventions

Par Coupon,; Custom Coupon

Buy = 

 Pay Fixed, Receive Floating

Sell =Float.

 Receive Fixed, Pay FloatingFloat.

Currency

Trade Start Types

Inflation Rate Swap. An agreement to transfer inflation risk from one party to another through an exchange of

cash flows. In a zero -coupon inflation swap, only one payment is due at maturity where one party pays a fixed

rate on a notional principal amount and the other party pays a floating rate linked to an inflation index.

 Spot: A new swap where the Effective Date is 15th of the month of the trade date.

 Non-Spot: Any 15th of a month, as long as the Initial Fixing Index is known.

Notational Currency

EUR

Inflation Lag

EUR

3 to 12 months

RULE 1359. EUR Eurostat Eurozone Harmonized Index of Consumer Prices

Excluding TobaccoEXT CPI Zero Coupon Fixed-to-Floating

(Inflation Zero Coupon) Swap Contract

SwapPayment

Conventions

Fixed Leg

 Payment Frequency: At maturity

 Compounding: Annual

 Day Count Conventions: 1/1

 HolidayBusiness Calendars: Target

 Business Day Conventions: Modified Following with adjustment to period end dates.

Inflation Leg

 Payment: At maturity

 Resets: 3 Months before Effective Date and 3 Months before Maturity Date

 Day Count Conventions: 1/1

 HolidayBusiness Calendars: Target

 Business Day Conventions: Modified Following with adjustment to period end dates.

Notional Schedule

Swap Tenor

Constant

The duration of time from the effective date to the maturity date. A contract can have a tenorTenor from 1

year to up to 50 years.

FloatingReference Rate

Index

Effective Date TheUnadjusted date onat which parties begin calculating accrued obligations such as fixed rate and

inflation payments (i.e., the start date ofunder the swap) come into effect.

Quoting Convention

Harmonized Index of Consumer Prices Excluding Tobacco (HICP-EXCL)EUR-EXT-CPI

Maturity/Expiration

Date

Fixed rate

The finalUnadjusted date onat which the obligations no longer accrue and the final payment occursunder

the swap stop being effective.

Ticker

Final Contractual

Settlement Date

Expiration Date

Minimum Increment

Periodic Settlement:

Payment and

ResetsLag

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

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

Compounding Frequency, Payment Frequency, Day Count and Fixed Interest Rate.0 days

 Floating Leg: The payment amount of the Inflation Leg is based on the following: Notional,

Payment Frequency, Day Count, Floating Rate Index and Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.0 days

Reference Rate Index

Term Value

Settlement Method

EUR ZC Inflation Swap vsINFLATION SWAP VS CPTFEMU [tenor]

EUR ZC Inflation Swap vs CPTFEMU [maturity date] Tenor or Maturity Date]

Financially Settled

Contract Size

1 day
185

Mandatory Clearing

Determination

Settlement Procedure

None

As determined by the Clearing House or Bilateral

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Clearing Venue

Settlement Currency

LCH.Clearnet Ltd, Eurex Clearing AG or Bilateral

Trade Start Types

EUR

Block Size

First Fixing Date

As set forth in Appendix F to Part 43 of CFTC Regulations.

Spot: A new swap where the Effective Date is 15th of the month of the trade date.

Non-Spot: Any 15th of a month, as long as the Initial Fixing Index is known.

Speculative Limits

“Made Available to

Trade” Determination

As set forth in Part 150 of CFTC Regulations

None

Reportable Levels As set forth in CFTC Regulation 15.03

The first HICP-EXCL Fixing Date is observed 3 months prior to the effective date of the swap.
186

Minimum Size As agreed by the counterparties

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

Fixed Rate

Trading Conventions

Par Coupon,; Custom Coupon

Buy = 

 Pay Fixed, Receive Floating

Sell =Float.

 Receive Fixed, Pay FloatingFloat.

Currency

Trade Start Types

Inflation Rate Swap. An agreement to transfer inflation risk from one party to another through an exchange of

cash flows. In a zero -coupon inflation swap, only one payment is due at maturity where one party pays a fixed

rate on a notional principal amount and the other party pays a floating rate linked to an inflation index.

 Spot: A new swap where the Effective Date is 15th of the month of the trade date.

 Non-Spot: Any 15th of a month, as long as the Initial Fixing Index is known.

Notational Currency

GBP

Inflation Lag

GBP

 Non-linear: 2 months for Non-linear

 Linear: 3 months-12 months

RULE 1360. GBP UK Retail Prices IndexRPI Zero Coupon Fixed-to-Floating

(Inflation Zero Coupon) Swap Contract

SwapPayment

Conventions

Fixed Leg

 Payment Frequency: At maturity

 Compounding: Annual

 Day Count Conventions: 1/1

 HolidayBusiness Calendar: EnglandLondon

 Business Day Conventions: Modified Following with adjustment to period end dates.

Inflation Leg

 Payment: At Maturity

 Resets: 2 Months before Effective Date and 2 Months before Maturity Date

 Day Count Conventions: 1/1

 HolidayBusiness Calendar: EnglandLondon

 Business Day Conventions: Modified Following with adjustment to period end dates.

Notional Schedule

Swap Tenor

Constant

The duration of time from the effective date to the maturity date. A contract can have a tenorTenor from 1

year to up to 50 years.

FloatingReference Rate

Index

Effective Date TheUnadjusted date onat which parties begin calculating accrued obligations such as fixed rate and

inflation payments (i.e., the start date ofunder the swap) come into effect.

Quoting Convention

United Kingdom Retail Prices Index (UK -RPI)

Maturity/Expiration

Date

Fixed rate

The finalUnadjusted date onat which the obligations no longer accrue and the final payment occursunder

the swap stop being effective.

Ticker

Final Contractual

Settlement Date

Expiration Date

Minimum Increment

Periodic Settlement:

Payment and

ResetsLag

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

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

Compounding Frequency, Payment Frequency, Day Count and Fixed Interest Rate.0 days

 Floating Leg: The payment amount of the Inflation Leg is based on the following: Notional,

Payment Frequency, Day Count, Floating Rate Index and Reset Dates.

Payments are settled in accordance with the payment frequency of the swap. 0 days

Reference Rate Index

Term Value

Settlement Method

GBP ZC Inflation Swap vs UKRPI [tenor]

GBP ZC Inflation Swap vs UKRPI [maturity date]Tenor or Maturity Date]

Financially Settled

Contract Size

1 day

First Fixing Date

As agreed by the counterparties

The first UK RPI Fixing Date is observed 2 months prior to the effective date of the swap.

Contract Overview
187

Spot: A new swap where the Effective Date is 15th of the month of the trade date.

Non-Spot: Any 15th of a month, as long as the Initial Fixing Index is known.

Trading Hours

Settlement Currency

00:01 -24:00 Sunday-Friday (Eastern Time)

GBP

Clearing VenueHouse LCH.Clearnet Ltd, Eurex Clearing AG or Bilateral

Block Size

“Made Available to

Trade” Determination

As set forth in Appendix F to Part 43 of CFTC Regulations.

Settlement Procedure

None

Speculative Limits

Trade Start Types

As set forth in Part 150 of CFTC Regulations

As determined by the Clearing House or Bilateral

Reportable Levels

Mandatory Clearing

Determination

As set forth in CFTC Regulation 15.03

None
188

As agreed by the counterparties

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

Fixed Rate

Trading Conventions

Par Coupon,; Custom Coupon

Buy = 

 Pay Fixed, Receive Floating

Sell =Float.

 Receive Fixed, Pay Floating Float.

Currency

Trade Start Types

Inflation Rate Swap. An agreement to transfer inflation risk from one party to another through an exchange of

cash flows. In a zero -coupon inflation swap, only one payment is due at maturity where one party pays a fixed

rate on a notional principal amount and the other party pays a floating rate linked to an inflation index.

 Spot: A new swap where the Effective Date is 15th of the month of the trade date.

 Non-Spot: Any 15th of a month, as long as the Initial Fixing Index is known.

Notational Currency

EUR

Inflation Lag

EUR

3 months, but up to 12 months is permissible

RULE 1361. EUR France Inflation Consumer Price Index Excluding TobaccoFRC EXT

CPI Zero Coupon Fixed-to-Floating (Inflation Zero Coupon) Swap Contract

SwapPayment

Conventions

Fixed Leg

 Payment Frequency: At maturity

 Compounding: Annual

 Day Count Conventions: 1/1

 HolidayBusiness Calendars: Target

 Business Day Conventions: Modified Following with adjustment to period end dates.

Inflation Leg

 Payment: At Maturity

 Resets: 3 Months before Effective Date and 3 Months before Maturity Date

 Day Count Conventions: 1/1

 HolidayBusiness Calendars: Target

 Business Day Conventions: Modified Following with adjustment to period end dates.

Notional Schedule

Swap Tenor

Constant

The duration of time from the effective date to the maturity date. A contract can have a tenorTenor from 1

year to up to 30 years.

FloatingReference Rate

Index

Effective Date TheUnadjusted date onat which parties begin calculating accrued obligations such as fixed rate and

inflation payments (i.e., the start date ofunder the swap) come into effect.

Quoting Convention

France Consumer Price Index Excluding Tobacco (CPI-Excl)FRC-EXT-CPI

Maturity/Expiration

Date

Fixed rate

The finalUnadjusted date onat which the obligations no longer accrue and the final payment occursunder

the swap stop being effective.

Ticker

Final Contractual

Settlement Date

Expiration Date

Minimum Increment

Periodic Settlement:

Payment and

ResetsLag

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

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

Compounding Frequency, Payment Frequency, Day Count and Fixed Interest Rate.0 days

 Floating Leg: The payment amount of the Inflation Leg is based on the following: Notional,

Payment Frequency, Day Count, Floating Rate Index and Reset Dates.

Payments are settled in accordance with the payment frequency of the swap. 0 days

Reference Rate Index

Term Value

Settlement Method

EUR ZC Inflation Swap vsINFLATION SWAP VS FRCPXTOB [tenor]

EUR ZC Inflation Swap vs FRCPXTOB [maturity date]Tenor or Maturity Date]

Financially Settled

Contract Size

1 day

First Fixing Date

As agreed by the counterparties

The first CPI-Excl Fixing Date is observed 3 months prior to the effective date of the swap.

Contract Overview

Trade Start Types Spot: A new swap where the Effective Date is 15th of the month of the trade date.

Minimum Size
189

Non-Spot: Any 15th of a month, as long as the Initial Fixing Index is known.

Trading Hours

Settlement Currency

00:01 -24:00 Sunday-Friday (Eastern Time)

EUR

Clearing Venue LCH.Clearnet Ltd, Eurex Clearing AG or Bilateral

Block Size

“Made Available to

Trade” Determination

As set forth in Appendix F to Part 43 of CFTC Regulations.

Settlement Procedure

None

Speculative Limits As set forth in Part 150 of CFTC Regulations

As determined by the Clearing House or Bilateral

Reportable Levels

Mandatory Clearing

Determination

As set forth in CFTC Regulation 15.03

None
190

Trading Conventions

Interest Rate Swap. 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.

Buy = 

 Pay Fixed, Receive Float

Sell =.

 Receive Fixed, Pay Float.

Fixed Rate

COP-IBR-OIS Compound

COP-IBR-OIS-COMPOUND

Trade Start Types

Par; custom coupon Custom Coupon

 Spot: A new swap where the Effective Date is T+2 from the trade date.

 Non-Spot: Any date where the Effective Date is a date other than the spot date.

RULE 1362. Colombian Peso Indicador Bancario Referencia OvernightCOP IBR

OIS Compound Fixed-to-Floating Swap Contract

Fixing Offset 0 days

Notational Currency

SwapPayment

Conventions

COP

Fixed Leg

 o Payment Frequency: Monthly, Quarterly, Semi-Annual, Annual

 o Day Count Conventions: ACT/360 or as agreed by the counterparties

 o HolidayBusiness Calendar: Bogota, New York

 o Business Day Conventions: Modified Following

Floating Leg

 o Payment/Resets: Monthly, Quarterly, Semi-Annual, Annual

 o Day Count Conventions: ACT/360 or as agreed by the counterparties

 o HolidayBusiness Calendar: Bogota, New York

 o Business Day Conventions: Modified Following

Reference Rate Index

Term Value

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenorTenor from 28

days to up to 5015.5 years.

Notional Schedule

1 day

Effective Date

Constant

TheUnadjusted date onat which parties begin calculating accrued obligations such as fixed and floating

interest rate payments (i.e., the start date ofunder the swap) come into effect.

Ticker

Maturity/Expiration

Date

The finalUnadjusted date onat which the obligations no longer accrue and the final payment occursunder

the swap stop being effective.

Quoting Convention and

Minimum Increment

Final Contractual

Settlement Date

As agreed by the counterparties Fixed rate

Expiration Date

Currency

Periodic Settlement:

Payment and

ResetsLag

COP Swap NDOIS [Swap Tenor]

 Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment

Frequency, Day Count Convention and Fixed Interest Rate.0 days

 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. 0 days

Minimum Increment

COP

Settlement Method

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

Financially Settled

Contract Overview

First Fixing Date The first IBR Fixing Date is equal to the Effective Date of the swap

Contract Size

Trade Start Types

As agreed by the counterparties

Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Floating Rate Index

Settlement Procedure As determined by the Clearing House or an agreement between the counterpartiesBilateral

Minimum Size

IBR Overnight (Indicador Bancario de Referencia)

Settlement Currency

As agreed by the counterparties

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

USD

Reference Rate Index
191

Clearing House

Mandatory Clearing

Determination

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

“Made Available to

Trade” Determination

None

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

None

Speculative Limits

Trading Hours

As set forth in Part 150 of the CFTC Regulations

00:01-24:00 Sunday-Friday (Eastern Time)

Reportable Levels As set forth in CFTC Regulation 15.03
192

 Spot: A new swap where the Effective Date is T+2 from the trade date.

 Non-Spot: Any date where the Effective Date is a date other than the spot date.

Notational Currency

ILS

Fixing Offset

ILS

0 to 10 days

RULE 1363. ILS TELBOR Fixed-to-Floating Swap Contract

SwapPayment

Conventions

Fixed Leg

 Payment Frequency: Annual

 Day Count Conventions: ACT/365 or as agreed by the counterparties.

 HolidayBusiness Calendars: Tel Aviv

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

Floating Leg

 Payment/Resets: Quarterly, Annual

 Day Count Conventions: ACT/365, or as agreed by the counterparties

 HolidayBusiness Calendars: Tel Aviv

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

Notional Schedule

Swap Tenor

Constant

The duration of time from the effective date to the maturity date. A contract can have a tenorTenor from 28

days to up to 11 years.

FloatingReference Rate

Index

Effective Date TheUnadjusted date onat which parties begin calculating accrued obligations such as fixed and floating

interest rate payments (i.e., the start date ofunder the swap) come into effect.

Quoting Convention

ILS-TELBOR

ILS-TELBOR01-Reuters

Maturity/Expiration

Date

Fixed rate

The finalUnadjusted date onat which the obligations no longer accrue and the final payment occursunder

the swap stop being effective.

Ticker

Final Contractual

Settlement Date

Expiration Date

Minimum Increment

Periodic Settlement:

Payment and

ResetsLag

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

 Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment

Frequency, Day Count Convention and Fixed Interest Rate.0 days

 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. 0 days

Reference Rate Term

Value

Settlement Method

ILS SwapSWAP VS [Floating Leg Index Tenor]3MO [Swap Tenor]

Financially Settled

Contract Size

3 months

First Fixing Date

As agreed by the counterparties

The first TELBOR Fixing Date is equal to 2 business days prior to the effective date of the swap.

Contract Overview

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Minimum Size

Settlement Procedure

As agreed by the counterparties

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

As determined by the Clearing House or Bilateral

Fixed Rate

Settlement Currency ILS

Trading Conventions

Par,; Custom Coupon

“Made Available to

Trade” Determination

Buy = 

 Pay Fixed, Receive Float.

Sell = 

 Receive Fixed, Pay Float.

None

Currency

Mandatory Clearing None

Trade Start Types

Interest Rate Swap. 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.
193

LCH.Clearnet Ltd or Bilateral

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

Trading Hours

Speculative Limits

00:01 -24:00 Sunday-Friday (Eastern Time)

As set forth in Part 150 of the CFTC Regulations

Reportable Levels

Determination

As set forth in CFTC Regulation 15.03

Clearing VenueHouse
194

Minimum Size

1 day

As agreed by the counterparties

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

Reference Rate Index

Trading Conventions

Interest Rate Swap. 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.

Buy = 

 Pay Fixed, Receive Float

Sell =.

 Receive Fixed, Pay Float.

Fixed Rate

NZD-NZIONA-OIS Compound

NZD-NZIONA-OIS-COMPOUND

Trade Start Types

Par; custom coupon Custom Coupon

 Spot: A new swap where the Effective Date is T+2 from the trade date.

 Non-Spot: Any date where the Effective Date is a date other than the spot date.

RULE 1364. NZD NZIONA OIS Reserve Bank of New Zealand Official Daily

Cash RateCompound Fixed-to-Floating Swap Contract

Fixing Offset 0 to 10 days

Notational Currency

SwapPayment

Conventions

NZD

Fixed Leg

 o Payment Frequency: Monthly, Quarterly, Semi-Annual, Annual or At Maturity

 o Day Count Conventions: ACT/365

 o HolidayBusiness Calendar: Auckland, Wellington

 o Business Day Conventions: Modified Following

Floating Leg

 o Payment/Resets: Monthly, Quarterly, Semi-Annual, Annual or At Maturity

 o Day Count Conventions: ACT/365

 o HolidayBusiness Calendar: Auckland, Wellington

 o Business Day Conventions: Modified Following

Currency

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenorTenor from 7

days to up to 11 years.

Notional Schedule

NZD

Effective Date

Constant

TheUnadjusted date onat which parties begin calculating accrued obligations such as fixed and floating

interest rate payments (i.e., the start date ofunder the swap) come into effect.

Ticker

Maturity/Expiration

Date

The finalUnadjusted date onat which the obligations no longer accrued, and the final payment

occursunder the swap stop being effective.

Quoting Convention and

Minimum Increment

Final Contractual

Settlement Date

As agreed by the counterparties Fixed rate

Expiration Date

Floating Rate Index

Payment Lag

NZD SWAP vsVS OCR

 Fixed Leg: 0 days, or the same number of days as the Floating Leg

 Floating Leg: 2 to 5 days

Minimum Increment

OCR (Reserve Bank of New Zealand Official Daily Cash Rate)

Periodic Settlement:

Payment and Resets

Method

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

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.

Financially Settled

Contract Overview

First Fixing Date The first OCR Fixing Date is on the Effective Date of the swap.

Contract Size

Trade Start Types

As agreed by the counterparties

Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

FloatingReference Rate

Index MaturityTerm

Value
195

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

As determined by the Clearing House or an agreement between the counterpartiesBilateral

Clearing House

“Made Available to

Trade” Determination

LCH.Clearnet Ltd. or Bilateral

None

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

Speculative Limits

Mandatory Clearing

Determination

As set forth in Part 150 of the CFTC Regulations

Settlement Currency

None

Reportable Levels

Settlement Procedure

As set forth in CFTC Regulation 15.03

NZD
197

 Spot: A new swap where the Effective Date is T+2 from the trade date.

 Non-Spot: Any date where the Effective Date is a date other than the spot date.

Notational Currency

THB

Fixing Offset

THB

0 days

RULE 1366. THB THOR OIS Compound Fixed-to-Floating Swap Contract

SwapPayment

Conventions

Fixed Leg

 o Payment Frequency: Monthly, Quarterly, Semi-Annual, Annual

 o Day Count Conventions: ACT/365

 o HolidayBusiness Calendar: Bangkok, ThailandNew York

 o Business Day Conventions: Modified Following

Floating Leg

 o Payment/Resets: Monthly, Quarterly, Semi-Annual, Annual

 o Day Count Conventions: ACT/365

 o HolidayBusiness Calendar: Bangkok, ThailandNew York

 o Business Day Conventions: Modified Following

Notional Schedule

Swap Tenor

Constant

The duration of time from the effective date to the maturity date. A contract can have a tenorTenor from 28

days to up to 11 years.

FloatingReference Rate

Index

Effective Date TheUnadjusted date onat which parties begin calculating accrued obligations such as fixed and floating

interest rate payments (i.e., the start date ofunder the swap) come into effect.

Quoting Convention and

Minimum Increment

THOR

THB-THOR-OIS Compound

THB-THOR-COMPOUND

Maturity/Expiration

Date

As agreed by the counterparties Fixed rate

The finalUnadjusted date onat which the obligations no longer accrued and the final payment occursunder

the swap stop being effective.

Ticker

Final Contractual

Settlement Date

Expiration Date

Minimum Increment

Periodic Settlement:

Payment and

ResetsLag

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

 Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment

Frequency, Day Count Convention and Fixed Interest Rate.0 days

 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. 0 days

FloatingReference Rate

Index MaturityTerm

Value

Settlement Method

THB NDOIS vsVS THOR

Financially Settled

Contract Size

1 day

First Fixing Date

As agreed by the counterparties

The first THOR Fixing Date is two Singapore business days prior to the Effective Date of the swap.

Contract Overview

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Minimum Size

Settlement Procedure

As agreed by the counterparties

 CLOB: $100,000

 Trading Protocols other than CLOB: $0.01

As determined by the Clearing House or an agreement between the counterpartiesBilateral

Fixed Rate

Settlement Currency USD

Trading Conventions

Par; custom coupon Custom Coupon

“Made Available to

Trade” Determination

Buy = 

 Pay Fixed, Receive Float

Sell =.

 Receive Fixed, Pay Float.

None

Currency

Mandatory Clearing None

Trade Start Types

Interest Rate Swap. 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.
198

LCH.Clearnet Ltd. or Bilateral

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

Trading Hours

Speculative Limits

00:01-24:00 Sunday-Friday (Eastern Time)

As set forth in Part 150 of the CFTC Regulations

Reportable Levels

Determination

As set forth in CFTC Regulation 15.03

Clearing House
200

A payer option gives the buyer of the option the right to enter into a swap where they pay the fixed leg and receive

the floating leg.

A receiver option gives the buyer of the option the right to enter into a swap in which they will receive the fixed leg

and pay the floating leg.

Ticker

Option Strike Price Fixed coupon of the underlying swap

Tenor of Underlying

Swap

USD SWAP vs SOFR [Underlying Tenor] [Strike] [Expiry Date]

Option Expiry Date

Any

As agreed by the parties

Contract Overview

Option Settlement

Type

Cash or delivery of a cleared or non-cleared swap

Currency

Exercise method

USD

The buyer of the option must notify the seller of the option of the buyer’s intent to exercise the option during

business hours on the expiration date of the option and the manner of the exercise: cash or physical (delivery).

Notice shall be in the form and manner as agreed by the counterparties. If the counterparties elected the exercise by

physical delivery, the counterparties must submit the Swap for clearing to the Clearing House.

Underlying Swap

Trading Hours and

Venue

An agreement granting the buyer the right, but not the obligation, to enter into a Swap listed for trading on BSEF

which is exercisable only on a specific date.

00:01 - 24:00 Sunday-Friday; Eastern Time

Quoting Convention

and Minimum

Increment

USD SOFR OIS Fixed-to-Floating Swap Contract

Clearing House for

the underlying

Swap

As agreed by counterparties

Chicago Mercantile Exchange, Inc.; LCH.Clearnet Ltd.; Eurex Clearing AG or Bilateral

RULE 1368. Option – USD SOFR OIS Fixed-to-Floating

Contract[Reserved]

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

Minimum Size

Speculative Limits

As agreed by counterparties

Same as for the underlying Swap

Index of Underlying

Swap

Reportable Levels Same as for the underlying Swap

Trading

Conventions

SOFR
CHAPTER 14. FOREIGN EXCHANGE CONTRACTS TERMS AND CONDITIONS

RULE 1400. Reference Currency List

The below currencies are available Reference Currencies for Chapter 14 contracts.

 AOA Angolan Kwanza

 ARS Argentine Peso

 AZN Azerbaijani Manat

 BRL Brazilian Real

 CLP Chilean Peso

 CNY Chinese Renminbi

 COP Colombian Peso

 CRC Costa Rican Colon

 DOP Dominican Republic Peso

 EGP Egyptian Pound

 ETB Ethiopian Birr

 EUR Euro

 GEL Georgian Lari

 GHS Ghanaian Cedi

 GTQ Guatemalan Quetzal

 HNL Honduran Lempira

 IDR Indonesian Rupiah

 INR Indian Rupee

 KES Kenyan Shilling

 KRW South Korean Won

 KZT Kazakh Tenge

 MYR Malaysian Ringgit (See Notice

to Participants 2017-3 on BSEF’s

website)

 MZN Mozambican Metical

 NGN Nigerian Naira

 NPR Nepalese Rupee

 PEN Peruvian Nuevo sol

 PHP Philippine Peso

 PKR Pakistani Rupee

 PYG Paraguayan Guarani

 RUB Russian Ruble

 RWF Rwandan Franc

 SLE Sierra Leonean Leone

 TWD Taiwan Dollar

 TZS Tanzanian Shilling

 UAH Ukrainian Hryvnia

 UGX Ugandan Shilling

 UYU Uruguayan Peso

 VND Vietnamese Dong

 XAF Central African Franc

 XOF West African Franc

 ZAR South African Rand

 ZMW Zambian Kwacha

201
202

Ticker

Contract Overview

NDF-[currency pair][settlement currency][fixing date]

A non-deliverable forward (NDF) is a forward contract which counterparties settle by exchanging in Settlement

Currency the difference between the Forward Rate and the Fixing Rate on the Fixing Date on an agreed notional

amount. Forward Rate means the rate of exchange from converting the unit currency into the quoted currency

determined at the inception of the contract. Fixing Rate means the rate of exchange from converting the unit

currency into the quoted currency determined on the Fixing Date.

Reference

Currency (i.e.,

Non-Deliverable

Currency)



 AOA Angolan Kwanza

 ARS Argentine Peso

 AZN Azerbaijani Manat

 BRL Brazilian Real

 CLP Chilean Peso

 CNY Chinese Renminbi

 COP Colombian Peso

 CRC Costa Rican Colon

 DOP Dominican Republic Peso

 EGP Egyptian Pound

 ETB Ethiopian Birr

 EUR Euro

 GEL Georgian Lari

 GHS Ghanaian Cedi

 GTQ Guatemalan Quetzal

 HNL Honduran Lempira

 IDR Indonesian Rupiah

 INR Indian Rupee

 KES Kenyan Shilling

 KRW South Korean Won

 KZT Kazakh Tenge

 MYR Malaysian Ringgit (See Notice

to Participants 2017-3 on BSEF’s

website)

Any currency listed in Rule 1400.

 MZN Mozambican Metical

 NGN Nigerian Naira

 NPR Nepalese Rupee

 PEN Peruvian Nuevo sol

 PHP Philippine Peso

 PKR Pakistani Rupee

 PYG Paraguayan Guarani

 RUB Russian Ruble

 RWF Rwandan Franc

 SLE Sierra Leonean Leone

 THB Thai Baht

 TWD Taiwan Dollar

 TZS Tanzanian Shilling

 UAH Ukrainian Hryvnia

 UGX Ugandan Shilling

 UYU Uruguayan Peso

 VND Vietnamese Dong

 XAF Central African Franc

 XOF West African Franc

 ZAR South African Rand

 ZMW Zambian Kwacha

Ticker

Reference

Currency Rate

Source

RULE 1401. Foreign Exchange Contract – Non-Deliverable Forward

 Any source described in Section 4.5A of ANNEX A to the 1998 FX and Currency Option

Definitions published by International Swaps and Derivatives Association, Inc and Trade Association

for the Emerging Markets; or

 “Bloomberg MID” or “BFX03” as described in Section 4.5B of ANNEX A to the 1998 FX and

Currency Option Definitions published by International Swaps and Derivatives Association, Inc and

Trade Association for the Emerging Markets; or

 “WM/RefinitivMID” or “WMR03” as described in Section 4.5B of ANNEX A to the 1998 FX

and Currency Option Definitions published by International Swaps and Derivatives Association, Inc

[NDF] [Currency Pair] [Settlement Currency] [Expiration Date]
2

03

Fixing/Expiration

Date

The date that the difference between the Forward Rate and the Fixing Rate is calculated and unadjusted date at

which obligations stopped being effective.

Any ISO 4217 Currency or CNH. For CNH, the settlement location is Hong Kong.

Final Contractual

Settlement Date

Minimum Size

Unadjusted date by which all transfer of cash should take place and the counterparties no longer trade any

outstanding obligations under the contract, as agreed by counterparties.

Any value greater than zero (0).

Settlement Method Financially settled

and Trade Association for the Emerging Markets.

Settlement

Procedure

Notional Currency

Bilateral settlement performed in settlement currency.

Quoting

Convention

Currency in which contract size is expressed in, as agreed by counterparties.

Clearing House None

Forward Rate

Trading Hours

Trading

Conventions

14:00 Sunday to 17:00 Friday Eastern Time.

Buy or Sell

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

Speculative Limits

Effective Date

As set in Part 150 of the CFTC Regulations.

Minimum

Increment

The unadjusted date at which obligations come into effect.

Reportable Levels

Settlement

Currency

As set in CFTC Regulation 15.03.

Any value greater than zero (0).
2

04

Any currency listed in Rule 1400.

Valuation method

Settlement Currency

Vanilla

RULE 1402. Foreign Exchange Contract – Vanilla FX Option

Effective Date Unadjusted date at which obligations under the swap come into effect

Quoting Convention

Call Currency

Premium

Currency for call option

Reference Currency Rate

Source

Put Currency Currency for put option

Minimum Increment

 Any source described in Section 4.5A of ANNEX A to the 1998 FX and Currency Option

Definitions published by International Swaps and Derivatives Association, Inc and Trade

Association for the Emerging Markets; or

 “Bloomberg MID” or “BFX03” as described in Section 4.5B of ANNEX A to the 1998 FX and

Currency Option Definitions published by International Swaps and Derivatives Association,

Inc and Trade Association for the Emerging Markets; or

 “WM/RefinitivMID” or “WMR03” as described in Section 4.5B of ANNEX A to the 1998 FX

and Currency Option Definitions published by International Swaps and Derivatives

Association, Inc and Trade Association for the Emerging Markets.

Strike Price

Any value greater than zero.

The exchange rate agreed upon inception of the contract at which the investor can exercise an option.

Ticker

Expiration Date/Fixing

Date

Date at which option contract expiresUnadjusted date at which obligations stopped being effective. For

financially settled options the Expiration Date is the same as the Fixing Date. The Fixing Date is the date

on which the difference between the Forward Rate and the Fixing Rate is calculated.

Minimum Size

Expiration Time

Any value grater then zero.

Time at which option contract expires

Settlement Currency

Settlement Date

[CUO] [VAN] [Currency Pair] [Settlement Currency] [Expiration Date] [Option Type] [Strike Price]

Settlement date of the option contract

Notional Currency

Any ISO 4217 Currency or CNH. For CNH, the settlement location is Hong Kong.

Premium

A put or a call currency, as applicable

Premium amount expressed in premium currency

Contract Overview

Premium currency Currency in which option premium is expressed in

Trade Date

Premium Date

The date on which parties enter into the contract

Date on which premium amount is due

Strike Price

Quoting Convention

and Minimum Increment

Final Contractual

Settlement Date

Notional amountUnadjusted date by which all transfer of cash should take place and the counterparties

no longer trade any outstanding obligations under the contract, as agreed by counterparties.

Option Style

Forward Rate

Minimum Size

 Physical settlement: American /or European

 A European option may be exercised only at the expiration date of the option, i.e. at a single

pre-defined point in time.

 An American option on the other hand may be exercised at any time before the expiration

date.Financial settlement: European

Notional amount, as agreed by counterparties

Reference Currency

Notional Currency Currency in which contract size is expressed in; please see Notice to Participants 2017-3, which is posted

on BSEF’s website.

Option Type

AOption on a spot foreign- exchange option (commonly shortened to just FX option or currency

option) is a derivative financial instrument that givescontract. An agreement granting the owner the

right, but not the obligation, to exchange money denominated in onethe notional amount of the

reference currency into anotherand the settlement currency at a pre-agreed exchange rate on a

specifiedthe Forward Rate on the exercise date. Forward Rate means the rate of exchange from

converting the unit currency into the quoted currency determined at the inception of the contract.

Settlement Procedure

Method

Put/ 

 Put: Gives the buyer of the option the right to sell the reference currency.

 Call

 Call: Gives to the buyer of the option – the right to buy an asset at a fixed date and price.

 Put option – the right to sell an asset a fixed date and price.the reference currency

Bilateral

 Physically settled: The settlement performed inby exchange of the full amount of

Option Premium

Currency
2

05

Settlement Procedure Bilateral; partial exercise is permitted.

Reference Currency and the Settlement Currency.

 Financially Settled: The settlement performed by exchanging in the Settlement Currency

the difference between the Forward Rate and the Fixing Rate on the Fixing Date applied on the

agreed put or call amount. Fixing Rate means the rate of exchange from converting the unit

currency into the quoted currency determined on the Fixing Date based on the spot rate

published by Reference Currency Rate Sources

Clearing House

Mandatory Clearing

Determination

BilateralNone

None

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

Speculative Limits

Trading Hours

As set in Part 150 of the CFTC Regulations

“Made Available to

Trade” Determination

14:00 Sunday to 17:00 Friday Eastern Time

Reportable Levels As set in CFTC Regulation 15.03

None
206

SOS Somali Shilling

KES Kenyan Shilling

HRK Croatia Kuna

PHP Philippines Peso

GNF Guinea Franc

UZS Uzbekistan Sum

NID New Iraqi Dinar

MRO Mauritania Ouguiya

BYR Belarus Ruble

TOP Tonga Pa’Anga

KGS Kyrgyzstan Som

MXN Mexican Peso

PKR Pakistani Rupee VEE Venezuela Essential Rate

BDT Banglaldesh Taka

BZD Belize Dollar

STD Sao Tome Dobra

KHR Cambia Riel

HTG Haiti Gourde

PLN Polish Zloty VEF Venezuelan Bolivar

NIO Nicaragua Cordoba

CAD Canadian Dollar

TRY Turkish Lira

KMF Comoros Franc

AMD Armenia Dram

PTE Portuguese Escudo VND Vietnamese Dong

ARS Argentine Peso

BGD Bulgarian Lev

CDF Congolese Franc

SLL Sierra Leone Leone

KRW South Korean Won

HUF Hungarian Forint

PYG Paraguay Guarani

GTQ Guatemala Quetzal

VUV Vanuatu Vatu

NLG Dutch Guilder

GHS Ghanaian cedi

CHF Swiss Franc

TTD Trinidad/Tobago Dol

KWD Kuwaiti Dinar

MYR Malaysian Ringgit

ROL Romanian Leu WAR Qatari Riyal

BHD Bahraini Dinar

CLP Chilean Peso

SVC El Salvador Colon

KYD Cayman Islands Dollar

IDR Indonesian Rupiah

RON New Romanian Leu

MVR Maldives Rufiyaa

WST Samoa (West) Tala

NOK Norwegian Krone

CNY China Renminbi (NDF)

TWD Taiwan Dollar

KZT Kazakhstan Tenge RSD Serbian Dinar XAF CFA Franc Beac

AUD Australian Dollar

BIF Burundi Franc

COP Colombian Peso

SRD Suriname Dollar

LAK Laos Kip

ILS Israeli Shekel

RUB Russian Ruble (NDF)

GYD Guyana Dollar

XCD East Caribbean Dollar

NPR Nepalese Rupee

AED UAE Dirham

CRC Costa Rican Colon

TZS Tanzanian Shilling

LBP Lebanese Pound

MZM Mozambique Metical

RWF Rwanda Franc XDR Special Drawing Rights

BMD Bermudian Dollar

CVE Cape Verde Escudo

THB Thai Baht

LKR Sri Lankan Rupee

INR Indian Rupee

SAR Saudi Riyal

AFN Afghanistan Afghani

XOF CFA Franc Bceao

NZD New Zealand Dollar

CZK Czech Koruna

UAH Ukraine Hryvnia

LTL Lithuanian Litas

ANG Neth. Ant. Guilder

SBD Solomon Is. Dollar XPF Pacific Island Franc

AWG Aruban Guilder

BND Brunei Dollar

DJF Djibouti Franc LVL Latvian Lats

ISK Iceland Krona

SCR Seychelles Rupee

HKD Hong Kong Dollar

XSU Sucre

OMR Omani Rial

GMD Gambian Dalasi

DKK Danish Krone

UDI Mexican UDI

MAD Moroccan Dirham

MZN New Mozambique Metical

SDD Sudanese Dinar YER Yemeni Rial

GEL Georgia Lari

BOB Bolivian Boliviano

DOP Dominican Repb.

TJS Tajikistan Somoni

MDL Moldova Leu

JMD Jamaica Dollar

SDG New Sudanese Pound

MWK Malawi Kwacha

ZAR S. African Rand

PAD Panamanian Balboa

DZD Algerian Dinar

UGX Ugandan Shilling

MGA Malagascy Ariary

GBP British Pound

SDP Old Sudanese Pound ZMK Zambian Kwacha

BAM Bosnia-Herze Convrt Mrka

BRL Brazilian Real

EGP Egyptian Pound (NDF)

SSP South Sudanese Pound

MKD Macedonia Denar

JOD Jordanian Dinar

SEK Swedish Korna

HNL Honduras Lempira

ZMW Zambia Kwacha

PEN Peruvian New Sol

MUR Mauritius Rupee

ERN Eritrean Nakfa

USD US Dollar

MMK Myanmar Kyat

NGN Nigeria Naira

SGD Singapore Dollar ZWR Zimbabwe Dollar

BSD Bahamas Dollar

EUR Euro

TND Tunisian Dinar

MNT Mongolian Togrog

JPY Japanese Yen

SIT Slovenia Tolar

Annex A

Settlement Currencies

PGK Papua N.G. Kina

FJD Fiji Dollar

UYU Uruguay Peso

MOP Macau Pataca

AOA Angolan Kwanza

SKK Slovakia Koruna

BBD Barbados Dollar

BWP Botswana Pula
207

Option Type Put/ Call

 Call option – the right to buy an asset at a fixed date and price.

 Put option – the right to sell an asset a fixed date and price.

Settlement

Currency

[CUO] [BARR] [Currency Pair] [Settlement Currency] [Expiration Date] [Option Type] [Strike Price]

Call Currency

Any ISO 4217 Currency or CNH. For CNH, the settlement location is Hong Kong.

Currency for call option

Contract

Overview

Put Currency Currency for put option

Strike Price

Strike Price

Forward Rate

The currency exchange rate at which the investor can exercise an option.

Reference

Currency

Expiration

Date

An exotic foreign-exchange option is an option which has more than one trigger relating to the determination of the

payoff.Option on a spot foreign exchange contract. An agreement granting the buyer of the option the right, but not the

obligation, to exchange the notional amount of the Reference Currency and the Settlement Currency at the Forward Rate

on the exercise date if the Reference Currency spot rate reaches a specified rate (“Barrier Rate”) during the term of the

agreement. Forward Rate means the rate of exchange from converting the unit currency into the quoted currency

determined at the inception of the contract.

Date at which option contract expires

Barrier Rate

Any currency listed in Rule 1400.

Barrier Low

Reference Currency exchange rate that either springs the option into existence or extinguishes an already existing option.

Pre-set low barrier level either springs the option into existence or extinguishes an already existing option.

RULE 1403. Foreign Exchange Contract – Exotic FXBarrier Option

Barrier High Pre-set high barrier level either springs the option into existence or extinguishes an already existing option.

Trade Date

Barrier Style

The date on which parties enter into the contract

American / European

Reference

Currency

Rate Source

Barrier

Direction/Styl

e

The four types of barrier options are:

 Up-and-out: The option exists at the inception of the contract. The Reference Currency spot price starts

below the barrier levelBarrier Rate at the inception of the contract and has tomust move up for the option

to be knocked outbecome null and void.

 Down-and-out: The option exists at the inception of the contract. The reference Currency spot price starts

above the barrier levelBarrier Rate at the inception of the contract and has to move down for the option to

become null and void.

 Up-and-in: No option exists at the inception of the contract. The Reference Currency spot price starts below

the barrier levelBarrier Rate at the inception of the contract and has tomust move up for the option to

become activatedcome into existence.

 Down-and-in: No option exists at the inception of the contract. The Reference Currency spot price starts

above the barrier levelBarrier Rate and has tomust move down for the option to become activatedcome

into existence.

OptionBarri

er Style

 Any source described in Section 4.5A of ANNEX A to the 1998 FX and Currency Option Definitions

published by International Swaps and Derivatives Association, Inc and Trade Association for the Emerging

Markets; or

 “Bloomberg MID” or “BFX03” as described in Section 4.5B of ANNEX A to the 1998 FX and Currency

Option Definitions published by International Swaps and Derivatives Association, Inc and Trade Association

for the Emerging Markets; or

 “WM/RefinitivMID” or “WMR03” as described in Section 4.5B of ANNEX A to the 1998 FX and Currency

Option Definitions published by International Swaps and Derivatives Association, Inc and Trade Association

for the Emerging Markets.

Expiration

 American / European

 A European option may be exercised only at the expiration date of the option, i.e. at a single pre-defined point

in time.

 An American option on the other hand may be exercised: Barrier is breached at any time before the

expiration dateExpiration Date

 European: Barrier breached only at the Expiration Date.

Time at which option contract expires (cut off time)

Ticker
208

Time

Effective Date

Notional amount, as agreed by counterpartiesPremium

Unadjusted date at which obligations under the swap come into effect

Premium

Expiration

Date/Fixing

Date

Unadjusted date at which obligations stopped being effective. For financially settled options the Expiration Date is the

same as the Fixing Date. The Fixing Date is the date on which the difference between the Forward Rate and the Fixing

Rate is calculated.

Minimum

Increment

Premium amount expressed in premium currency

Final

Contractual

Settlement

Date

Any value greater than zero.

Unadjusted date by which all transfer of cash should take place and the counterparties no longer trade any outstanding

obligations under the contract, as agreed by counterparties.

Settlement

Procedure

Method

Bilateral

 Physically settled: The settlement performed inby exchange of the full amount of Reference Currency

and the Settlement Currency.

 Financially Settled: The settlement performed by exchanging in the Settlement Currency the difference

between the Forward Rate and the Fixing Rate on the Fixing Date applied on the agreed put or call amount.

Fixing Rate means the rate of exchange from converting the unit currency into the quoted currency

determined on the Fixing Date based on the spot rate published by Reference Currency Rate Sources

Minimum Size

“Made

Available to

Trade”

Determination

Any value grater then zero.

None

Option

Premium

currencyCur

rency

Mandatory

Clearing

Determination

None

Notional

Currency

Settlement Currency in which option premium is expressed in

Trading

Hours

Currency in which contract size is expressed in; please see Notice to Participants 2017-3, which is posted on BSEF’s

website.A put or a call currency, as applicable

14:00 Sunday to 17:00 Friday Eastern Time

Settlement

Date

Settlement

Procedure

Bilateral. Partial exercise is permitted.

Option Style

Clearing

House

 Physically settled: American or European

 Financially settled: European

BilateralNone

Premium Date

Block Size

Settlement date of the option contract

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

Option Type

Date on which premium amount is due

Speculative

Limits

 Put: gives the buyer of the option the right to sell the Reference Currency.

 Call: gives to the buyer of the option the right to buy the Reference Currency

As set in Part 150 of the CFTC Regulations

Reportable

Levels

As set in CFTC Regulation 15.03

Valuation

method

Barrier

Quoting

Convention

and Minimum

Increment
209

SOS Somali Shilling

KES Kenyan Shilling

HRK Croatia Kuna

PHP Philippines Peso

GNF Guinea Franc

UZS Uzbekistan Sum

NID New Iraqi Dinar

MRO Mauritania Ouguiya

BYR Belarus Ruble

TOP Tonga Pa’Anga

KGS Kyrgyzstan Som

MXN Mexican Peso

PKR Pakistani Rupee VEE Venezuela Essential Rate

BDT Banglaldesh Taka

BZD Belize Dollar

STD Sao Tome Dobra

KHR Cambia Riel

HTG Haiti Gourde

PLN Polish Zloty VEF Venezuelan Bolivar

NIO Nicaragua Cordoba

CAD Canadian Dollar

TRY Turkish Lira

KMF Comoros Franc

AMD Armenia Dram

PTE Portuguese Escudo VND Vietnamese Dong

ARS Argentine Peso

BGD Bulgarian Lev

CDF Congolese Franc

SLL Sierra Leone Leone

KRW South Korean Won

HUF Hungarian Forint

PYG Paraguay Guarani

GTQ Guatemala Quetzal

VUV Vanuatu Vatu

NLG Dutch Guilder

GHS Ghanaian cedi

CHF Swiss Franc

TTD Trinidad/Tobago Dol

KWD Kuwaiti Dinar

MYR Malaysian Ringgit

ROL Romanian Leu WAR Qatari Riyal

BHD Bahraini Dinar

CLP Chilean Peso

SVC El Salvador Colon

KYD Cayman Islands Dollar

IDR Indonesian Rupiah

RON New Romanian Leu

MVR Maldives Rufiyaa

WST Samoa (West) Tala

NOK Norwegian Krone

CNY China Renminbi (NDF)

TWD Taiwan Dollar

KZT Kazakhstan Tenge RSD Serbian Dinar XAF CFA Franc Beac

AUD Australian Dollar

BIF Burundi Franc

COP Colombian Peso

SRD Suriname Dollar

LAK Laos Kip

ILS Israeli Shekel

RUB Russian Ruble (NDF)

GYD Guyana Dollar

XCD East Caribbean Dollar

NPR Nepalese Rupee

AED UAE Dirham

CRC Costa Rican Colon

TZS Tanzanian Shilling

LBP Lebanese Pound

MZM Mozambique Metical

RWF Rwanda Franc XDR Special Drawing Rights

BMD Bermudian Dollar

CVE Cape Verde Escudo

THB Thai Baht

LKR Sri Lankan Rupee

INR Indian Rupee

SAR Saudi Riyal

AFN Afghanistan Afghani

XOF CFA Franc Bceao

NZD New Zealand Dollar

CZK Czech Koruna

UAH Ukraine Hryvnia

LTL Lithuanian Litas

ANG Neth. Ant. Guilder

SBD Solomon Is. Dollar XPF Pacific Island Franc

AWG Aruban Guilder

BND Brunei Dollar

DJF Djibouti Franc LVL Latvian Lats

ISK Iceland Krona

SCR Seychelles Rupee

HKD Hong Kong Dollar

XSU Sucre

OMR Omani Rial

GMD Gambian Dalasi

DKK Danish Krone

UDI Mexican UDI

MAD Moroccan Dirham

MZN New Mozambique Metical

SDD Sudanese Dinar YER Yemeni Rial

GEL Georgia Lari

BOB Bolivian Boliviano

DOP Dominican Repb.

TJS Tajikistan Somoni

MDL Moldova Leu

JMD Jamaica Dollar

SDG New Sudanese Pound

MWK Malawi Kwacha

ZAR S. African Rand

PAD Panamanian Balboa

DZD Algerian Dinar

UGX Ugandan Shilling

MGA Malagascy Ariary

GBP British Pound

SDP Old Sudanese Pound ZMK Zambian Kwacha

BAM Bosnia-Herze Convrt Mrka

BRL Brazilian Real

EGP Egyptian Pound (NDF)

SSP South Sudanese Pound

MKD Macedonia Denar

JOD Jordanian Dinar

SEK Swedish Korna

HNL Honduras Lempira

ZMW Zambia Kwacha

PEN Peruvian New Sol

MUR Mauritius Rupee

ERN Eritrean Nakfa

USD US Dollar

MMK Myanmar Kyat

NGN Nigeria Naira

SGD Singapore Dollar ZWR Zimbabwe Dollar

BSD Bahamas Dollar

EUR Euro

TND Tunisian Dinar

MNT Mongolian Togrog

JPY Japanese Yen

SIT Slovenia Tolar

Annex A

Settlement Currencies

PGK Papua N.G. Kina

FJD Fiji Dollar

UYU Uruguay Peso

MOP Macau Pataca

AOA Angolan Kwanza

SKK Slovakia Koruna

BBD Barbados Dollar

BWP Botswana Pula
211

Contract Overview

Observation

Period Point

Schedule

As agreed by counterparties.

Quoting

Convention and

Minimum

Increment

Effective Date

Notional amount, as agreed by counterpartiesForward Rate

The unadjusted date at which obligations come into effect.

Reference

Currency Pair

Final Contractual

Settlement Date

An average rate forward allows the buyer the ability to create a hedge rate for a future exposure by locking in

forward points and a spot rate. At some point in the future, there is an averaging period of daily spot observations to

determine an average rate which, when compared to the hedge rate, will set the payout. Unlike options, this hedge

tool is a forward contract and has no premium cost associated with it.An average rate forward (ARF) is a forward

contract which counterparties settle by exchanging in Settlement Currency the difference between the Forward Rate

and the Fixing Rate. Forward Rate means the rate of exchange from converting the unit currency into the quoted

currency determined at the inception of the contract. Fixing Rate means the rate of exchange from converting the

unit currency into the quoted currency as determined on the Fixing Date by averaging spot rates taken at specified

point during the Observation Period.

Unadjusted date by which all transfer of cash should take place and the counterparties no longer trade any

outstanding obligations under the contract, as agreed by counterparties.

Minimum

Increment

Underlying currency instrument composed of ISO currency codes (ISO 4217) of the base currency and the counter

currency, separating them with a slash character; see currency list belowAny currency listed in Rule 1400

Forward Rate

Any value greater than zero.

Currency

Exchange rate

expressed as the

amount of

Reference

currency per

unit of

Settlement

currencyMeth

od

RULE 1405. Foreign Exchange Contract – Average Rate Forward

Financially Settled

TradeFixing

Date/Expiration

Date

Minimum Size

The date on which parties enter into the contractThe date that the difference between the Forward Rate and the

Fixing Rate is calculated and unadjusted date at which obligations stopped being effective.

$1Any value greater than zero.

Settlement Date

Reference

Currency Rate

Source

Settlement or payment date

Fixing Date

Notional Currency

End of observation period specified by counterparties

 Any source described in Section 4.5A of ANNEX A to the 1998 FX and Currency Option Definitions

published by International Swaps and Derivatives Association, Inc and Trade Association for the

Emerging Markets; or

 “Bloomberg MID” or “BFX03” as described in Section 4.5B of ANNEX A to the 1998 FX and Currency

Option Definitions published by International Swaps and Derivatives Association, Inc and Trade

Association for the Emerging Markets; or

 “WM/RefinitivMID” or “WMR03” as described in Section 4.5B of ANNEX A to the 1998 FX and

Currency Option Definitions published by International Swaps and Derivatives Association, Inc and

Trade Association for the Emerging Markets.

Currency in which contract size is expressed; please see Notice to Participants 2017-3 in, which is posted on

BSEF’s website.as agreed by counterparties.

Frequency

Ticker

Observation frequency specified by counterparties

Settlement

Procedure

Trading

Conventions

Bilateral settlement performed in the settlement currency based on the exchanges rate published by either

Bloomberg (BFIX) or Reuters (WM/Reuters)

Buy or Sell which refers to the contract size expressed in notional currency

Trading Hours

Settlement

Currency

14:00 Sunday to 17:00 Friday Eastern Time

[ARF] [Currency Pair] [Settlement Currency] [Fixing Date]

Clearing House

Observation

Period

BilateralNone

See currency list belowAny ISO 4217 Currency or CNH. For CNH, the settlement location is Hong Kong.

As agreed by counterparties.
212

Speculative Limits

Block Size

As set forth in Part 150 of the CFTC Regulations

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

Reportable Levels As set forth in CFTC Regulation 15.03
213

KES Kenyan Shilling

AOA Angolan Kwanza

PHP Philippines Peso

HRK Croatia Kuna

UZS Uzbekistan Sum

GBP British Pound

NID New Iraqi Dinar

BYR Belarus Ruble

GNF Guinea Franc

KGS Kyrgyzstan Som

TOP Tonga Pa’Anga

PKR Pakistani Rupee

SOS Somali Shilling

VEE Venezuela Essential Rate

MXN Mexican Peso

BZD Belize Dollar

BDT Banglaldesh Taka

KHR Cambia Riel PLN Polish Zloty

HTG Haiti Gourde

VEF Venezuelan Bolivar

STD Sao Tome Dobra

NIO Nicaragua Cordoba

CAD Canadian Dollar KMF Comoros Franc

TRY Turkish Lira

PTE Portuguese Escudo VND Vietnamese Dong

MRO Mauritania Ouguiya

CDF Congolese Franc

BGD Bulgarian Lev

KRW South Korean Won

ARS Argentine Peso

PYG Paraguay Guarani

HUF Hungarian Forint

VUV Vanuatu Vatu

AMD Armenia Dram

NLG Dutch Guilder

CHF Swiss Franc

GTQ Guatemala Quetzal

KWD Kuwaiti Dinar

TTD Trinidad/Tobago Dol

ROL Romanian Leu

Annex A

Settlement Currencies

WAR Qatari Riyal

MYR Malaysian Ringgit

CLP Chilean Peso

BHD Bahraini Dinar

KYD Cayman Islands Dollar

GHS Ghanaian cedi

RON New Romanian Leu

IDR Indonesian Rupiah

WST Samoa (West) Tala

SVC El Salvador Colon

NOK Norwegian Krone

CNY China Renminbi (NDF)

SLL Sierra Leone Leone

KZT Kazakhstan Tenge

TWD Taiwan Dollar

RSD Serbian Dinar XAF CFA Franc Beac

MVR Maldives Rufiyaa

COP Colombian Peso

BIF Burundi Franc

LAK Laos Kip

AUD Australian Dollar

RUB Russian Ruble (NDF)

ILS Israeli Shekel

XCD East Caribbean Dollar

NPR Nepalese Rupee

CRC Costa Rican Colon

GYD Guyana Dollar

LBP Lebanese Pound

TZS Tanzanian Shilling

RWF Rwanda Franc

SRD Suriname Dollar

XDR Special Drawing Rights

MZM Mozambique Metical

CVE Cape Verde Escudo

BMD Bermudian Dollar

LKR Sri Lankan Rupee SAR Saudi Riyal

INR Indian Rupee

XOF CFA Franc Bceao

THB Thai Baht

NZD New Zealand Dollar

CZK Czech Koruna LTL Lithuanian Litas

UAH Ukraine Hryvnia

SBD Solomon Is. Dollar XPF Pacific Island Franc

DJF Djibouti Franc

BND Brunei Dollar

LVL Latvian Lats

AWG Aruban Guilder

SCR Seychelles Rupee

ISK Iceland Krona

XSU Sucre

ANG Neth. Ant. Guilder

OMR Omani Rial

DKK Danish Krone

HKD Hong Kong Dollar

MAD Moroccan Dirham

UDI Mexican UDI

SDD Sudanese Dinar

AFN Afghanistan Afghani

YER Yemeni Rial

MZN New Mozambique Metical

DOP Dominican Repb.

BOB Bolivian Boliviano

MDL Moldova Leu

GMD Gambian Dalasi

SDG New Sudanese Pound

JMD Jamaica Dollar

ZAR S. African Rand

TJS Tajikistan Somoni

PAD Panamanian Balboa

DZD Algerian Dinar

AED UAE Dirham

MGA Malagascy Ariary

UGX Ugandan Shilling

SDP Old Sudanese Pound ZMK Zambian Kwacha

MWK Malawi Kwacha

EGP Egyptian Pound (NDF)

BRL Brazilian Real

MKD Macedonia Denar

BAM Bosnia-Herze Convrt Mrka

SEK Swedish Korna

JOD Jordanian Dinar

ZMW Zambia Kwacha

GEL Georgia Lari

PEN Peruvian New Sol

ERN Eritrean Nakfa

HNL Honduras Lempira

MMK Myanmar Kyat

USD US Dollar

SGD Singapore Dollar

SSP South Sudanese Pound

ZWR Zimbabwe Dollar

NGN Nigeria Naira

EUR Euro

BSD Bahamas Dollar

MNT Mongolian Togrog SIT Slovenia Tolar

JPY Japanese Yen

TND Tunisian Dinar

PGK Papua N.G. Kina

FJD Fiji Dollar MOP Macau Pataca

UYU Uruguay Peso

SKK Slovakia Koruna

MUR Mauritius Rupee

BWP Botswana Pula

BBD Barbados Dollar
Exhibit B
#600800994v4

BLOOMBERG SEF LLC 

RULEBOOK

JANUARY 29, 2024
ii

CHAPTER 1. DEFINITIONS .........................................................................................................9

CHAPTER 2. SEF GOVERNANCE.............................................................................................23

RULE 201. Board ....................................................................................................................23

RULE 202. [Reserved] ............................................................................................................24

RULE 203. [Reserved] ............................................................................................................24

RULE 204. Regulatory Oversight Committee.........................................................................24

RULE 205. Additional Committees and Panels ......................................................................25

RULE 206. Power of the Board to Review Decisions.............................................................25

RULE 207. Eligibility..............................................................................................................25

RULE 208. Officers.................................................................................................................27

RULE 209. Chief Compliance Officer ....................................................................................27

RULE 210. Conflicts of Interest..............................................................................................28

RULE 211. Restrictions on Certain Persons who Possess Material, Non-Public 

Information: Improper Use or Disclosure of Material Non-Public 

Information...........................................................................................................30

RULE 212. Emergency Rules..................................................................................................31

RULE 213. Information-Sharing Agreements.........................................................................32

RULE 214. Regulatory Services Agreement with the Regulatory Services Provider.............33

CHAPTER 3. PARTICIPANTS ....................................................................................................34

RULE 301. Eligibility Criteria for Becoming a Participant ....................................................34

RULE 302. Authorized Traders...............................................................................................35

RULE 303. Participant Application Process; Termination of Participant...............................36

RULE 304. Trading Privileges of a Participant.......................................................................37

RULE 305. Termination or Limitation of Trading Privileges and Trading Access ................37

RULE 306. Assessments and Fees ..........................................................................................38

RULE 307. Authorized Representatives..................................................................................38

RULE 308. Recording of Communications.............................................................................39

RULE 309. Notices to Participants..........................................................................................39

RULE 310. Communications between BSEF and Participants...............................................39

RULE 311. Application of BSEF Rules and Jurisdiction........................................................39

RULE 312. Description of Participant’s Status.......................................................................40

RULE 313. Dissolution of Participants ...................................................................................40

RULE 314. Withdrawal of Participant ....................................................................................40

RULE 315. Compliance with the Commodity Exchange Act .................................................40

RULE 316. Access...................................................................................................................41

RULE 316.A. ECP Access ..........................................................................................................41

RULE 316.B. ISV Access...........................................................................................................41

RULE 317. Direct Market Access...........................................................................................41

RULE 318. Legal Certainty for SEF Trades............................................................................42

RULE 319. Rights and Responsibilities after Suspension or Termination..............................42
iii

CHAPTER 4. OBLIGATIONS OF PARTICIPANTS, ACCOUNT MANAGERS, DMA 

CUSTOMERS, AUTHORIZED TRADERS AND SUPERVISED 

PERSONS..............................................................................................................43

RULE 401. Duties and Responsibilities..................................................................................43

RULE 402. Required Disclosures to BSEF.............................................................................44

RULE 403. Inspections by BSEF ............................................................................................45

RULE 404. Minimum Financial and Related Reporting Requirements..................................45

RULE 405. Position Liquidation upon Default .......................................................................45

RULE 406. Authority to Impose Restrictions .........................................................................46

RULE 407. Customers and Accounts......................................................................................46

RULE 408. Disclosure Requirements; Know Your Counterparty Requirements...................46

RULE 409. Books and Records...............................................................................................46

RULE 409.A. Participant and Clearing Member Books and Records ........................................46

RULE 409.B. BSEF Books and Records ....................................................................................48

RULE 410. Responsibility for Mandatory Trading .................................................................48

RULE 411. Eligibility for Clearing Exempt Transactions ......................................................48

CHAPTER 5. TRADING PRACTICES, REPORTING, CLEARING AND BUSINESS 

CONDUCT ............................................................................................................48

RULE 501. Scope ....................................................................................................................48

RULE 502. Procedures ............................................................................................................49

RULE 503. Business Days and Trading Hours .......................................................................49

RULE 504. Rule Violations.....................................................................................................49

RULE 505. Fraudulent Acts ....................................................................................................50

RULE 506. Prohibited Transactions........................................................................................50

RULE 506.A. Fictitious or Wash Transactions...........................................................................50

RULE 506.B. Pre-Arranged Transactions...................................................................................50

RULE 507. Pre-Execution Communications...........................................................................50

RULE 508. Market Manipulation and Post-Trade CLOB Disclosures Prohibited..................51

RULE 508.A. Price Manipulation ...............................................................................................51

RULE 508.B. Disruptive Practices..............................................................................................51

RULE 508.C. Post-Trade Anonymity .........................................................................................51

RULE 509. Prohibition of Misstatements................................................................................51

RULE 510. Acts Detrimental to Welfare of SEF ....................................................................51

RULE 511. Adherence to Law ................................................................................................51

RULE 512. Use of Trading Privileges.....................................................................................52

RULE 513. Supervision...........................................................................................................52

RULE 514. Misuse of the SEF Platform .................................................................................52

RULE 515. Mishandling of Customer Orders.........................................................................52

RULE 516. Trade Cancellation, Correction, Offset and Adjustment – General .....................53

RULE 516.A. Notification of Action Taken and Trade Review – Cleared Swaps .....................53

RULE 516.B. Error Trade Cancellation, Correction, Adjustment and Offset – Cleared 

Swaps....................................................................................................................55

RULE 516.C. Erroneous Trade Cancellation, Correction and Adjustment – Non-Cleared 

Swaps....................................................................................................................57
iv

RULE 516.D. Prime Broker Trades ............................................................................................57

RULE 516.E. Trade Cancellation and Adjustment by BSEF .....................................................58

RULE 516.F. Trade Reporting by BSEF ....................................................................................58

RULE 517. Withholding Orders Prohibited ............................................................................58

RULE 518. Priority of Customers’ Orders..............................................................................58

RULE 519. Trading Against Customers’ Orders Prohibited...................................................59

RULE 519.A. General Prohibition ..............................................................................................59

RULE 519.B. Exceptions............................................................................................................59

RULE 520. Disclosing Orders Prohibited ...............................................................................59

RULE 521. Simultaneous Buy And Sell Orders For Different Beneficial Owners ................59

RULE 522. Execution of Orders on the SEF Platform............................................................59

RULE 522.A. Required Transactions and Cleared Swaps ..........................................................59

RULE 522.B. Permitted Transactions.........................................................................................60

RULE 522.C. Package Transactions...........................................................................................61

RULE 522.D. Execution of Swaps Subject to the Clearing Exemption......................................61

RULE 522.E. Block Trades in Swaps.........................................................................................61

RULE 523. Trade Confirmations.............................................................................................61

RULE 524. Order Entry Requirements....................................................................................63

RULE 524.A. General .................................................................................................................63

RULE 524.B. Customer Type Indicator (CTI) Codes.................................................................65

RULE 524.C. Pre-Arranged Transactions...................................................................................65

RULE 525. Position Limits .....................................................................................................65

RULE 526. Exemptions from Position Limits.........................................................................66

RULE 527. Position Accountability ........................................................................................66

RULE 528. Bunched Orders and Orders Eligible for Post-Execution Allocation...................66

RULE 529. Orders Entered Prior to SEF Opening..................................................................67

RULE 530. Identification of Authorized Traders....................................................................67

RULE 531. Pre-Arranged Transactions...................................................................................67

RULE 531.A. Block Trades.........................................................................................................67

RULE 531.B. Trade Correction...................................................................................................68

RULE 531.C. Covered Package Transactions and Permitted Transactions................................68

RULE 532. Reporting to SDR.................................................................................................69

RULE 533. Cleared Swaps......................................................................................................70

RULE 534. Non-Cleared Swaps..............................................................................................70

RULE 535. Risk Controls........................................................................................................71

CHAPTER 6. DISCIPLINARY RULES.......................................................................................71

RULE 601. General .................................................................................................................71

RULE 602. Inquiries and Investigation ...................................................................................72

RULE 603. Investigative Reports............................................................................................73

RULE 604. Warning Letters....................................................................................................74

RULE 605. Review of Investigation Reports..........................................................................74

RULE 606. [Reserved] ............................................................................................................75

RULE 607. Notice of Charges.................................................................................................75

RULE 608. Service of Notice of Charges................................................................................76

RULE 609. Answer to Notice of Charges ...............................................................................76
v

RULE 610. Admission or Failure to Deny ..............................................................................77

RULE 611. Denial of Charges and Right to a Hearing ...........................................................77

RULE 612. Settlements ...........................................................................................................77

RULE 613. Disciplinary Panel ................................................................................................79

RULE 614. Convening Disciplinary Proceeding Hearings.....................................................79

RULE 615. Respondent Review of Evidence..........................................................................80

RULE 616. Conducting Disciplinary Proceeding Hearings....................................................80

RULE 617. Decision of Disciplinary Panel.............................................................................82

RULE 618. Sanctions ..............................................................................................................83

RULE 619. Costs.....................................................................................................................84

RULE 620. Right to Appeal Disciplinary Panel Decision, Summary Impositions of Fines 

and Other Summary Actions................................................................................84

RULE 621. Summary Imposition of Fines..............................................................................86

RULE 622. Hearings Involving BSEF-Affiliated Trading Entities.........................................88

RULE 623. [Reserved] ............................................................................................................88

RULE 624. Notice to the Respondent, the Regulatory Services Provider and the Public.......88

CHAPTER 7. ARBITRATION .....................................................................................................88

RULE 701. General .................................................................................................................88

RULE 702. Forum and Arbitration Rules................................................................................89

RULE 703. Initiating an Arbitration Claim.............................................................................89

RULE 704. Claims Relating to Trade Cancelations or Price Adjustments.............................89

RULE 705. Penalties................................................................................................................89

CHAPTER 8. MISCELLANEOUS...............................................................................................89

RULE 801. Anti-Money Laundering and Anti-Terrorism.......................................................89

RULE 802. Gifts and Gratuities ..............................................................................................90

RULE 803. Market Data..........................................................................................................90

RULE 804. Prohibited Use of Data Collected for Regulatory Purposes.................................90

RULE 805. Confidentiality......................................................................................................91

RULE 806. Extension or Waiver of BSEF Rules....................................................................91

RULE 807. Effect of Amendment, Repeal or New Rule.........................................................92

RULE 808. Swap Contract Specifications...............................................................................92

RULE 809. Timely Publication of Trading Information .........................................................93

RULE 810. Governing Law, Jurisdiction and Dispute Resolution..........................................93

CHAPTER 9. LIMITATION OF LIABILITY, NO WARRANTIES...........................................94

RULE 901. LIMITATION OF LIABILITY, NO WARRANTIES.........................................94

RULE 902. Indemnification by BSEF.....................................................................................96

CHAPTER 10. [Reserved].............................................................................................................97

CHAPTER 11. [Reserved].............................................................................................................97

CHAPTER 12. CREDIT CONTRACTS TERMS AND CONDITIONS......................................98
vi

RULE 1201.A. CDX North America High Yield..........................................................................98

RULE 1201.B. Option – CDX North America High Yield ..........................................................99

RULE 1202.A. CDX North America Investment Grade .............................................................100

RULE 1202.B. Option – CDX North America Investment Grade..............................................101

RULE 1203.A. CDX Emerging Markets.....................................................................................102

RULE 1203.B. Option – CDX Emerging Markets......................................................................103

RULE 1204.A. iTraxx Europe.....................................................................................................104

RULE 1204.B. Option – iTraxx Europe......................................................................................105

RULE 1205.A. iTraxx Europe Crossover....................................................................................106

RULE 1205.B. Option – iTraxx Europe Crossover ....................................................................107

RULE 1206.A. iTraxx Europe HiVol.........................................................................................108

RULE 1206.B. Option – iTraxx Europe HiVol ...........................................................................109

RULE 1207.A. iTraxx Europe Senior Financial..........................................................................110

RULE 1208.A. iTraxx SovX Western Europe.............................................................................111

RULE 1208.B. Option – iTraxx SovX Western Europe..............................................................112

RULE 1209.A. iTraxx Europe Subordinated Financial...............................................................113

RULE 1210.A. iTraxx Japan .......................................................................................................114

RULE 1211.A. iTraxx Australia..................................................................................................115

RULE 1212.A. CDX North American High Yield (BB) Index Contract....................................116

RULE 1213.A. CDX Emerging Markets Investment Grade .......................................................117

RULE 1214.A. CDX Emerging Markets High Yield..................................................................118

RULE 1215. [Reserved] ..........................................................................................................119

RULE 1216. [Reserved] ..........................................................................................................119

RULE 1217. [Reserved] ..........................................................................................................119

RULE 1218. [Reserved] ..........................................................................................................119

RULE 1219. [Reserved] ..........................................................................................................119

RULE 1220. [Reserved] ..........................................................................................................119

RULE 1221. [Reserved] ..........................................................................................................119

RULE 1222.A. iTraxx Corp CEEMEA.......................................................................................120

RULE 1223. [Reserved] ..........................................................................................................121

RULE 1224. [Reserved] ..........................................................................................................121

RULE 1225. [Reserved] ..........................................................................................................121

RULE 1226. [Reserved] ..........................................................................................................121

RULE 1227. [Reserved] ..........................................................................................................121

RULE 1228.A. iTraxx Asia Ex-Japan .........................................................................................122

RULE 1229.A. iTraxx Europe Non-Financial.............................................................................123

RULE 1230.A. iTraxx MSCI ESG Screened Europe..................................................................124

RULE 1231.A. CDX North American Investment Grade (BBB-rated)......................................125

RULE 1232.A. CDX North American High Yield (Ex-BB).......................................................126

RULE 1233.A. iTraxx Asia Ex-Japan IG (Restricted)................................................................127

CHAPTER 13. RATES CONTRACTS TERMS AND CONDITIONS .....................................128

RULE 1301. AUD-BBSW Fixed-to-Floating .........................................................................128

RULE 1302. [Reserved] ..........................................................................................................129

RULE 1303. EUR-EURIBOR Fixed-to-Floating....................................................................130

RULE 1304. [Reserved] ..........................................................................................................131
vii

RULE 1305. [Reserved] ..........................................................................................................132

RULE 1306. [Reserved] ..........................................................................................................132

RULE 1307. [Reserved] ..........................................................................................................132

RULE 1308. USD Federal Funds OIS Compound Fixed-to-Floating.....................................133

RULE 1309. [Reserved] ..........................................................................................................134

RULE 1310. [Reserved] ..........................................................................................................134

RULE 1311. [Reserved] ..........................................................................................................134

RULE 1312. [Reserved] ..........................................................................................................134

RULE 1313. [Reserved] ..........................................................................................................134

RULE 1314. [Reserved] ..........................................................................................................134

RULE 1315. USD Basis Swap ................................................................................................135

RULE 1316. [Reserved] ..........................................................................................................136

RULE 1317. SEK STIBOR SIDE Fixed-to-Floating ..............................................................137

RULE 1318.A. USD SOFR OIS Compound Fixed-to-Floating..................................................138

RULE 1318.B. Option – USD SOFR OIS Compound Fixed-to-Floating ..................................139

RULE 1319. [Reserved] ..............................................................................................................1

RULE 1320. [Reserved] ..............................................................................................................1

RULE 1321. [Reserved] ..............................................................................................................1

RULE 1322. [Reserved] ..............................................................................................................1

RULE 1323. [Reserved] ..............................................................................................................1

RULE 1324. [Reserved] ..............................................................................................................1

RULE 1325. [Reserved] ..............................................................................................................1

RULE 1326. [Reserved] ..............................................................................................................1

RULE 1327. CAD CDOR Fixed-to-Floating ..........................................................................128

RULE 1328. MXN TIIE Banxico Fixed-to-Floating...............................................................129

RULE 1329. [Reserved] ..........................................................................................................130

RULE 1330. [Reserved] ..........................................................................................................130

RULE 1331. AUD AONIA OIS Compound Fixed-to-Floating..............................................131

RULE 1332. [Reserved] ..........................................................................................................132

RULE 1333. GBP SONIA OIS Compound Fixed-to-Floating................................................133

RULE 1334. [Reserved] ..........................................................................................................134

RULE 1335. NOK NIBOR Fixed-to-Floating.........................................................................135

RULE 1336. DKK CIBOR2 Fixed-to-Floating.......................................................................136

RULE 1337. HKD HIBOR Fixed-to-Floating.........................................................................137

RULE 1338. PLN WIBOR Fixed-to-Floating.........................................................................138

RULE 1339. ZAR JIBAR Fixed-to-Floating...........................................................................139

RULE 1340. [Reserved] ..........................................................................................................140

RULE 1341. HUF BUBOR Fixed-to-Floating........................................................................141

RULE 1342. KRW CD 91D Fixed-to-Floating.......................................................................142

RULE 1343. CZK PRIBOR Fixed-to-Floating .......................................................................143

RULE 1344. CLP ICP Fixed-to-Floating ................................................................................144

RULE 1345. MYR KLIBOR Fixed-to-Floating......................................................................145

RULE 1346. TWD TAIBOR Fixed-to-Floating......................................................................146

RULE 1347. INR MIBOR OIS Compound Fixed-to-Floating................................................147

RULE 1348. BRL CDI Zero Coupon Fixed-to-Floating.........................................................148

RULE 1349. [Reserved] ..........................................................................................................149
viii

RULE 1350. CNY Fixing Repo Rate Fixed-to-Floating .........................................................150

RULE 1351. NZD BKBM FRA Fixed-to-Floating .................................................................151

RULE 1352. CHF SARON OIS Compound Fixed-to-Floating ..............................................152

RULE 1353. EUR EuroSTR OIS Compound Fixed-to-Floating ............................................153

RULE 1354. JPY TONA OIS Compound Fixed-to-Floating..................................................154

RULE 1355. [Reserved] ..........................................................................................................155

RULE 1356. SGD SORA OIS Compound Fixed-to-Floating.................................................156

RULE 1357. CAD CORRA OIS Compound Fixed-to-Floating .............................................157

RULE 1358. USA CPI U Zero Coupon Fixed-to-Floating .....................................................158

RULE 1359. EUR EXT CPI Zero Coupon Fixed-to-Floating.................................................159

RULE 1360. UK RPI Zero Coupon Fixed-to-Floating............................................................160

RULE 1361. FRC EXT CPI Zero Coupon Fixed-to-Floating.................................................161

RULE 1362. COP IBR OIS Compound Fixed-to-Floating .....................................................162

RULE 1363. ILS TELBOR Fixed-to-Floating ........................................................................163

RULE 1364. NZD NZIONA OIS Compound Fixed-to-Floating ............................................164

RULE 1365. [Reserved] ..........................................................................................................165

RULE 1366. THB THOR OIS Compound Fixed-to-Floating.................................................166

RULE 1367. [Reserved] ..........................................................................................................167

RULE 1368. [Reserved] ..........................................................................................................167

CHAPTER 14. FOREIGN EXCHANGE CONTRACTS TERMS AND CONDITIONS..........168

RULE 1400. Reference Currency List.....................................................................................168

RULE 1401. Non-Deliverable Forward...................................................................................169

RULE 1402. Vanilla FX Option ..............................................................................................170

RULE 1403. Barrier Option.....................................................................................................171

RULE 1404. [Reserved] ..........................................................................................................173

RULE 1405. Average Rate Forward........................................................................................174

RULE 1406. [Reserved] ..........................................................................................................175

RULE 1407. [Reserved] ..........................................................................................................175

RULE 1408. [Reserved] ..........................................................................................................175

RULE 1409. [Reserved] ..........................................................................................................175

Annex A ISDA Dodd Frank Act-Swap Transaction Reporting Party Requirements 
9

CHAPTER 1. DEFINITIONS

When used in the BSEF Rules the following terms shall have the respective meanings as 

follows:

“Account” means a Person (including a Prime Broker) that (i) granted in 

Writing (standalone or as part of a broader instrument) to an Account 

Manager investment or trading authority to send RFQs, place Orders and 

execute Trades on the SEF on behalf and in the name of such Person; and 

(ii) is a Counterparty to a Trade. The definition of “Account” shall not 

include any investor, shareholder or any other Person with beneficial 

ownership in the Account. 

“Account Manager” means a Person that acts as an agent and attorney-infact to buy or sell Swaps via the SEF operated by BSEF in the name and on 

behalf of another Person. An Account Manager may also be a Participant. 

“Act” or “CEA” means the Commodity Exchange Act, as amended from 

time to time.

“Affected Person” means a SEF applicant whose admission application is 

declined or is conditioned or a Person whose status as a Participant is 

terminated as set forth in Rule 303(e).

“Affiliate” means, with respect to any Person, any Person who, directly or 

indirectly, Controls, is Controlled by, or is under common Control with, 

such other Person.

“Alleged Error Trade” has the meaning set forth in Rule 516.A(a).

“Appeals Panel” means a panel appointed by the Chief Compliance 

Officer pursuant to Rule 620.

“Applicable Law” means, with respect to any Person, any statute, law, 

regulation, rule or ordinance of any governmental or Self-Regulatory 

Organization applicable to such Person, including the CEA and CFTC 

Regulations.

“Appropriate Minimum Block Size” means the minimum notional or 

principal amount for a category of Swap that qualifies as a Block Trade 

pursuant to CFTC Regulation 43.6.

“Authorized Representative” means any Person who is authorized by a 

Participant to represent the Participant in SEF matters pursuant to Rule 

307.

“Authorized Trader” means any natural person associated with a 

Participant and, if applicable, a DMA Customer who (i) has Trading 
10

Access to the SEF operated by BSEF using a Participant ID and (ii) is 

assigned a valid Trader ID.

“Block Trade” means a single Swap transaction publicly reportable under 

Part 43 of the CFTC Regulations that:

(a) Involves a Swap that is listed on BSEF;

(b) Occurs away from the SEF Platform or is executed using 

functionality on the SEF Platform that is not the Order Book;

(c) Has a notional or principal amount at or above the Appropriate 

Minimum Block Size applicable to such Swap; and

(d) Is reported as set forth in Rule 532.

“Board” means the Board of Directors of BSEF constituted from time to 

time in accordance with the Operating Agreement.

“BSEF” means Bloomberg SEF LLC, a Delaware limited liability 

company.

“Bunched Orders” means a single Order placed by an Account Manager 

for two or more of its Accounts on the SEF operated by BSEF pursuant to 

Rule 528.

“Business Day” means a day on which the SEF operated by BSEF is open 

for trading.

“By-Laws” means, with respect to any Person that is not an individual, the 

By-Laws or Operating Agreement of such Person, and, if no other Person is 

specified, means the By-Laws or Operating Agreement of BSEF.

“CFTC” or “Commission” means the Commodity Futures Trading 

Commission or any successor regulatory body.

“CFTC Regulations” means the rules and regulations promulgated by the 

CFTC, as amended.

“Chief Compliance Officer” means the individual appointed by the Board 

as BSEF’s chief compliance officer in accordance with the Operating 

Agreement, with the duties and responsibilities as may be prescribed by the 

Board from time to time as set forth in Rule 208.

“Chief Technology Officer” means the individual with the duties and 

responsibilities related to supervision of technology of the SEF operated by 

BSEF. 
11

“Claim” has the meaning set forth in Rule 902.

“Cleared Swap” means a Swap that is subject to the mandatory clearing 

requirement of Section 2(h)(1)(A) of the CEA or any Swap that is intended 

by a Participant to be submitted to a DCO for clearing contemporaneously 

with execution.

"Clearing Account Identifier" means a unique identifier assigned to a Participant or 

Account by a Clearing House.

“Clearing Exception” means an exception from the clearing requirement 

set forth in Section 2(h)(1) of the Act because one counterparty to the 

transaction is entitled to the exception from the clearing requirement set 

forth in Section 2(h)(7) of the Act, CFTC Regulations or CFTC Staff NoAction Letters.

“Clearing Exception Form” has the meaning set forth in Rule 411.

“Clearing Exempt Transaction” means a Trade exempt from the clearing 

requirement of Section 2(h)(1) of the Act because one Counterparty to the 

Trade is entitled to and has elected to use a Clearing Exception.

“Clearing House” means such Derivatives Clearing Organization(s) 

registered with the Commission or Derivatives Clearing Organization(s) 

that the Commission has determined to exempt from registration that 

provide clearing services with respect to any or all of Swaps traded on the 

SEF operated by BSEF.

“Clearing House Rules” means the Certificate of Incorporation, the ByLaws and any rule, interpretation, stated policy, or instrument 

corresponding to any of the foregoing, in each case as adopted or amended 

from time to time by the Clearing House relating to any or all of the 

Swaps.

“Clearing Member” means a member of a Clearing House that is 

authorized to clear trades in any or all Swaps for a Participant or its 

Accounts or Customers. Each Clearing Member must sign documentation 

required by BSEF.

“Client” means an Account.

“CLOB” means an Order Book that will match Orders pursuant to pre-determined, nondiscretionary methods. All bids and offers entered into the CLOB must be firm. The 

CLOB supports the following Order types:

(a) Market Order (Fill_Or_Kill; Immediate_or_Cancel)

(b) Limit Order (Fill_Or_Kill; Immediate_Or_Cancel; Good_Til_Date/Time).
12

“Compliance Department” means all SEF Officials and/or agents of 

BSEF (including the Regulatory Services Provider) that assist BSEF with 

the implementation, surveillance and enforcement of the BSEF Rules and 

other Obligations.

“Confirmation” has the meaning set forth in Rule 523(a).

“Control” means the possession, direct or indirect, of the power to direct 

or cause the direction of the management and policies of a Person, whether 

through the ownership of securities, by Swap, or otherwise. The terms 

“controlling” or “controlled” shall have meanings correlative to the 

foregoing.

“Correcting Trade” means a Trade executed and submitted for clearing to 

a Clearing House, with the same terms and conditions as an Error Trade 

other than any corrections to any operational or clerical error and the time 

of execution.

“Counterparty” means a Participant or a Participant’s Account or 

Customer whose Legal Entity Identifier is reported by BSEF to an SDR as 

a counterparty to a Trade.

“Covered Package Transaction” means a Package Transaction that has at 

least one or more of the following components: 

a. the issuance of a bond in the primary market; 

b. a commodity for future delivery (until November 15, 2025);

c. a swap (as defined in Section 1a(47) of the CEA) that is not subject 

to the clearing requirement;

d. a non-swap (as defined in Section 1a(47) of the CEA) instrument 

other than an instrument listed in subsections a or b above or U.S. 

Treasury securities or agency mortgage-based securities; or

e. a swap over which the Commission does not have exclusive 

jurisdiction such as a mixed swap (as defined in Section 1a(47)(D) 

of the CEA).

“CTI” has the meaning set forth in Rule 524.B.

“Customer” means any Person who uses an FCM or Introducing Broker as 

agent in connection with trading in any Swap on the SEF operated by 

BSEF. The term “Customer” shall include a DMA Customer.
13

“Customer Account” means an account carried by a Participant on behalf 

of a Customer.

“Daily Settlement Price” means the settlement price for a Swap calculated 

each Business Day by or on behalf of BSEF. The Daily Settlement Price 

can be expressed in currency, spread, yield or any other appropriate 

measure commonly used in swap markets.

“DCM” means a contract market or designated contract market as defined 

in CFTC Regulation 1.3(h).

“Derivatives Clearing Organization” or “DCO” has the meaning 

attributed to such term by Section 1a(9) of the CEA.

“Direct Market Access” or “DMA” means an arrangement among a 

Sponsoring Broker, its Customer and BSEF that allows one or more 

representatives of that Customer to have Trading Access using the 

Participant ID of the Sponsoring Broker.

“Director” means a member of the Board.

“Disciplinary Panel” means the panel appointed pursuant to Rule 613(b) 

to conduct hearings in connection with disciplinary proceedings (other than 

summary impositions of fines pursuant to Rule 601(b)), to make findings, 

render decisions, and impose sanctions pursuant to Chapter 6 of the Rules. 

The Disciplinary Panel must meet the composition requirements set forth in 

Part 40 of the CFTC Regulations and the composition requirements set 

forth in Rule 613(b). 

“Disclosed Order Book” means a screen on the SEF Platform where 

Participants have the ability to enter multiple indicative, disclosed bids and 

offers in foreign exchange Swaps, observe or receive bids and offers 

entered by other market participants, and transact on such bids and offers.

“Dispute” has the meaning set forth in Rule 701.

“DMA Customer” means a Customer of a Sponsoring Broker where 

representatives of the Customer that are natural persons are designated by 

the Sponsoring Broker to have Trading Access to the SEF Platform using 

the Participant ID of the Sponsoring Broker and where such Customer 

signs the DMA Customer Documentation. 

“DMA Customer Documentation” means the agreements (together with 

any applicable schedules, exhibits or appendices thereto required by BSEF) 

in form and substance acceptable to BSEF, that are required to be executed 

and delivered to BSEF before a DMA Customer may access the SEF 

Platform. Except as otherwise provided in these Rules, in the event of any 
14

conflict between these Rules and the DMA Customer Documentation, these 

Rules shall govern. 

“DMA Order” means an Order or RFQ placed by a DMA Customer using 

the Participant ID of the Sponsoring Broker.

“ECP” means an eligible contract participant as defined in Section 1a(18) 

of the CEA. 

“Eligibility Criteria” means the criteria set forth in Rule 301(a).

“Emergency” means any occurrence or circumstance that, in the opinion of 

the Board, or a Person or Persons duly authorized to issue such an opinion 

on behalf of the Board under circumstances and pursuant to procedures that 

are specified, requires immediate action and threatens or may threaten such 

things as the fair and orderly trading in, or the liquidation of or delivery 

pursuant to, any agreements, contracts, swaps or transactions or the timely 

collection and payment of funds in connection with clearing and settlement 

by a derivatives clearing organization, including: (a) any manipulative or 

attempted manipulative activity; (b) any actual, attempted or threatened 

corner, squeeze, congestion or undue concentration of positions; (c) any 

circumstances which may materially affect the performance of agreements, 

contracts, swaps or transactions, including failure of the payment system or 

the bankruptcy or insolvency of any participant; (d) any action taken by 

any governmental body, or any other registered entity, board of trade, 

market or facility which may have a direct impact on trading or clearing 

and settlement; (e) at the request of the CFTC; and (f) any other 

circumstance which may have a severe, adverse effect upon the functioning 

of BSEF.

“Emergency Rules” has the meaning set forth in Rule 212(a).

“End of Trading” means such time as BSEF may from time to time 

prescribe. The End of Trading is the time as of which such actions as are 

specified in the BSEF Rules or the relevant Swap Specifications as taking 

place at the end of a Business Day, such as determination Daily Settlement 

Prices, will occur. 

“Error Trade” means a Trade in a Cleared Swap executed on or subject to 

the rules of a SEF that contains an operational or clerical error, including 

incorrect leg sequencing.

“Fill-Or-Kill” means that the Order must be immediately filled completely 

or canceled.

“Financial Entity” has the meaning set forth in CEA Section 2(h)(7)(C).
15

“Futures Commission Merchant” or “FCM” has the meaning set forth in 

Section 1a(28) of the CEA or a foreign person performing a similar role or 

function with respect to a Person that is not a U.S. Person and subject as 

such to foreign regulation.

“Good-til-Date/Time” means that the Order has an expiration time and 

date.

“Governmental Body” means (a) any U.S. or non-U.S. federal, national, 

state or local court or (b) any U.S. or non-U.S. federal, national, state or 

local entity that is (i) a governmental authority, (ii) a regulatory body or 

(iii) a self-regulatory body.

“Immediate-Or-Cancel” means that the Order may be filled partially, but 

the Order must be actioned immediately, or else canceled. Any remaining 

portion will be canceled.

“Interested Person” has the meaning attributed to such term in Rule 

210(a).

“Introducing Broker” has the meaning set forth in CFTC Regulation 

1.3(mm) or a foreign person performing a similar role or function with 

respect to a Person that is not a U.S. Person and subject as such to foreign 

regulation.

“ISDA” means the International Swaps and Derivatives Association, Inc.

“ISV” means an independent software vendor.

“Legal Entity Identifier” has the meaning set forth in Part 45 of the 

CFTC Regulations.

“Local Law” has the meaning attributed to such term in Rule 810(a).

“Major Swap Participant” has the meaning set forth in Section 1a(33) 

of the CEA.

“MAT Recipient Participant” shall have the meaning set forth in Rule 

522.A(b).

“NFA” means the National Futures Association.

“No-Bust Range” shall have the meaning set forth in Rule 535(c).

“Non-Cleared Swap” means a Swap that is not a Cleared Swap.

“Non-Cleared Swap Agreement” means an underlying previouslynegotiated freestanding agreement that governs the performance and 
16

settlement of a Non-Cleared Swap and applicable credit support and default 

provisions, including, without limitation, ISDA master agreements, other 

master agreements, terms supplements and master confirmation agreements 

incorporating industry definitions.

“Notice of Charges” means a notice sent by the Compliance Department 

pursuant to Rule 607.

“Notice to Participants” means a communication sent by or on behalf of 

BSEF to all Participants as described in Rule 309. Please see all Notices to 

Participants, which are posted on BSEF’s website. 

“Obligation” means each BSEF Rule, order or procedure issued by BSEF, 

including Notice to Participants, and other requirement implemented by 

BSEF under the BSEF Rules.

“Officer” has the meaning attributed to such term in Rule 208.

“Offsetting Trade” means a Trade executed and submitted for clearing to 

a Clearing House, with terms and conditions that economically reverse an 

Error Trade that was accepted for clearing. 

“Operating Agreement” means the operating agreement of BSEF.

“Order” means (i) a firm response to a Request For Quote, (ii) a response 

to a Resting Quote, (iii) the display of a quote on an Order Book or (iv) a 

firm offer to enter into a Swap.

In addition to an Order to execute at a specific price and CLOB Order 

types, the SEF Platform supports the following types of special Orders:

“Best Price Order” means an Order that can be sent using RFQT for 

rate Swaps and that contains a condition to prevent the execution by 

the SEF Platform of such an Order where a Responding Participant 

has updated its quotation to a better price (as defined by the 

Requesting Participant) for the Requesting Participant.

“Reserve Price Order” means an Order that can be sent using RFQT 

for rate Swaps and that will be automatically sent to the Recipient 

Participant that responds with a price that is at or better than the 

price designated in advance by the Requesting Participant. Please 

see Notice to Participants 2016-3, which is posted on BSEF’s 

website.

“Order Book” means the trading system or platform operated by BSEF in which all 

market participants in the trading system or platform have the ability to enter multiple bids 

and offers, observe or receive bids and offers entered by other market participants, and 
17

transact on such bids and offers. A Participant must indicate if a bid or offer posted on an 

Order Book is firm or indicative. 

“Package Transaction” means a transaction involving two or more 

instruments:

(a) that is executed between two or more Counterparties;

(b) that is priced or quoted as one economic transaction with 

simultaneous or near simultaneous execution of all components;

(c) that has at least one component that is a Required Transaction; and

(d) where the execution of each component is contingent upon the 

execution of all other components.

“Participant” means any Person that has been granted, and continues to 

have, Trading Privileges under the BSEF Rules and has signed the 

Participant Documentation or DMA Customer Documentation. Subject to 

Applicable Law, a Participant may trade for its own proprietary account or 

for or on behalf of a Customer or Account. An ISV cannot be a Participant. 

“Participant Documentation” means the agreements (together with any 

applicable schedules, exhibits or appendices thereto required by BSEF) in 

form and substance acceptable to BSEF, that are required to be executed 

and delivered to BSEF before a Person may access the SEF operated by 

BSEF as a Participant. Participant Documentation shall not include DMA 

Customer Documentation. 

“Participant ID” means each unique identifier assigned to a Participant 

other than a DMA Customer by BSEF for access to the SEF operated by 

BSEF.

“Permitted Transaction” means any transaction involving (i) a Swap that 

is not a Required Transaction or (ii) a Required Transaction that is a 

component of a Covered Package Transaction. 

“Person” means a natural person or an entity.

“Pre-Execution Communication” means a communication between two 

Persons for the purpose of discerning interest in the execution of a Swap 

prior to execution of the Swap on the SEF operated by BSEF, including 

any communication that involves discussion of the size, side of market, or 

price of an Order or a potentially forthcoming Order; provided that any 

communication between two Persons that involves an agreement between 

the parties to a Swap that legally binds the parties to such Swap shall not be 

considered a Pre-Execution Communication.
18

“President” means the individual appointed by the Board as BSEF’s chief 

executive officer in accordance with the Operating Agreement, with the 

duties and responsibilities as may be prescribed by the Board from time to 

time as set forth in Rule 208.

“Prime Broker” means a Person that acts as credit counterparty for 

transactions executed on the SEF in the name and on behalf of such Person 

by its client or an agent of its client that is a BSEF Participant and that has 

authorized a Participant to send RFQs, place Orders or enter into Trades in 

the name and on behalf of such Person. 

“Prime Broker Trade” means a Trade in a Non-Cleared Swap where one 

Counterparty is a Prime Broker and the other is a Participant with which the Prime 

Broker has a Non-Cleared Swap Agreement. Only a Permitted Transaction can be

a Prime Broker Trade.

“Proprietary Account” has the meaning set forth in 

CFTC Regulation 1.3(y).

“Public Director” means a Person that meets the qualifications described 

in Rule 207(e). 

“Qualified Account Manager” means any Person with more than $25,000,000 in 

total assets under management that is either: (A) a commodity trading advisor 

registered pursuant to Section 4n of the Act, or exempt from registration under the 

Act, or a principal thereof, who has discretionary trading authority or directs client 

accounts; (B) an investment adviser who has discretionary trading authority or 

directs client accounts and satisfies the criteria of CFTC Regulations § 

4.7(a)(2)(v); or (C) a foreign person who performs a similar role or function as the 

persons described in sub-paragraphs (A) or (B) above and is subject as such to 

foreign regulation.

“Regulatory Oversight Committee” means the committee of the Board 

constituted in accordance with Rule 204.

“Regulatory Services Agreement” means the agreement between BSEF 

and the Regulatory Services Provider whereby the Regulatory Services 

Provider provides market surveillance and trade practice surveillance 

functions as well as other compliance-related services to the SEF operated 

by BSEF. 

“Regulatory Services Provider” means the National Futures Association 

(“NFA”), the organization which provides regulatory services to BSEF 

pursuant to a Regulatory Services Agreement. 

“Reporting Counterparty” has the meaning set forth in Part 45 of the CFTC 

Regulations.
19

“Request for Quote” or “RFQ” means an electronic message disseminated 

on the SEF Platform for the purposes of soliciting bids or offers for a 

specific Swap.

“Request for Quote Functionality” means RFQT or RFQS. All RFQs and 

responses to RFQs will disclose the name of the Person with which the 

Authorized Trader who placed an Order or sent an RFQ is associated with 

in BSEF’s records.

“RFQS” means a SEF Platform functionality that allows a Requesting 

Participant to request a continuous stream of indicative quotes in a Swap 

from other Participants. At any time during the continuous stream, a 

Requesting Participant may send an Order to buy and/or sell a Swap to a 

Participant that provided an indicative quote. A Requesting Participant 

must provide to BSEF a standing instruction regarding RFQS recipients 

that will be applied by BSEF to all RFQS for such Requesting Participant. 

The SEF Platform will automatically display to a Requesting Participant a 

continuous stream of indicative quotes from all Participants indicated in the 

standing instruction upon Requesting Participant’s access to the SEF 

Platform. The Requesting Participant may send an Order to a recipient 

Participant requesting an execution at the price indicated in the indicative 

response. 

“RFQT ” means a functionality of the SEF Platform that allows a 

Requesting Participant to send an RFQ to buy and/or sell a Swap to any 

Participant(s), to which all such Participants may respond with a firm or 

indicative quote. The Requesting Participant may accept a firm response to 

an RFQ from a Recipient Participant or send an Order to a Recipient 

Participant requesting execution. 

(a) For RFQT for credit Swaps, if the SEF Platform receives from the 

same Recipient Participant that provided the initial price accepted by 

a Requesting Participant an updated response to an RFQ after the 

Requesting Participant’s acceptance and before the execution of a 

Trade by BSEF (a “Revised Price”); and 

(i) if the firm Revised Price is better for the Requesting Participant 

than the firm initial price the Requesting Participant accepted, then 

the Trade will be executed by the SEF Platform at such Revised 

Price;

(ii) if the firm Revised Price is worse for the Requesting Participant 

than the firm initial price the Requesting Participant accepted, then 

the acceptance of the initial price by the Requesting Participant will 

be rejected by the SEF Platform.
20

(b) For RFQT for foreign exchange Swaps in the event that any Recipient

Participant provides an updated price at the same time as a 

Requesting Participant intends to accept a firm response to the RFQ, 

then the Requesting Participant’s Trade will be executed at such 

updated price, rather than at the price which the Requesting 

Participant intended to accept initially. If the updated price is an 

indicative response, Requesting Participant’s Order will be sent for 

execution by the SEF Platform at the updated price. 

“Requesting Participant” means a Participant initiating an RFQ.

“Required Transaction” means any transaction involving a Swap that is 

subject to the trade execution requirement of Section 2(h)(8) of the Act.

“Recipient Participant” means a Participant that has received an RFQ 

from a Requesting Participant.

“Resting Quote” means any firm or indicative bid or offer displayed on an 

Order Book. 

“Rules” means, with respect to any Person, the rules of such Person and the 

interpretations, resolutions, orders, directives and procedures of the Person 

thereunder as in effect from time to time, and if no other Person is 

specified, means the Rules of the SEF operated by BSEF and the 

interpretations, resolutions, orders and directives and procedures of the SEF 

operated by BSEF thereunder as in effect from time to time. 

“SDR” means a swap data repository, as defined in Section 1a(48) of the 

CEA.

“SEC” means the U.S. Securities and Exchange Commission.

“SEF” means a swap execution facility as defined in Section 1a(50) of the 

CEA.

“SEF Action” and “SEF Actions” have the meanings attributed to such 

terms in Rule 210(a).

“SEF Data” has meaning set forth in Rule 803(a). 

“SEF Activity” means business for which a Participant is subject to the 

BSEF Rules, which is purportedly conducted subject to the BSEF Rules, or 

which should have been conducted subject to the BSEF Rules including 

Permitted Transactions and Block Trades.

“SEF Official” means any Director or Officer of, or individual employed 

directly by, BSEF, the Regulatory Services Provider or any individual 
21

rendering similar services to BSEF under an administrative or similar 

agreement.

“SEF Platform” means the electronic trading system of the SEF 

established and operated by BSEF, or any successor thereto, that is made 

available by BSEF to Participants for trading in Swaps.

“SEF Proceeding” has the meaning attributed to such term in Rule 210(a).

“Self-Regulatory Organization” or “SRO” shall, unless otherwise 

provided, have the meaning attributed to such term in CFTC Regulation 

1.3(ee) and, in addition, shall include a Derivatives Clearing Organization, 

and a registered futures association. BSEF is a self-regulatory organization.

“Sponsoring Broker” means a Participant other than a DMA Customer 

that allows its designated Customers to access the SEF Platform using the 

Participant ID of the Participant and (i) with respect to Cleared Swaps, is a 

Clearing Member; and (ii) with respect to Non-Cleared Swaps, is (x) an 

FCM or Introducing Broker; or (y) non-U.S. Person acting in a similar 

capacity that is not required to register as an FCM or Introducing Broker 

under the Act and that is appropriately licensed in a jurisdiction where its 

DMA Customer is located.

“Supervised Persons” means any directors, officers, employees or agents 

of any Participant.

“Swap” means any agreement, contract or transaction that is a swap as 

defined in Section 1a(47) of the CEA and as further defined by the CFTC, 

which is listed on the SEF operated by BSEF in accordance with CFTC 

Regulation 37.4.

“Swap Dealer” has the meaning set form in Section 1a(49) of the CEA.

“Swap Specification” means, with respect to any Swap, the Rules or other 

trading protocols containing specifications for such Swap, as adopted, 

amended, supplemented or otherwise modified from time to time by BSEF.

“Terms Incorporated by Reference” has the meaning set forth in Rule 

523(c).

“Trade” means any purchase or sale of any Swap executed on the SEF 

Platform or subject to BSEF Rules.

“Trade Communication” has meaning set forth in Rule 523(c).

“Trader ID” means a unique identifier issued to each Authorized Trader 

which enables BSEF to identify the individual entering RFQs or Orders 

into the SEF operated by BSEF. 
22

“Trading Access” means the right granted to a Person to send RFQs or 

place Orders and/or enter into transactions for certain or all Swaps to the 

SEF Platform or execute Swaps subject to the BSEF Rules.

“Trading Account” means, with respect to each Participant, Account or 

Customer, each account through which the Participant will trade Swaps and 

through which BSEF will monitor, as applicable, the open Swap positions 

and closed Swap positions of such Participants, Accounts or Customers and 

each account through which the Participant will present a Swap for clearing 

to a Clearing House. 

“Trading Hours” means, for any Business Day, the hours as may be 

published by BSEF in a Notice to Participants from time to time.

“Trading Privileges” means Trading Access or the right granted to a 

Person to use the SEF operated by BSEF for execution of Swaps. No 

Person may exercise Trading Privileges on behalf of a Participant during 

any suspension of such Participant’s Trading Privileges. 

“Unique Transaction Identifier” or “UTI” means a unique identifier 

assigned by BSEF to a Trade in accordance with CFTC Regulation 45.5. 

“U.S. Person” shall have the meaning set forth in CFTC Regulation 23.23.

“Vice President” means the individual appointed by the Board in 

accordance with the Operating Agreement, with the duties and 

responsibilities as may be prescribed by the Board from time to time as set 

forth in Rule 208. 

“Written” or “Writing” means printing, lithography, photography, and 

other modes of representing or reproducing words or data in a visible form, 

including electronic transmissions.

* * * * * *

The following rules of construction shall apply to the BSEF Rules:

(i) the headings in the BSEF Rules are for convenience only and do not affect the 

construction of the BSEF Rules;

(ii) all references to time in the BSEF Rules are to local time in New York, New York, 

except where expressly provided otherwise;

(iii) in the BSEF Rules, words denoting a singular number include the plural number 

where the context permits and vice versa;

(iv) where the context permits or requires, any pronoun shall include the corresponding 

masculine, feminine and neuter forms;
23

(v) forms of the word “include” mean that the inclusion is not limited to the items 

listed; 

(vi) “or” is disjunctive but not exclusive; 

(vii) for purposes of constructing these Rules other than Rules 306 and 317, references 

to the term “Participant” refer to both the terms “Participant” and “DMA Customer”; and

(viii) references in the BSEF Rules to statutory provisions include those provisions as 

amended, and any rules or regulations promulgated thereunder.

CHAPTER 2. SEF GOVERNANCE

RULE 201. Board

(a) The Board shall manage the business and affairs of BSEF in accordance with the 

Operating Agreement. At all times the Board must be composed of at least 20%, but no less than 

two, Public Directors. The Board has the power and authority to call for review, and to affirm, 

modify, suspend or overrule, any and all decisions and actions of standing committees or special 

committees of the Board or any panel of the Officers.

(b) The Board may act (including to appoint Public Directors, to the extent provided in 

the Operating Agreement) only by the decision of an absolute majority in number of the members 

of the Board, either by vote at a meeting or by Written consent without a meeting.

(c) Each Director (including Public Directors) shall be appointed in accordance with 

the Operating Agreement and the procedures included therein and shall serve until his or her 

successor is duly appointed, or until his or her earlier resignation or removal, with or without 

cause. 

(d) The members of the Board, including Public Directors, shall be of sufficiently 

good repute and, where applicable, have sufficient expertise in financial services. 

(e) The percentage of Public Directors required to serve on the Board or any 

committee thereof pursuant to this Chapter 2 shall be deemed to be modified to comply with the 

CEA and CFTC Regulations, in each case, as in effect from time to time.

(f) Without limitation of any other provisions of this Rule 201, the provisions of 

Article III of the Operating Agreement shall be deemed to be part of the BSEF Rules, and shall 

be deemed to be incorporated herein, to the same extent and with the same force and effect as if 

set forth herein in their entirety.
24

RULE 202. [Reserved]

RULE 203. [Reserved]

RULE 204. Regulatory Oversight Committee

(a) The Regulatory Oversight Committee of the Board shall consist only of Public 

Directors, appointed by the Board. Each member of the Regulatory Oversight Committee shall 

serve until the due appointment of his or her successor, or until his or her earlier resignation or 

removal, with or without cause, as a member of the Regulatory Oversight Committee or as a 

Director. A member of the Regulatory Oversight Committee may serve for multiple terms. The 

Regulatory Oversight Committee shall report to the Board. 

(b) The Regulatory Oversight Committee shall oversee BSEF’s regulatory program on 

behalf of the Board. It shall make such recommendations to the Board as will, in its judgment, 

best promote the interests of the SEF operated by BSEF. The Regulatory Oversight Committee 

shall also have such other powers and perform such other duties as set forth in the BSEF Rules, 

the Operating Agreement and as the Board may delegate to it from time to time. 

(c) Without limiting the generality of the foregoing, the Regulatory Oversight 

Committee shall have authority to:

Monitor the compliance program of the SEF operated by BSEF for 

sufficiency and effectiveness;

Oversee all facets of the compliance program, including trade practice and 

market surveillance, audits, examinations conducted by the Regulatory Services Provider 

and other regulatory responsibilities with respect to Participants, Customers, Accounts and 

Clearing Members (including ensuring compliance with any financial integrity, financial 

reporting, sales practice, recordkeeping and other requirements), and overseeing the 

conduct of investigations by the Regulatory Services Provider;

Review the size and allocation of the regulatory budget and resources and 

the number, hiring and termination, and compensation of compliance personnel;

Assist BSEF in minimizing actual and potential conflicts of interest;

Recommend changes that would ensure fair, vigorous, and effective 

compliance; and

Review compliance proposals and advise the Board as to whether and how 

such changes may impact compliance.

(d) The Regulatory Oversight Committee shall oversee the regulatory program of the 

SEF operated by BSEF on behalf of the Board. The Board shall delegate sufficient authority, 

dedicate sufficient resources, and allow sufficient time for the Regulatory Oversight Committee to 

fulfill its mandate. 
25

RULE 205. Additional Committees and Panels

(a) The Board may create such additional standing committees of the Board as it may 

from time to time deem necessary or advisable.

(b) In addition to the standing committees, the Board may from time to time constitute 

and appoint, by Rule or resolution, special committees of the Board and designate their 

composition, responsibilities and powers.

(c) BSEF may create additional committees of BSEF, or panels, for such purposes as 

may from time to time be necessary or advisable. Members of each such committee may be 

members of the Board, Supervised Persons of Participants or such other individuals as may be 

qualified to serve on such committee. 

RULE 206. Power of the Board to Review Decisions

The Board has the power and authority to call for review, and to affirm, modify, suspend 

or overrule, any and all decisions and actions of standing committees or special committees of the 

Board.

RULE 207. Eligibility

(a) A Director must meet the qualifications set forth from time to time in the 

Operating Agreement.

(b) An individual may not serve as a Director or serve on a committee established by 

the Board, a Disciplinary Panel or an Appeals Panel if the individual:

within the prior three (3) years has been found, by a final decision in any 

action or proceeding brought in a court of competent jurisdiction, the CFTC or any SelfRegulatory Organization, to have committed a disciplinary offense (as defined in CFTC 

Regulation § 1.63);

within the prior three (3) years has entered into a settlement agreement in 

which any of the findings or, in the absence of such findings, any of the acts charged, 

included a disciplinary offense; 

has been suspended or expelled from membership in a Self-Regulatory 

Organization, is serving any sentence or probation, or owes any portion of a fine or 

penalty related to either;

(A) a finding of a disciplinary offense by a final decision in any action 

or proceeding brought in a court of competent jurisdiction, the CFTC, or any SelfRegulatory Organization; or

(B) a settlement agreement in which any of the findings or, in the 

absence of such findings, any of the acts charged included a disciplinary offense. 
26

is currently subject to an agreement with the CFTC or Self-Regulatory 

Organization not to apply for registration with the CFTC or for membership in the SelfRegulatory Organization; 

is currently, or within the past three (3) years has been, subject to a 

revocation or suspension of registration by the CFTC; 

has been convicted of a felony listed in Section 8a(2)(D)(ii) through (iv) of 

the CEA; or

is currently subject to a denial, suspension or disqualification from serving 

on a disciplinary committee, arbitration or appeals panel or governing board of any selfregulatory organization, as that term is defined in CFTC Regulations § 1.63(a). 

(c) Any Director, member of a committee established by the Board or any member of 

a Disciplinary Panel, an Appeals Panel, any individual nominated to serve in any such role, or any 

individual authorized by the Regulatory Oversight Committee to take summary action shall 

immediately notify the President if such individual meets one or more of the criteria in Rule 

207(b). 

(d) For purposes of this Rule, the terms “disciplinary offense,” “final decision,” and 

“settlement agreement” have the meanings set forth in CFTC Regulation § 1.63(a).

(e) To qualify as a Public Director, a Director must be found, by the Board on the 

record, to have no material relationship with BSEF or any of its Affiliates. A “material 

relationship” is one that reasonably could affect the independent judgment or decision making of 

such individual as a Public Director. In addition, an individual shall not be considered a “Public 

Director” if any of the following circumstances exist: 

such Director is an Officer or an employee of BSEF, or an officer or 

an employee of an Affiliate of BSEF; 

such Director is a Participant, or a director, an officer or an employee of a 

Participant; or

such Director, or an entity with which the Director is a partner, an officer, 

or a director, receives more than $100,000 in combined annual payments for legal, 

accounting, or consulting services from BSEF or any Affiliate of BSEF. Compensation 

for services as a director of BSEF or as a director of an Affiliate of BSEF does not count 

toward the $100,000 payment limit, nor does deferred compensation for services rendered 

prior to becoming a Director of BSEF, so long as such compensation is in no way 

contingent, conditioned or revocable.

(f) Any of the relationships set forth in sub-paragraphs (e)(i) through (iii) of this Rule 

apply to the “immediate family” of such Director, i.e., spouse, parents, children and siblings.

(g) A Public Director may also serve as a director of an Affiliate of BSEF if he or she 

otherwise meets the requirements in paragraphs (e) and (f) of this Rule. 
27

RULE 208. Officers

The Board shall appoint a President, a Chief Compliance Officer, one or more vice 

presidents, a secretary, a treasurer, and such other officers of BSEF (all of the foregoing, 

collectively, the “Officers”) as it may deem necessary or appropriate from time to time, in 

accordance with the Operating Agreement. The Officers shall have such powers and duties in the 

management of BSEF as the Board may prescribe from time to time in accordance with the 

Operating Agreement. Each Director and Officer is entitled to indemnification pursuant to the 

Operating Agreement with respect to matters relating to BSEF.

RULE 209. Chief Compliance Officer

(a) The Board shall appoint and approve the Chief Compliance Officer. The Board 

shall approve the compensation of the Chief Compliance Officer. Removal of the Chief 

Compliance Officer shall require the approval of a majority of the Board. BSEF shall notify the 

CFTC of the removal of the Chief Compliance Officer and the appointment of any new Chief 

Compliance Officer, whether interim or permanent, within two business days, as defined in CFTC 

Regulation 40.1, of such appointment. 

(b) The individual designated to serve as Chief Compliance Officer shall have the 

background and skills appropriate for fulfilling the responsibilities of the position. No individual 

disqualified from registration pursuant to Sections 8a(2) or 8a(3) of the CEA may serve as a Chief 

Compliance Officer. The Chief Compliance Officer may not be a member of BSEF’s legal 

department and may not serve as its general counsel.

(c) The Chief Compliance Officer shall report directly to the Board. The Chief 

Compliance Officer shall meet with the Board at least annually. The Chief Compliance Officer 

shall also meet with the Regulatory Oversight Committee at least quarterly. Each such meeting 

may occur in person or by means of conference telephone. The Chief Compliance Officer shall 

provide any information regarding the regulatory program of the SEF operated by BSEF that is 

requested by the Board or the Regulatory Oversight Committee.

(d) The position of Chief Compliance Officer shall carry with it the authority and 

resources to develop and enforce policies and procedures necessary to fulfill the duties set forth 

for chief compliance officers in the Act and the CFTC Regulations. The Chief Compliance 

Officer shall have supervisory authority over all staff acting in furtherance of the Chief 

Compliance Officer’s obligations. 

(e) The Chief Compliance Officer’s duties shall include, but are not limited to, the 

following:

(i) Overseeing and reviewing the compliance of the SEF operated by BSEF

with Section 5h of the Act and any CFTC Regulations;

(ii) In consultation with the Board or the senior Officer of BSEF, resolving any 

conflicts of interest that may arise, including: (1) conflicts between business 

considerations and compliance requirements; (2) conflicts between business 

considerations and the requirement that the SEF operated by BSEF provide fair, open, and 
28

impartial access as set forth in CFTC Regulation 37.202; and (3) conflicts between

BSEF’s management and members of the Board;

(iii) Establishing and administering Written policies and procedures reasonably 

designed to prevent violation of the Act and any Rules adopted by the Commission;

(iv) Taking reasonable steps to ensure compliance with the Act and CFTC 

Regulations relating to agreements, contracts, or transactions, and with CFTC Regulations 

under Section 5h of the CEA;

(v) Establishing procedures for the remediation of noncompliance issues 

identified by the Chief Compliance Officer through a compliance office review, lookback, internal or external audit finding, self-reported error, or validated complaint;

(vi) Establishing and following appropriate procedures for the handling, 

management response, remediation, retesting, and closing of noncompliance issues;

(vii) Establishing and administering a compliance manual designed to promote 

compliance with the applicable laws, Rules, and regulations and administering a Written 

code of ethics designed to prevent ethical violations and to promote honesty and ethical 

conduct;

(viii) Supervising the SEF’s compliance program with respect to trade practice 

surveillance; market surveillance; real-time market monitoring; compliance with audit trail 

requirements; enforcement, disciplinary and appeals proceedings; audits, examinations 

conducted by the Regulatory Services Provider, and other regulatory responsibilities with 

respect to Participants, Accounts, Customers and Clearing Members (including ensuring 

compliance with, if applicable, financial integrity, financial reporting, sales practice, 

recordkeeping, and other requirements); 

(ix) Supervising the effectiveness and sufficiency of any regulatory services 

provided to BSEF by the Regulatory Services Provider; and 

(x) Preparing and filing the annual compliance report of BSEF.

RULE 210. Conflicts of Interest

(a) A Director, Officer, panel member or other Person authorized to exercise BSEF’s 

authority concerning any inquiry, investigation or any disciplinary or appeals proceeding, 

summary suspension, or other summary actions (any such action, a “SEF Action” and, 

collectively, “SEF Actions”), or Emergency actions taken pursuant to Rule 212 (each such SEF 

Action or Emergency Action, a “SEF Proceeding”) who knowingly has a “material conflict of 

interest” between his or her position as a Director, Officer, panel member or exercise of authority 

concerning any SEF Proceeding and his or her personal interests (each, an “Interested Person”) 

may not participate in any deliberations or vote of the Board committee, panel or exercise any 

authority in any SEF Proceeding involving his or her personal interest, except as described in 

Rule 210(d).
29

(b) For purposes of Rule 210(a), a “material conflict of interest” includes a Director’s, 

Officer’s, or other Person’s:

being named as a respondent or potential respondent in a SEF Proceeding;

being an employer, employee, fellow employee or an Affiliate of a 

respondent or potential respondent in a SEF Proceeding;

having any significant, ongoing business relationship with a respondent or 

potential respondent in a SEF Proceeding;

having a family relationship with a respondent or potential respondent in a 

SEF Proceeding (including the individual’s spouse, co-habitator, former spouse, parent, 

step-parent, child, step-child, sibling, step-brother, step-sister, grandparent, grandchild, 

uncle, aunt, nephew, niece, father-in-law, mother-in-law, son-in-law, daughter-in-law, 

brother-in-law or sister-in-law); and/or

having a direct and substantial financial interest in the result of the 

deliberations or vote based upon either SEF or non-SEF positions. A direct and 

substantial financial interest includes positions held in Swaps in the accounts of, 

Controlled by, or affiliated with the Interested Person or any other types of direct and 

substantial financial positions of the Interested Person that are reasonably expected to be 

affected by the deliberations or vote.

(c) Before considering any SEF Proceeding, an Interested Person must disclose in 

Writing to the Board the material facts concerning his or her relationship or interest in the matter.

(d) Any Interested Person who would be required otherwise to abstain from 

deliberations and voting pursuant to Rule 210(a) as a result of having a direct and substantial 

financial interest in the result of the deliberations and vote may participate in deliberations, prior 

to a vote on the matter, if:

the material facts about the Interested Person’s financial interest in the 

matter are disclosed or known to the Board;

the Board determines that the participation by the Interested Person 

would be consistent with the public interest; and

a majority of the Directors (excluding any Interested Persons) vote to 

allow the Interested Person to participate in deliberations on the matter.

(e) If a determination is made pursuant to Rule 210(d) that an Interested Person may 

participate in deliberations prior to a vote, then the minutes of the meeting of the Board or 

committee thereof will reflect the determination and the reasons for the determination.

(f) If a determination is made pursuant to Rule 210(a) that all Directors are Interested 

Persons with respect to a matter subject to a vote by the Board, the President will appoint a panel 

of individuals who are not Interested Persons with respect to such matter, which will have the
30

same authority and powers over such matter that the Board would have if the Directors were not 

Interested Persons with respect to such matter.

(g) No Director, Officer or member of any committee or panel established by the 

Board shall use or disclose for any purpose other than the performance of his or her official duties 

and responsibilities as a Director, Officer or committee or panel member any material, non-public 

information obtained as a result of the individual’s duties and responsibilities as a Director, 

Officer or committee or panel member. No Director, Officer or committee or panel member shall, 

directly or indirectly, disclose or use at any time, either during his or her association with BSEF

or thereafter, any confidential information of which the Board member or committee or panel 

member becomes aware. Each Director, Officer or committee or panel member in possession of 

confidential information shall take all appropriate steps to safeguard the information and to 

protect it against disclosure, misuse, espionage, loss and theft.

(h) Notwithstanding Rule 210(g), a Director, Officer or committee or panel member 

may disclose confidential information if required by Applicable Law or a court order to be 

revealed to the United States Department of Justice or the CFTC.

(i) For the purposes of Rule 210(g), the term “material, non-public information” shall 

mean “material information” that is “nonpublic information,” as such terms are defined in CFTC 

Regulation 1.59(a).

RULE 211. Restrictions on Certain Persons who Possess Material, NonPublic Information: Improper Use or Disclosure of Material 

Non-Public Information

(a) No member of the Board or of any Board committee, no member of any other 

committee of BSEF, no Officer of BSEF, no employee of BSEF, no agent of BSEF, no 

subcontractor of BSEF and no consultant to BSEF shall:

trade for such Person’s own account, or for or on behalf of any other 

account, in any commodity interest on the basis of any material, non-public 

information obtained through the performance of such Person’s official duties; 

use or disclose, for any purpose other than the performance of such 

Person’s official duties, any material, non-public information obtained by such 

Person as a result of such Person’s official duties, provided, however, that this 

Section shall not prohibit disclosures made by such Person in the course of his or 

her official duties or disclosures made to the CFTC, any Self-Regulatory 

Organization, a court of competent jurisdiction or any agency or department of the 

federal or state government; or

trade, directly or indirectly, in any Swap traded on the SEF operated 

by BSEF; in any related commodity interest; or in any commodity interest traded 

on any DCM or SEF or cleared by any Clearing House if such Person has access to 

material non-public information concerning such Swap or commodity interest.
31

RULE 212. Emergency Rules

(a) In the event of an Emergency, BSEF may implement temporary emergency 

procedures and rules (“Emergency Rules”), subject to the applicable provisions of the CEA and 

CFTC Regulations. Implementation of Emergency Rules shall be done in consultation with the 

CFTC. Emergency Rules may require or authorize BSEF, the Board, any committee of the 

Board, the President, or any other Officer to take actions necessary or appropriate to respond to 

the Emergency, including the following actions:

suspending or curtailing trading or limiting trading to liquidation only (in 

whole or in part);

extending or shortening the last trading date for Swaps;

ordering the fixing of a settlement price;

ordering the liquidation or transfer of an open position in any Swap, or the 

reduction of positions;

extending, limiting or changing the Trading Hours;

imposing or modifying intraday market restrictions;

transferring customer contracts and the margin in an emergency;

imposing special margin requirements;

extending or shortening the expiration date of a Swap;

altering any Swap’s settlement terms and conditions;

imposing or modifying price limits; 

imposing, modifying or reducing position limits; and/or

temporarily modifying or suspending any provision of the BSEF Rules or 

Obligations.

(b) Before any Emergency Rule may be adopted and enforced, a required vote of the 

Board must approve the implementation of such Emergency Rule at a duly convened meeting

requested by the President or any other Officer. Directors may attend such a meeting by 

teleconference. Each Director participating in such meeting shall be subject to Rule 210. If the 

President, Vice President or the Chief Technology Officer determines that Emergency Rules must 

be implemented with respect to an Emergency before a meeting of the Board can reasonably be 

convened, then the President, Vice President or the Chief Technology Officer shall have the 

authority, without Board action, to implement any Emergency Rules with respect to such 

Emergency that he or she deems necessary or appropriate to respond to such Emergency.
32

(c) Whenever BSEF, the Board, any committee of the Board, or the President, Vice 

President or the Chief Technology Officer takes actions necessary or appropriate to respond to an 

Emergency (including the actions set forth in paragraph (a) above), an Authorized Representative 

of BSEF will post a Notice to Participants regarding such Emergency, as soon as practicable. 

When the Board, any committee of the Board or the President, Vice President or the Chief 

Technology Officer determines that the Emergency is no longer in effect, permitting the SEF 

operated by BSEF to resume normal functioning; any such actions responding to an Emergency 

will be terminated.

(d) BSEF will use reasonable efforts to notify the CFTC prior to implementing, 

modifying or terminating an Emergency Rule. If such prior notification is not possible or 

practicable, BSEF will notify the CFTC as soon as possible or reasonably practicable, but in all 

circumstances within twenty-four (24) hours of the implementation, modification or termination 

of such Emergency Rule.

(e) Upon taking any action in response to an Emergency, BSEF will document the 

decision-making process related to such action. Such documentation will be kept for at least five 

years following the date on which the Emergency ceases to exist or to affect the SEF operated by 

BSEF, and all such documentation will be provided to the CFTC upon request.

RULE 213. Information-Sharing Agreements

(a) BSEF shall enter into information-sharing agreements or other arrangements or 

procedures necessary to allow BSEF to obtain any necessary information to perform any 

monitoring of trading and Trade processing, provide information to other markets, the CFTC or 

any other Governmental Body with jurisdiction over BSEF upon request and which allow BSEF 

to carry out such international information-sharing agreements as the CFTC may require. As part 

of any information-sharing agreements or other arrangements or procedures adopted pursuant to 

this Rule, BSEF may:

provide market surveillance reports to the CFTC, any Governmental Body 

with jurisdiction over BSEF, or, as necessary for BSEF to comply with its SRO 

obligations, to other markets;

share information and documents concerning current and former 

Participants to the CFTC, any Governmental Body with jurisdiction over BSEF, or, as 

necessary for BSEF to comply with its SRO obligations, to other markets;

share information and documents concerning ongoing and completed 

investigations to the CFTC, any Governmental Body with jurisdiction over BSEF, or, as 

necessary for BSEF to comply with its SRO obligations, to other markets; and/or

require its current or former Participants to provide information and

documents to BSEF at the request of the CFTC, any Governmental Body with jurisdiction 

over BSEF, or, as necessary for BSEF to comply with its SRO obligations, to other 

markets.
33

(b) BSEF may enter into any information-sharing arrangement with any Person or 

body (including the CFTC, the NFA, any Self-Regulatory Organization, any SEF, DCM, market, 

or clearing organization, or any Governmental Body) if BSEF (i) believes that such entity 

exercises a legal or regulatory function under any law or regulation, or a function comprising or 

associated with the enforcement of a legal or regulatory function, or (ii) considers such 

arrangement to be in furtherance of the purpose or duties of BSEF and the SEF operated by BSEF 

under Applicable Law. 

(c) BSEF may disclose any information provided by or relating to Participant, 

Account Managers, Authorized Traders, Supervised Persons, Clearing Members, Customers or 

Accounts or their agents, or Trades of Participant or of its Customers or Accounts, including the 

content of this Agreement, to any Governmental Body, to the Regulatory Services Provider

(whether for the purpose of supporting the provision of services by the Regulatory Services 

Provider or for the purpose of supporting the Regulatory Services Provider’s performance of its 

obligations and responsibilities as a registered futures association), to an SDR where BSEF 

reports Trades, to any other person or entity as required by Applicable Law or as necessary to 

conclude Participant’s Trades, submit Participant’s Trades for clearance or perform services 

requested by a Participant, and to any Person providing services to BSEF with respect to the SEF 

operated by BSEF. BSEF will not disclose any proprietary data or personal information of any 

Participant, Account Manager, Authorized Trader, Supervised Person, Clearing Member, 

Customer or Account without a corresponding confidentiality agreement between such Person 

and BSEF, unless the Person requesting such information is a Governmental Body.

RULE 214. Regulatory Services Agreement with the Regulatory Services 

Provider

BSEF has contracted with the Regulatory Services Provider to provide certain regulatory 

services to BSEF pursuant to a Regulatory Services Agreement. In accordance with the 

Regulatory Services Agreement, the Regulatory Services Provider may perform certain 

surveillance, investigative, and regulatory functions under the BSEF Rules and BSEF may 

provide information to the Regulatory Services Provider in connection with the performance by 

the Regulatory Services Provider of those functions, which such information may be used by the 

Regulatory Services Provider for the purpose of performing its obligations and responsibilities as 

a registered futures association. BSEF shall retain ultimate decision-making authority with 

respect to any functions that are contracted to the Regulatory Services Provider.

RULE 215. Delivery and Service of CFTC Communications for Non-U.S. 

Participants

In accordance with CFTC Rule 15.05, BSEF will serve as an agent of a non-U.S. 

Participant or a Customer of non-U.S. Participant for whom Swaps were executed or a non-U.S. 

Authorized Trader for purposes of accepting delivery and service of any communication issued by 

or on behalf of the CFTC to the non-U.S. Participant or the Customer of the non-U.S. Participant 

or the non-U.S. Authorized Trader, in each case with respect to any swap traded on the SEF 

operated by BSEF. 
34

CHAPTER 3. PARTICIPANTS

RULE 301. Eligibility Criteria for Becoming a Participant

(a) To be eligible for admission as a Participant, an applicant warrants to BSEF that it

meets the following criteria:

is an ECP, and each Account or Customer on whose behalf it wishes to 

trade on the SEF operated by BSEF is an ECP, in each case eligible to enter into the asset 

classes of Swaps it wishes to trade on the SEF operated by BSEF;

is of good reputation and business integrity;

is validly organized, in good standing, and authorized by its governing 

body and, if relevant, documents of organization, to trade Swaps;

has not filed for bankruptcy;

is not a SEF Official, agent or affiliate of BSEF;

is not prohibited from using the services of BSEF for any reason 

whatsoever;

holds all registrations required under Applicable Law, if any;

is not subject to statutory disqualification under Section 8a(2) of the CEA; 

satisfies any other criteria that BSEF may require from a Participant to 

perform its SRO responsibilities, comply with Applicable Law or provide SEF services; 

and

is not an ISV or an automated trading system.

(b) Once admitted, the Participant shall continue to comply with all applicable 

Eligibility Criteria in this Rule 301.

(c) With respect to Cleared Swaps, each Participant that is an Account Manager, FCM 

or Introducing Broker must ensure that each of its, as applicable, Accounts or Customers has a 

clearing account with a Clearing Member that is a member of the Clearing House accepting for 

clearance Cleared Swaps traded on the SEF operated by BSEF and provide BSEF with evidence 

of such relationship. With respect to Non-Cleared Swaps, each Participant that is an Account 

Manager or Introducing Broker must ensure that each of its, as applicable, Accounts or Customers 

complies with Rule 534, if applicable. A DMA Customer that is an Account Manager must 

ensure that each of its Accounts complies with Rule 534, if applicable. Each Participant or DMA 

Customer that is an Account Manager must provide BSEF upon BSEF’s prior Written request 

with Written representation or proof of authority to place RFQs or Orders and execute Trades on 

the SEF operated by BSEF on behalf or in the name of each Account. 
35

(d) With respect to Cleared Swaps, each Participant that is not an Account Manager 

must either be a Clearing Member of a Clearing House where the Cleared Swaps are cleared or 

have a clearing account with a Clearing Member with respect to such Cleared Swap and provide 

SEF with evidence of such relationship. With respect to Non-Cleared Swaps, each Participant 

that is not an Account Manager must comply with Rule 534, if applicable. 

(e) Each Participant must establish a Trading Account. In addition to all information 

required by BSEF, information in each Trading Account shall at minimum be sufficient to allow 

BSEF to present a Trade for clearing to a Clearing House. A Participant must keep such 

information current and up-to-date. Please see Notices to Participants 2016-5A and 2017-1, which 

are posted on BSEF’s website. 

(f) Participants that do not have a relationship with a Clearing Member as set forth in 

subsection (c) or (d) of this Rule 301 are prohibited from entering RFQs or Orders in Cleared 

Swaps on the SEF operated by BSEF.

(g) Upon request of BSEF, a Participant shall promptly provide to BSEF or its 

Regulatory Services Provider information about the Participant, its Customers, Accounts, 

Clearing Members and Authorized Traders as BSEF requests related to or in connection with SEF 

Activity. 

RULE 302. Authorized Traders

(a) Each Participant shall nominate or designate one or more Authorized Traders, who 

will conduct SEF Activity on behalf of the Participant. 

(b) Each Authorized Trader:

(i) must be a natural person;

(ii) must satisfy any other requirements as may be prescribed by BSEF from 

time to time; and

(iii)must have a Trader ID.

(c) A Participant that authorizes a third party to trade for its Trading Account on a 

discretionary basis pursuant to a power of attorney or other instrument must 

identify or approve a specific natural person as its Authorized Trader with respect 

to such Trading Account.

(d) Without limiting the foregoing, each Authorized Trader will abide by applicable

BSEF Rules and Applicable Law, and each Participant or DMA Customer, as applicable, will 

ensure on an ongoing basis that:

none of its Authorized Traders is subject to a disqualification pursuant to 

any Applicable Law (unless an appropriate exemption has been obtained with respect 

thereto);
36

each of its Authorized Traders will be technically proficient; 

each of its Authorized Traders will conduct its business in a fair and 

equitable manner; and 

each of its Authorized Traders will conduct its business in accordance with 

the BSEF Rules.

(e) By agreeing to become an Authorized Trader, an individual agrees to be bound by 

the duties and responsibilities of an Authorized Trader under these Rules and to be subject to, and 

comply with, the BSEF Rules and Obligations. Among other duties and responsibilities that 

BSEF may impose, an Authorized Trader must:

have the authority, at BSEF’s request, to adjust or withdraw any Order 

submitted under any Trader ID assigned to him or her; and

ensure that any SEF Activity conducted under any Trader ID assigned to 

him or her complies with all BSEF Rules and Obligations.

(f) To nominate or designate an Authorized Trader, a Participant must follow the 

procedures established by BSEF. BSEF may establish criteria that individuals must fulfill to 

become an Authorized Trader. Any such criteria will be set out in the BSEF Rules. BSEF will 

not accept the registration as an Authorized Trader of any individual who is a SEF Official.

(g) BSEF will maintain a list of all appointed Authorized Traders for each Participant.

(h) BSEF may, in its sole discretion terminate, revoke or suspend an Authorized 

Trader and shall promptly notify the Participant in Writing of such action. Upon such 

termination, revocation or suspension, BSEF will disable access of such Authorized Trader to the 

SEF operated by BSEF. 

(i) To request the termination of the designation of an Authorized Trader, the 

Participant or the Authorized Trader must notify BSEF following the procedures established by 

BSEF. BSEF will terminate access of such Authorized Trader to the SEF operated by BSEF 

immediately upon receipt of such notice from Participant. 

RULE 303. Participant Application Process; Termination of Participant

(a) Any Person who desires to become a Participant shall (i) submit signed Participant 

Documentation; (ii) agree in Writing to abide by the BSEF Rules and Applicable Law; (iii) 

provide such information and documentation as may be requested by BSEF; and (iv) follow the 

application procedures established by BSEF. 

(b) In considering an application from a potential Participant, BSEF may require 

additional information from the applicant, or conduct an investigation to verify information 

submitted by the applicant, or both.
37

(c) If BSEF decides to admit an applicant as a Participant, it shall promptly notify the 

applicant and state in such notice the date on which the applicant shall become a Participant.

(d) If BSEF decides to decline or condition an application for admission as a 

Participant, or terminate a Person’s status as a Participant, BSEF shall promptly notify such 

Affected Person thereof in a Writing sent to the address provided by the applicant or maintained 

in BSEF registry of Participants. Such Affected Person may, within seven (7) calendar days, 

request in Writing that BSEF provide the reasons for the denial, conditioning or termination of 

Participant status. Within fourteen (14) calendar days after receiving such Written request, BSEF 

shall send in Writing to the Affected Person the reasons for the denial, conditioning or 

termination. Within fourteen (14) calendar days of receiving the BSEF’s Written response, the 

Affected Person may request in Writing that BSEF reconsider its determination, and may provide 

any relevant representations or other information that such Affected Person believes to be relevant 

to the reconsideration.

(e) BSEF may deny, condition or terminate Participant status of any Person if: (i) such 

Person is unable to satisfactorily demonstrate its ability to satisfy the Eligibility Criteria as set 

forth in Rule 301(a) to become or remain a Participant; (ii) such Person is unable to satisfactorily 

demonstrate its capacity to adhere to all applicable BSEF Rules; (iii) such Person would bring 

BSEF into disrepute as determined by BSEF in its sole discretion; or (iv) for such other cause as 

BSEF may reasonably determine.

RULE 304. Trading Privileges of a Participant

(a) Upon admission as a Participant or DMA Customer, the Participant or DMA 

Customer must execute such Participant Documentation or DMA Customer Documentation, as 

applicable, as required from time to time by BSEF, and such Participant Documentation or DMA 

Customer Documentation, as applicable, must remain in effect for the Participant or DMA 

Customer to access the SEF operated by BSEF. 

(b) Admission as a Participant entitles the Participant only to Trading Privileges and 

does not confer any right of ownership in, or right to attend or vote at meetings of, BSEF, or right 

to share in the profits, of BSEF. A Participant may not transfer or assign its status as a 

Participant.

RULE 305. Termination or Limitation of Trading Privileges and Trading 

Access

(a) Notwithstanding anything in the BSEF Rules to the contrary, the Chief 

Compliance Officer may, after consultation with the Regulatory Oversight Committee, if 

practicable, summarily suspend, revoke, limit, condition, restrict or qualify the Trading Privileges 

of a Participant or the Trading Access of an Authorized Trader, and may take other summary 

action against any Participant or any of its Supervised Persons or any Authorized Trader in 

accordance with the BSEF Rules; provided, however, that the Chief Compliance Officer must 

reasonably believe that the business, conduct or activities of the Participant, Authorized Trader or 

Supervised Person in question is not in the best interests of BSEF or the marketplace, including 

based on any of the following: (i) statutory disqualification from registration as provided in CEA 
38

Section 8a(2) or (3); (ii) non-payment of fees, costs, charges, fines or arbitration awards; or (iii) 

the reasonable belief that immediate action is necessary to protect the public or the best interests 

of BSEF and the SEF operated by BSEF. BSEF may deny or limit Trading Privileges of a 

Participant or Trading Access of any Authorized Trader upon default of the Participant, Customer 

or Account, as applicable, on any Swap with respect to such Participant, Customer or Account.

(b) Whenever practicable, the Compliance Department, acting on behalf of the Chief 

Compliance Officer, shall provide prior Written notice to the party against whom any action in 

accordance with paragraph (a) shall be taken. If prior notice is not practicable, BSEF will give 

notice at the earliest possible opportunity to the respondent against whom the action is brought. 

The Compliance Department, acting on behalf of the Chief Compliance Officer, will prepare a 

notice of summary action (which will state the action, the reasons for the action, and the effective 

time, date and duration of the action) and serve the notice on such party.

(c) The summary action will become final upon the expiration of 20 days after the 

notice of action is served on the respondent.

(d) At the request of BSEF, a respondent against whom a summary action is brought 

pursuant to this Rule 305 must provide books and records over which the respondent has access 

or control and must furnish information to, or appear or testify before, BSEF or the in connection 

with the enforcement of any BSEF Rule.

(e) Participant may appeal any decision taken by BSEF under this Rule 305 as 

provided in Rule 620; provided, however, that any such decision by BSEF to deny or otherwise 

limit applicant’s Trading Privileges or Trading Access shall continue in effect during such review. 

RULE 306. Assessments and Fees

BSEF shall set the times and amounts of any assessments or fees to be paid by 

Participants, which assessments or fees shall be paid to BSEF when due. If a Participant fails to 

pay when due any such assessments or fees levied on such Participant, and such payment 

obligation remains unsatisfied for thirty days after its due date, BSEF may suspend, revoke, limit, 

condition, restrict or qualify the Trading Privileges of such Participant as it deems necessary or 

appropriate.

RULE 307. Authorized Representatives

Each Participant shall designate one or more Authorized Representatives who will 

represent the Participant before BSEF and its committees and receive notices on behalf of the 

Participant. The Authorized Representative shall be empowered by the Participant to act on its 

behalf and BSEF shall be entitled to rely on the actions of the Authorized Representative as 

binding on the Participant. Each Participant must provide BSEF with current contact and other 

requested information for each of its Authorized Representatives so that BSEF is able to 

immediately contact the Authorized Representatives.
39

RULE 308. Recording of Communications

BSEF may record conversations and retain copies of electronic communications between 

SEF Officials, on one hand, and Participants, their Account Managers, Authorized Traders, 

Supervised Persons or other agents, on the other hand, to the extent required by Applicable Law. 

Any such recordings may be retained by BSEF or the Regulatory Services Provider in such 

manner and for such periods of time as BSEF or the Regulatory Services Provider may deem 

necessary or appropriate. 

RULE 309. Notices to Participants

BSEF shall publish a Notice to Participants with respect to each addition to, modification 

of, or clarification of, the BSEF Rules or of any action to implement any BSEF Rules, in a form 

and manner that is reasonably designed to enable each Participant to become aware of and 

familiar with, and to implement any necessary preparatory measures to be taken by it with respect 

to, such addition or modification, prior to the effective date thereof. For purposes of publication 

in accordance with the first sentence of this Rule, it shall be sufficient (without limiting the 

discretion of BSEF as to any other reasonable means of communication) if a Notice to 

Participants is published on BSEF’s website and posted on BSEF’s internal notification system. 

Any Notice to Participants shall also be deemed to have been made to all Account Managers, 

Authorized Traders and Supervised Persons.

RULE 310. Communications between BSEF and Participants

Each Participant must provide BSEF with its current electronic mail address and telephone 

number and the electronic mail address and telephone number of any of its Authorized Traders 

and immediately (and in any event within 24 hours) update this information whenever it changes. 

All communications between BSEF and the Participant will be transmitted by electronic mail 

and/or posted on BSEF’s website, except as otherwise specified by BSEF. The Participant shall 

be responsible for conveying such communications to its Authorized Traders and/or to its 

Account Managers. Each Participant will be responsible for promptly reviewing and, if 

necessary, responding to all electronic communications from BSEF to the Participant or any of its 

Account Managers, Authorized Traders, Supervised Persons or any Person to whom it has given

Trader ID(s). All communications made to a Participant shall also be deemed to have been made 

to all Account Managers, Authorized Traders and Supervised Persons of such Participant. 

RULE 311. Application of BSEF Rules and Jurisdiction

(a) ANY MARKET PARTICIPANT THAT DIRECTLY OR INDIRECTLY 

EFFECTS A TRANSACTION ON THE SEF OPERATED BY BSEF, OR ANY 

PARTICIPANT, AUTHORIZED TRADER, CLEARING MEMBER OR OTHER 

PERSON ACCESSING OR ENTERING ANY RFQ OR ORDER OR SUBMITTING ANY 

SWAP INTO THE SEF OPERATED BY BSEF OR EXECUTING ANY TRADE 

PURSUANT TO THE RULES (i) IS BOUND BY, AND SHALL COMPLY WITH, THE 

BSEF RULES AND OBLIGATIONS, THE CLEARING HOUSE RULES, SWAP 

SPECIFICATIONS AND APPLICABLE LAW, IN EACH CASE TO THE EXTENT 

APPLICABLE TO IT, (ii) SUBMITS TO THE JURISDICTION OF BSEF WITH 
40

RESPECT TO ANY AND ALL MATTERS ARISING FROM, RELATED TO, OR IN 

CONNECTION WITH, THE STATUS, ACTIONS OR OMISSIONS OF SUCH

PARTICIPANT, AUTHORIZED TRADER OR OTHER PERSON, AND (iii) AGREES 

TO ASSIST BSEF IN COMPLYING WITH ITS LEGAL AND REGULATORY 

OBLIGATIONS, COOPERATE WITH BSEF, THE CFTC AND ANY 

GOVERNMENTAL BODY WITH JURISDICTION OVER BSEF OR THE SEF 

OPERATED BY BSEF IN ANY INQUIRY, INVESTIGATION, AUDIT, EXAMINATION 

OR PROCEEDING.

(b) Any Person whose access to the SEF operated by BSEF is suspended for any 

period remains subject to the BSEF Rules, the Obligations and BSEF’s jurisdiction throughout 

the period of suspension. Any Person whose access to the SEF operated by BSEF is revoked or 

terminated shall remain bound by the BSEF Rules and Applicable Law, in each case to the extent 

applicable to it, and subject to the jurisdiction of BSEF with respect to any and all matters arising 

from, related to, or in connection with, the status, actions or omissions of such Participant prior 

to such revocation or termination.

RULE 312. Description of Participant’s Status 

A Participant shall ensure that the form, content and context of any description of the 

Participant’s status on the SEF operated by BSEF is not inconsistent with, and does not 

misrepresent, the Participant’s capacity on the SEF operated by BSEF under the BSEF Rules or 

the Participant’s registration, if any, under the CEA, or under any other Applicable Law.

RULE 313. Dissolution of Participants 

All rights and privileges of a Participant terminate upon, and all obligations of a 

Participant shall survive the dissolution of the Participant.

RULE 314. Withdrawal of Participant

(a) To withdraw from the SEF operated by BSEF, a Participant must notify BSEF of 

its withdrawal. Such withdrawal shall be accepted and effective immediately upon receipt of such 

notice by BSEF. 

(b) When BSEF accepts the withdrawal of a Participant, all rights and privileges of 

such Participant terminate (including the Trading Privileges). The accepted withdrawal of a 

Participant shall not affect the rights of BSEF under the BSEF Rules or relieve the former 

Participant of such Participant’s obligations under the BSEF Rules before such withdrawal. 

Notwithstanding the accepted withdrawal of a Participant, the withdrawn Participant remains 

subject to the BSEF Rules, the Obligations and the jurisdiction of BSEF for acts done and 

omissions made while a Participant, and must cooperate in any SEF Proceeding under Chapter 6 

as if the withdrawn Participant were still a Participant.

RULE 315. Compliance with the Commodity Exchange Act

All SEF Participants shall comply with all relevant provisions of the CEA and the Rules 

and regulations duly issued pursuant thereto by the CFTC, including the filing of reports, 
41

maintenance of books and records, and permitting inspection and visitation by Authorized 

Representatives of the CFTC or Department of Justice.

RULE 316. Access

RULE 316.A. ECP Access

BSEF will provide its services to any ECP with access to its markets and BSEF services 

that is impartial, transparent and applied in a fair and non-discriminatory manner; provided, 

however, that each ECP complies with BSEF’s documentation and the eligibility requirements set 

forth in this Rulebook.

RULE 316.B. ISV Access

BSEF will provide ISVs with access to its trading platform and its data in a fair and nondiscriminatory manner; provided, however, that each ISV shall comply with BSEF’s criteria 

governing such access. Such access criteria shall be impartial and transparent.

RULE 317. Direct Market Access

(a) DMA may be sponsored only by a Sponsoring Broker.

(b) All trades in Cleared Swaps executed via DMA connection must be guaranteed by 

a Sponsoring Broker that assumes financial responsibility for all trades in Cleared Swaps 

executed through the DMA connection. 

(c) Each DMA Customer must execute the DMA Customer Documentation as a 

condition of being granted access to the SEF operated by BSEF.

(d) A Sponsoring Broker shall assist BSEF in any investigation into potential 

violations of the BSEF Rules, CFTC Regulations or the Act which occur through or with respect 

to a DMA connection guaranteed by such Sponsoring Broker. Such assistance must be timely 

and may include requiring any DMA Customer to produce documents, to answer questions from 

BSEF, and/or to appear in connection with an investigation.

(e) A Sponsoring Broker shall suspend or terminate the Trading Access of a DMA 

Customer or any Authorized Trader associated with such DMA Customer if BSEF determines 

that the actions of the DMA Customer or any of its Authorized Traders threaten the integrity of 

the SEF operated by BSEF or liquidity of any Swap or violate any BSEF Rule or if the DMA 

Customer or any of its Authorized Traders fails to cooperate in an investigation.

(f) If a Sponsoring Broker has actual or constructive notice of a violation of the BSEF 

Rules in connection with Direct Market Access by its DMA Customer and the Sponsoring Broker 

fails to take appropriate action, BSEF may consider that the Sponsoring Broker has committed an 

act detrimental to the interest or welfare of BSEF.
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RULE 318. Legal Certainty for SEF Trades

A transaction entered into on or pursuant to the BSEF Rules shall not be void, voidable, 

subject to rescission, otherwise invalidated, or rendered unenforceable as a result of:

(a) a violation by BSEF of the provisions of section 5h of the Act or CFTC 

Regulations;

(b) any CFTC proceeding to alter or supplement a Rule, term, or condition under 

section 8a(7) of the Act or to declare an emergency under section 8a(9) of the Act; or

(c) any other proceeding the effect of which is to:

alter or supplement a specific term or condition or trading rule or 

procedure; or

require BSEF to adopt a specific term or condition, trading rule or 

procedure, or to take or refrain from taking a specific action.

RULE 319. Rights and Responsibilities after Suspension or Termination

(a) When the Trading Privileges of a Participant or the Trading Access of any 

Authorized Trader are suspended, none of its rights and Trading Privileges (including the right to 

hold oneself out to the public as a Participant, enter RFQs or Orders into the SEF operated by 

BSEF and receive Participant rates for fees, costs, and charges at Participant levels) will apply 

during the period of the suspension, except for the right of the Participant in question to assert 

claims against others as provided in the BSEF Rules or the right to Trading Access. Any such 

suspension will not affect the rights of creditors under the BSEF Rules or relieve the Participant 

in question of its, his or her obligations under the BSEF Rules to perform any Swaps entered into 

before the suspension, or for any SEF fees, costs, or charges incurred during the suspension. 

(b) When the Trading Privileges of a Participant or the Trading Access of any 

Authorized Trader are terminated, all of a Participant’s rights and Trading Privileges or an 

Authorized Trader’s right to Trading Access will terminate, except for the right of the Participant 

in question to assert claims against others, as provided in the BSEF Rules. Any such termination 

will not affect the rights of creditors under the BSEF Rules. A terminated Participant may only 

seek to reinstate its Trading Privileges by applying for Trading Privileges pursuant to Rule 304. 

BSEF will not consider the application of a terminated Participant if such Participant continues to 

fail to appear at disciplinary or appeals proceedings without good cause or continues to impede 

the progress of disciplinary or appeals proceedings.

(c) A suspended or terminated Participant, Authorized Trader or Supervised Person

remains subject to the BSEF Rules and the jurisdiction of BSEF for acts and omissions prior to 

the suspension or termination, and must cooperate in any inquiry, investigation, disciplinary or 

appeals proceeding, summary suspension or other summary action as if the suspended or 

terminated Participant still had Trading Privileges or the terminated Authorized Trader still had 

Trading Access. BSEF may discipline a suspended Participant or Authorized Trader under this 
43

Chapter 6 for any violation of a BSEF Rule or provision of Applicable Law committed by the 

Participant or Authorized Trader before, during or after the suspension.

(d) Upon the request of a Customer, in the event of the suspension or revocation of the 

Trading Privileges of a Participant, BSEF shall seek to facilitate the transfer of any Customer 

accounts held by such Participant to other Participants with Trading Privileges. 

CHAPTER 4. OBLIGATIONS OF PARTICIPANTS, ACCOUNT MANAGERS, 

DMA CUSTOMERS, AUTHORIZED TRADERS AND 

SUPERVISED PERSONS

RULE 401. Duties and Responsibilities

(a) Each Participant, Account Manager, DMA Customer, Authorized Trader and 

Supervised Person shall:

(i) ensure that BSEF’s facilities are used in a responsible manner and are not 

used for any improper purpose;

(ii) ensure that BSEF’s facilities are used only to conduct SEF Activity;

(iii) ensure that all SEF Activity conducted by the Participant, Account 

Managers, Authorized Traders and Supervised Persons is performed in a manner 

consistent with applicable BSEF Rules and their respective Obligations;

(iv) comply with all BSEF Rules and Obligations and act in a manner 

consistent with each BSEF Rule and Obligation;

(v) observe high standards of integrity, market conduct, commercial honor, fair 

dealing, and just and equitable principles of trade while conducting or attempting to 

conduct any SEF Activity, or any aspect of any business connected with or concerning the 

SEF operated by BSEF;

(vi) not mislead or conceal any material fact or matter in any dealings or filings 

with BSEF or in response to any SEF Proceeding; and

(vii) keep the Authorized Trader’s Trader IDs, account numbers and passwords 

confidential.
44

(b) Each Participant shall be responsible for promptly informing BSEF of any material 

changes to Eligibility Criteria information provided to BSEF by the Participant.

RULE 402. Required Disclosures to BSEF

Each Participant shall immediately notify the Compliance Department upon becoming 

aware of any of the following events:

(a) any material change to the contact or other information provided to BSEF by the 

Participant;

(b) any damage to, or failure or inadequacy of, the systems, facilities or equipment of 

the Participant to effect transactions pursuant to the BSEF Rules or to timely perform the 

Participant’s financial obligations under or in connection with Swaps of such Participant or Swaps 

of any Customer or Account of such Participant;

(c) any refusal of admission of the Participant for membership in, any Self-Regulatory 

Organization, SEF, DCM, or Derivatives Clearing Organization;

(d) any expulsion, suspension or fine in excess of $25,000 (whether through an 

adverse determination, voluntary settlement or otherwise) imposed on the Participant by any 

Self-Regulatory Organization, SEF, DCM, Derivatives Clearing Organization or, with respect to 

SEF Activity, any relevant Governmental Body;

(e) any revocation, suspension or conditioning of any registration or license of a 

Participant necessary to conduct SEF Activity granted by any relevant Governmental Body;

(f) (A) the commencement of any judicial or administrative proceeding against the 

Participant or any Authorized Trader or Supervised Person or (B) the imposition of any fine in 

excess of $25,000, cease and desist order, denial of trading privileges, censure or other sanction or 

remedy (whether through an adverse determination, voluntary settlement or otherwise) imposed, 

in each case of (A) and (B), by any Self-Regulatory Organization, SEF, DCM, Derivatives 

Clearing Organization or, with respect to SEF Activity, any relevant Governmental Body;

(g) any indictment or conviction of, or any confession of guilt or plea of guilty or nolo 

contendere by, any principals or senior officers of the Participant or any Authorized Trader for 

any felony or misdemeanor involving, arising from, or related to, the purchase or sale of any 

commodity, futures contract, swap, option, security, securities futures product or other financial 

instrument, or involving or arising from fraud or moral turpitude; and

(h) the Participant’s or a 10% or greater owner of the Participant becoming the subject 

of a petition for bankruptcy;

(i) the appointment of a receiver, trustee or administrator for the Participant or a 10% 

or greater owner of the Participant;

(j) the presentment of a petition, or the passing of a resolution, for the Participant’s or 

a 10% or greater owner of the Participant winding-up;
45

(k) the commencement of proceedings for the Participant’s or the 10% or greater 

owner’s of the Participant dissolution; or

(l) the occurrence of an event of insolvency with respect to the Participant or the 10% 

owner or greater owner of the Participant.

RULE 403. Inspections by BSEF

(a) BSEF or the Regulatory Services Provider (or their respective authorized 

representatives), shall have the right with such prior reasonable advance notice as is practicable 

under the circumstances, in connection with determining whether all BSEF Rules are being, will 

be, or have been complied with by the Participant, to:

inspect the books and records of the Participants relating to SEF Activity;

inspect systems, equipment and software of any kind operated by the 

Participant in connection with SEF Activity and any data stored in any of the systems or 

equipment related to SEF Activity; and/or

copy or reproduce any data to which BSEF has access under this Rule.

(b) Such books and records, systems, equipment, software and data shall be made 

available to BSEF and the Regulatory Services Provider and their respective authorized 

representatives during regular business hours and BSEF and the Regulatory Services Provider and 

their respective authorized representatives agree to adhere to Participant’s reasonable logical and 

physical access and security procedures. 

(c) Each Participant, DMA Customer and Authorized Trader shall provide the 

Regulatory Services Provider with the same access to their books and records as they are required 

to provide to BSEF under the BSEF Rules and Applicable Law.

(d) The Compliance Department may require a Participant to furnish (periodically or 

on a particular occasion) information concerning the Participant’s SEF Activity.

RULE 404. Minimum Financial and Related Reporting Requirements

Each Participant that is registered with any Self-Regulatory Organization shall comply 

with the provisions of Applicable Law relating to minimum financial and related reporting and 

recordkeeping requirements.

RULE 405. Position Liquidation upon Default

Upon default of any Swap by a Participant, Customer or Client, BSEF shall have the right 

to arrange the liquidation of all or some Swap positions of such Participant, Customer or Client, 

as applicable, opened via the SEF operated by BSEF.
46

RULE 406. Authority to Impose Restrictions

Whenever a Participant is subject to the early warning requirements set forth in the CFTC 

Regulations, including CFTC Regulation 1.12, the President, or his or her designee, may impose 

such conditions or restrictions on the business and operations of such Participant as the President, 

or his or her designee, may deem necessary or appropriate for the protection of Customers, other 

Participants or the SEF operated by BSEF.

RULE 407. Customers and Accounts

(a) No Participant shall carry an account for a Customer or enter an RFQ or Order in 

the name of a Account unless the Participant has entered into a Written agreement with the 

Customer or Account that is in compliance with Applicable Law and the BSEF Rules.

(b) Each Participant must: (1) ensure that the Customer or Account is an ECP at the 

time of execution of any Swap; (2) subject every Swap executed for the Customer or Account to

the terms of the BSEF Rules insofar as they are applicable to that Swap; (3) in relation to any 

Swap executed for the Customer or Account, be able to comply with all requirements of the BSEF 

Rules and any other arrangements, provisions and directions given by BSEF; and (4) provide 

BSEF and its agents, including its Regulatory Services Provider, access to all information in 

connection with or related to its SEF Activity necessary for monitoring and enforcement of BSEF 

Rules. 

RULE 408. Disclosure Requirements; Know Your Counterparty 

Requirements

(a) With respect to Non-Cleared Swaps, Participants that are Swap Dealers or Major 

Swap Participants shall verify the status of each Counterparty as an ECP with respect to each 

Trade as provided in Part 23 of the CFTC Regulations applicable to business conduct standards 

for Swap Dealers and Major Swap Participants in their dealing with counterparties.

(b) Each Participant must comply with the disclosure requirements imposed by the 

BSEF Rules. 

RULE 409. Books and Records

RULE 409.A. Participant and Clearing Member Books and Records

(a) Each Participant, Clearing Member and market participant shall prepare and keep 

current all books, ledgers and other similar records relating to SEF Activity required to be kept by 

it pursuant to the Act, CFTC Regulations and these Rules and shall prepare and keep current such 

other books and records relating to SEF Activity and adopt such forms as BSEF may from time to 

time prescribe. Such books and records shall be made available, upon request, to BSEF, the 

CFTC, the Department of Justice or any Governmental Body, regulator or Self-Regulatory 

Organization with jurisdiction over BSEF, and their respective Authorized Representatives. 
47

(b) In addition to information required by subsection (a) of this Rule 409, each 

Participant, Clearing Member and market participant must comply with all applicable 

requirements of CFTC Regulation 1.35. 

(c) If a Participant cannot enter an Order or Request for Quote received from its 

Customer into the SEF Platform, the Participant must immediately create an electronic record that 

includes the account identifier that relates to the Customer Account, time of receipt, and terms of 

the Order or Request for Quote.

(d) As required by CFTC Regulation 37.404, each Participant, Clearing Member and 

market participant, as applicable, must keep records of their trading on the SEF operated by BSEF

(including records of its or its activity in the index or instrument used as a reference price, the 

underlying commodity and related derivatives markets) and make such records available, upon 

request, to BSEF, the CFTC or any Governmental Body, regulator or Self-Regulatory 

Organization with jurisdiction over BSEF, and their respective Authorized Representatives.

(e) Each Participant, Clearing Member and market participant shall keep all books and 

records required to be kept by it pursuant to these Rules for a period of five years from the date on 

which they are first prepared unless otherwise provided in these Rules or required by Applicable 

Law. Such books and records shall be readily accessible during the first two years of such fiveyear period. During such five-year period, all such books and records shall be made available for 

inspection by, and copies thereof shall be delivered to, BSEF and its Authorized Representatives 

upon request. 

(f) Each Participant and Authorized Trader shall provide the NFA with the same 

access to its books and records and offices as it is required to provide BSEF under these Rules 

and Applicable Law. 

(g) BSEF may require a Participant, Clearing Member and market participant to 

furnish such information concerning the Participant or Clearing Member’s business that is subject 

to these Rules as BSEF deems necessary to enable it to perform its obligations under Applicable 

Law, including information relating to (i) Swaps executed on the SEF operated by BSEF and in 

related derivatives markets, including in the products underlying those Swaps, and (ii) 

information requested by a government agency relating to the SEF and/or BSEF’s compliance 

with Applicable Law that BSEF believes is maintained by, or otherwise in the possession of, a 

Participant or Clearing Member.

(h) All data and information provided to or obtained by BSEF pursuant to this Rule 

409 shall be subject to the provisions of Rule 805.

(i) A DMA Customer can delegate the maintenance of the DMA Customer’s records 

required by CFTC Regulation 1.35 for transactions executed on BSEF to its Sponsoring Broker; 

provided, however, that the DMA Customer has an agreement with its Sponsoring Broker 

regarding the maintenance of such records. The DMA Customer shall remain ultimately 

responsible for all CFTC Regulation 1.35 recordkeeping obligations, including any records not 

covered by the agreement with its Sponsoring Broker. Notwithstanding anything to the contrary 
48

in this Rule 409.A, the DMA Customer shall remain directly responsible for the maintenance of 

all records set forth in Rule 409.A(d).

(j) Participants and ISVs that operate systems that route orders to the SEF are 

responsible for maintaining or causing to be maintained a routing/front-end audit trail for all 

Orders, which shall include Order entry, modification and cancellation and any SEF responses to 

such messages. For executed Orders, such audit trail must record the execution time of the Trade, 

along with all fill information. Participants and ISVs shall maintain audit trail information as 

required by Applicable Law and must have the ability to produce audit trail data in a reasonably 

usable format upon request of the SEF. The SEF will enforce these audit trail and recordkeeping 

requirements by conducting an annual review of all Participants to verify their compliance with 

the SEF’s audit trail and recordkeeping requirements.

RULE 409.B. BSEF Books and Records

BSEF shall keep, or cause to be kept, complete and accurate books and records, including 

all books and records required to be maintained pursuant to the CEA, the CFTC Regulations or 

the BSEF Rules as required by CFTC Regulation 1.31.

RULE 410. Responsibility for Mandatory Trading

Each Participant that is a Swap Dealer or Major Swap Participant shall be responsible for 

compliance with the mandatory trading requirement under Section 2(h)(8) of the CEA and shall 

not enter into any Required Transaction outside a SEF that lists a Swap related to such Required 

Transaction.

RULE 411. Eligibility for Clearing Exempt Transactions

(a) Each Participant wishing to execute any Clearing Exempt Transaction on the SEF 

operated by BSEF must submit to BSEF documentation demonstrating its eligibility (or the 

eligibility of its relevant Client or Customer, if applicable) for a Clearing Exception (a 

“Clearing Exception Form”) required by CFTC Regulations or CFTC Staff No-Action Letters 

prior to sending an RFQ or placing an Order subject to the Clearing Exception.

(b) Each Participant must comply with the conditions of the applicable Clearing 

Exception. 

CHAPTER 5. TRADING PRACTICES, REPORTING, CLEARING AND 

BUSINESS CONDUCT

RULE 501. Scope

This Chapter 5 prescribes Rules concerning trading practices and business conduct on the 

SEF operated by BSEF and applies to all RFQs, Orders and Trades in Swaps as defined in 

Chapter 1.
49

RULE 502. Procedures

(a) With respect to trading on or though the SEF Platform or subject to BSEF Rules, 

BSEF may adopt, without limitation, procedures relating to transactions in Swaps and trading on 

the SEF Platform or subject to BSEF Rules, including procedures to:

disseminate the prices of bids and offers on, and trades in, Swaps;

record, and account for, Swaps and SEF Activity and regulate 

administrative matters affecting Swaps and SEF Activity;

establish limits on the number and/or size of RFQs or Orders that may be 

submitted by a Participant through the SEF Platform or subject to BSEF Rules;

establish limits on the aggregate notional amount of Swaps that may be 

held by a Participant;

establish a limit on the maximum daily price fluctuations for any Swap and 

provide for any related restriction or suspension of trading in the Swap; and

establish minimum price quoting increments for each Swap.

(b) BSEF may, in its discretion and at any time, amend any procedures adopted 

pursuant to Rule 502(a), and will publish the amendments in a Notice to Participant or in any 

other manner determined appropriate by BSEF.

RULE 503. Business Days and Trading Hours

Except as provided in Rule 212 with respect to Emergencies, BSEF shall determine and 

publish a Notice to Participants listing the Business Days of the SEF operated by BSEF and the 

Trading Hours for each Swap.

RULE 504. Rule Violations

(a) It shall be an offense for a Participant, Account Manager, DMA Customer,

Authorized Trader or Supervised Person to violate any BSEF Rule regulating the conduct or 

business of a Participant or its Account Managers, Authorized Traders or Supervised Persons, or 

any agreement made with BSEF, or to engage in fraud, dishonorable or dishonest conduct, or in 

conduct which is inconsistent with just and equitable principles of trade.

(b) Participants shall assist BSEF in any investigation into potential violations of the 

BSEF Rules or, with respect to the SEF Activity, the CEA. Such assistance must be timely and 

may include, but not be limited to, producing documents, answering questions from BSEF or its 

designee, and/or appearing in connection with an investigation. 

(c) If a Participant has actual or constructive notice of a violation of BSEF Rules in 

connection with the use of the SEF operated by BSEF by a Participant, Customer, Account, 

Clearing Member or Authorized Trader and the Participant fails to take appropriate action, the 
50

Participant may be found to have committed an act detrimental to the interest or welfare of the 

SEF operated by BSEF.

RULE 505. Fraudulent Acts

No Participant, Account Manager, DMA Customer, Authorized Trader, Supervised Person 

or any market participant shall (a) intentionally or recklessly, directly or indirectly, engage, or 

attempt to engage, in any fraudulent act or intentionally or recklessly, directly or indirectly, use or 

employ, or attempt to use or employ, any manipulative device, scheme or artifice to defraud, 

deceive, trick or mislead or intentionally or recklessly, directly or indirectly, engage, or attempt to 

engage in any other activity prohibited by CFTC Regulation 180.1(a), or (b) engage, or attempt to 

engage, in any other activity prohibited by CEA section 9(a)(2), in each case of (a) and (b) in 

connection with or related to any SEF Activity. Specifically, no Participant, Account Manager, 

DMA Customer, Authorized Trader or Supervised Person shall directly or indirectly, engage in 

front running, fraudulent trading, money passes, trading ahead of customers, trading against 

customers, accommodation trading or improper cross trading. 

RULE 506. Prohibited Transactions

RULE 506.A. Fictitious or Wash Transactions 

No Participant, Account Manager, DMA Customer, Authorized Trader, Supervised Person 

or any market participant that directly or indirectly effects a transaction on the SEF operated by 

BSEF shall create fictitious transactions or wash transactions or execute any Order with 

knowledge of its nature. No Person shall place or accept Orders in the same Swap where the 

Person knows or reasonably should know that the purpose of the Orders is to avoid taking a bona 

fide market position exposed to market risk (transactions commonly known or referred to as wash 

sales). Orders for different accounts with common beneficial ownership that are entered with the 

intent to negate market risk or price competition shall also be deemed to violate the prohibition on

wash trades. Additionally, no Person shall knowingly execute or accommodate the execution of 

such Orders by direct or indirect means.

RULE 506.B. Pre-Arranged Transactions 

No Participant, Account Manager, DMA Customer or Authorized Trader shall engage in a 

pre-arranged transaction except as permitted by Rule 516, Rule 521 or Rule 531. 

RULE 507. Pre-Execution Communications

(a) Pre-Execution Communications with respect to Swaps executed through the Order 

Book shall be prohibited except in the case of Trades executed in accordance with Rule 521.

(b) Pre-Execution Communications are permitted with respect to Swaps executed 

through the Request for Quote Functionality in accordance with Rule 522.
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RULE 508. Market Manipulation and Post-Trade CLOB Disclosures Prohibited 

RULE 508.A. Price Manipulation

No Participant, Account Manager, DMA Customer, Authorized Trader, Supervised Person 

or any market participant shall directly or indirectly engage in any conduct that manipulates or 

attempts to manipulate the price of any Swap, including without limitation, engaging in activity 

in violation of CFTC Regulation 180.2. 

RULE 508.B. Disruptive Practices 

(a) No Participant, Account Manager, DMA Customer, Authorized Trader or 

Supervised Person shall engage in any trading, practice or conduct that constitutes a “disruptive 

practice,” as such term is described in CEA section 4c(a)(5) or in any interpretive guidance 

issued by the CFTC, in relation to the trading of any Swap. 

(b) A Participant may post on the CLOB and submit an RFQ to the SEF Platform in 

the same Swap at the same time using the same Participant ID only as permitted by Rule 

508.B(a) and Rule 508.A. 

RULE 508.C. Post-Trade Anonymity

(a) It is prohibited to disclose, directly or indirectly, including through a third-party 

service provider, the identity of a counterparty for Cleared Swaps executed, pre-arranged or prenegotiated anonymously on or pursuant to the rules of the SEF operated by BSEF.

(b) Prohibition on post-trade name give-up shall not apply to components of a Package 

Transaction that are not Cleared Swaps.

(c) The compliance date for swaps subject to the trade execution requirement under 

section 2(h)(8) of the CEA is July 5, 2021.

RULE 509. Prohibition of Misstatements

It shall be an offense to make any knowing misstatement of a material fact to BSEF, any 

SEF Official, any Board committee or SEF panel, the Compliance Department and/or agents of 

BSEF (including the Regulatory Services Provider) or any Participant or any of its Account 

Managers, Authorized Traders or Supervised Persons.

RULE 510. Acts Detrimental to Welfare of SEF

It shall be an offense to engage in any act that is detrimental to the interest or welfare of 

the SEF operated by BSEF.

RULE 511. Adherence to Law

(a) No Participant, Account Manager, Customer, Authorized Trader or Supervised 

Person shall engage in conduct in violation of the BSEF Rules, the Act, CFTC Regulations, the 
52

Rules of any SEF, or the rules of any DCM, DCO or SRO that has jurisdiction over such 

Participant, Account Manager, Customer, Authorized Trader or Supervised Person or, with 

respect to SEF Activity, the laws, rules or regulations of any relevant Governmental Body. 

(b) Without limiting subsection (a) of this Rule, each Participant that is an FCM or a 

Clearing Member must comply with all requirements of Applicable Law regarding the treatment 

of Customer funds and Customer Orders; and

each Participant, Customer or Account must comply with all margin 

requirements established by each relevant Clearing House and by each relevant Clearing 

Member, if applicable, as well as any margin requirements set forth by the CFTC or 

Applicable Law. 

RULE 512. Use of Trading Privileges

No Participant, Account Manager, DMA Customer, Authorized Trader or Supervised 

Person may use such Participant’s Trading Privileges in any way that could be expected to bring 

disrepute upon such Participant, Account Manager, DMA Customer, Authorized Trader or 

Supervised Person.

RULE 513. Supervision

Each Participant, DMA Customer and Account Manager shall be responsible for 

establishing, maintaining and administering reasonable supervisory procedures to ensure that its 

Authorized Traders and Supervised Persons, as applicable, comply with the BSEF Rules, the Act, 

CFTC Regulations, the Rules of any SEF, or the rules of any DCM, DCO or SRO that has 

jurisdiction over such Participant, Account Manager, DMA Customer, Authorized Traders or 

Supervised Persons or, with respect to SEF Activity, the laws, rules or regulations of any relevant 

Governmental Body, and such Participant may be held accountable for the actions of such 

Account Managers, Authorized Traders or Supervised Persons.

RULE 514. Misuse of the SEF Platform

Misuse of the SEF Platform is strictly prohibited. Only Swaps can be traded on the SEF 

operated by BSEF. It shall be deemed an act detrimental to the interest and welfare of the SEF 

operated by BSEF to willfully or negligently engage in unauthorized use of the SEF Platform, to 

assist any Person in obtaining unauthorized access to the SEF Platform, to trade on the SEF 

Platform without an agreement and an established account with a Derivatives Clearing 

Organization or a Clearing Member, to alter the equipment associated with the SEF Platform, to 

interfere with the operation of the SEF Platform, to intercept or interfere with information 

provided thereby, or in any way to use the SEF Platform in a manner contrary to the BSEF Rules.

Please see Notice to Participants 2017-2, which is posted on BSEF’s website.

RULE 515. Mishandling of Customer Orders 

Any Participant that mishandles any Customer Order is responsible for all remedial 

actions with respect to such Order.
53

RULE 516. Trade Cancellation, Correction, Offset and Adjustment –

General

(a) Any Trade executed on the SEF Platform operated by BSEF or in accordance with 

BSEF Rules can be canceled, corrected, adjusted or offset only in accordance with this Rule 

516. 

(b) A Participant involved in an Error Trade and acting as an Account Manager, 

Introducing Broker or FCM shall have the authority to request or consent to the cancellation, 

adjustment or offset, as applicable, of such Trade on behalf of the relevant Counterparty 

involved in the Trade.

(c) Timing of an Offset or Correction – Cleared Swaps

(i) For Error Trades rejected or not accepted by a Clearing House for noncredit reasons, the Correcting Trade must be executed on the SEF operated by BSEF and 

submitted for clearing as quickly as technologically practicable after the Clearing House

provides notice of the rejection of the Error Trade or BSEF cancels the Error Trade, but, in 

any event, no later than one hour from the issuance of the notice or cancellation by BSEF.

(ii) For Error Trades accepted by a Clearing House, the Offsetting Trade and/or 

the Correcting Trade must be executed and submitted for clearing no later than three 

Business Days after the Error Trade was executed. 

(d) Timing of a Correction, Cancellation or Adjustment – Non-Cleared Swaps. 

Any correction, cancellation or adjustment of a Trade in Non-Cleared Swaps made pursuant to 

this Rule 516 shall be made no later than three Business Days after the erroneous Trade was 

discovered. 

RULE 516.A. Notification of Action Taken and Trade Review – Cleared 

Swaps

(a) Cleared Swaps Executed on a Non-Anonymous Basis

(i) If Participants involved in a Trade agree that the Trade is an Error Trade 

and that the cancellation, correction, adjustment or offset of the Error Trade is appropriate 

and will not adversely impact market integrity, facilitate market manipulation, or other 

illegitimate activity, or otherwise violate the CEA, CFTC Regulations or BSEF Rules, 

Participants may enter into an Offsetting Trade and/or Correcting Trade using RFQT for 

Permitted Transactions, as provided below in this Rule.

(ii) For both Required Transactions and Permitted Transactions, Participants 

may enter into an Offsetting Trade and/or Correcting Trade using RFQT and specify in the 

RFQ that a Trade is either an Offsetting Trade or Correcting Trade. Providing such 

specification will constitute notice to the Compliance Department. 

(iii) For Permitted Transactions, Participants may enter into an Offsetting Trade 

and/or Correcting Trade using RFQT without specifying that a Trade is either an 
54

Offsetting Trade or Correcting Trade; provided that the Requesting Participant and the 

Recipient Participant notify BSEF Support Desk at 1-212-617-1530 within 24 hours after 

the execution of such Offsetting Trade and/or Correcting Trade and provide to BSEF the 

following information:

(A) a description of the clerical or operational error or omission in the 

terms of the Error Trade; 

(B) the UTI for the Error Trade and Offsetting Trade and/or Correcting 

Trade and any additional information reasonably requested by BSEF; and 

(C) a representation that the Trade qualifies as an Error Trade, e.g., the 

Trade contains an operational or clerical error.

(iv) For a Trade corrected pursuant to subsection (a)(i) of this Rule 516.A, the 

Compliance Department will conduct an ex post facto review of the Trade, the Offsetting 

Trade and the Correcting Trade within one Business Day of the date of execution of the 

Offsetting Trade and/or the Correcting Trade. Such ex post facto review will include a 

review of the electronic audit trail of the Trade, as well as other facts and circumstances 

associated with the Trade. If BSEF makes an affirmative finding that such Trade was not 

an Error Trade, BSEF Compliance will consider any action appropriate under BSEF 

Rules. 

(v) In the case of a Trade in Cleared Swaps executed on a non-anonymous 

basis, BSEF may, but is not obliged to, inform Participants affected by the Error Trade of 

the identity and contact information of any other Participant affected by the Error Trade.

(b) Cleared Swaps Executed on an Anonymous Basis

(i) To request cancellation, correction, adjustment or offset of a Trade in 

Cleared Swaps executed on an anonymous basis (“Alleged Error Trade”), a Participant 

must notify the BSEF Support Desk by phone at 1-212-617-1530 or by any form of 

written communication approved by BSEF by providing details sufficient to identify the 

Error Trade (e.g., UTI, FIT/FITDNA key, or Swap contract, notional amount, 

price/spread, Clearing House and execution time) and stating the grounds for the request 

as soon as possible, but no later than the end of the Business Day following the date of 

execution of the Alleged Error Trade. For notifications received after such date, BSEF 

shall have discretion as to whether to review the request to cancel, correct, adjust or offset 

the Alleged Error Trade.

(ii) The Compliance Department will review promptly the electronic audit trail 

of the Alleged Error Trade as well as any facts and circumstances associated with the 

Alleged Error Trade. If BSEF makes an affirmative finding that the Alleged Error Trade 

was an Error Trade and that the cancellation, correction, adjustment or offset of the 

Alleged Error Trade is appropriate and would not adversely impact market integrity, 

facilitate market manipulation or other illegitimate activity, or otherwise violate the CEA, 
55

CFTC Regulations or BSEF Rules, BSEF will designate such Alleged Error Trade as an 

“Error Trade.”

(iii) BSEF will inform affected Participants of the Error Trade alleged as set 

forth in subsection (b)(i) and of the next steps that the Participants must or could make. 

(iv) BSEF will not take any action with respect to an Error Trade unless the 

Error Trade is outside the No-Bust Range. BSEF will inform the affected Participants of 

the final disposition of the Error Trade. 

(v) For Trades in Cleared Swaps executed on an anonymous basis, BSEF will 

not inform Participants affected by the Error Trade of the identity and contact information 

of any other Participant affected by the Error Trade and will facilitate a pre-arranged 

Offsetting Trade or a Correcting Trade if all such Participants agree to or are required to 

enter into Trades described in Rule 516.B.

RULE 516.B. Error Trade Cancellation, Correction, Adjustment and Offset –

Cleared Swaps 

(a) Participant Errors

(i) For each Error Trade cleared by a Clearing House, BSEF may, if both 

Participants agree:

(A) request, or allow the Participants to request, the appropriate 

Clearing House to cancel, correct or adjust the Error Trade; or

(B) allow the affected Participants to enter into a pre-arranged 

Offsetting Trade to offset the position on the books of the Clearing House that 

resulted from the Error Trade; and/or 

(C) if desired by the affected Participants, allow the affected 

Participants to execute a Correcting Trade, provided, however, that the terms of 

such new Trade shall not include costs or fees associated with the Error Trade. 

(ii) For each Error Trade rejected by a Clearing House and determined to be 

void ab initio under Rule 533 or not accepted by a Clearing House and cancelled by BSEF

as provided in Rule 516.E, in each case because of an operational or clerical error or 

omission made by a Participant, Counterparty or Account Manager, if both Participants 

agree, the affected Participants may enter into a pre-arranged Correcting Trade.

(iii) All BSEF Rules other than Rule 522.A shall apply to Correcting Trades 

executed by Participants pursuant to this Rule 516.B(a). 

(iv) Participants must report to BSEF as soon as possible all changes made to 

the Error Trade pursuant to Rule 516.B(a)(i)(A). 
56

(v) With respect to an Error Trade rejected by a Clearing House for non-credit 

reasons, if the Correcting Trade is also rejected by the Clearing House and void ab initio, 

the affected Participants will not be provided a second opportunity to correct the Error 

Trade.

(b) System Errors

(i) If, after its own investigation or a notice from a Participant, BSEF 

determines in its sole discretion that the execution of a Trade cleared by a Clearing House 

was the result of an error made by the SEF Platform and the Trade has been designated as 

an Error Trade, then BSEF may: 

(A) request, or allow the Participants to request, the appropriate 

Clearing House to cancel, correct or adjust the Error Trade; or

(B) direct the affected Participants to enter into a pre-arranged 

Offsetting Trade to offset the position on the books of the Clearing House that 

resulted from the Error Trade; and/or

(C) direct the affected Participants to execute a Correcting Trade, 

provided, however, that the terms of such new Trade shall not include costs or fees 

associated with the Error Trade.

(ii) If, after its own investigation or a notice from a Participant, BSEF 

determines in its sole discretion that the execution of a Trade rejected by a Clearing House 

and determined to be void ab initio under Rule 533 or not accepted by a Clearing House 

and cancelled by BSEF as provided in Rule 516.E, in each case because of an operational 

or clerical error or omission made by the SEF Platform was the result of an error made by 

the SEF Platform, then BSEF may direct the affected Participants to enter into a prearranged Correcting Trade, provided, however, that the terms of such new Trade shall not 

include costs or fees associated with the Error Trade.

(iii) If BSEF directs affected Participants to enter into a pre-arranged Trade in 

accordance with sub-section (i)(B) above, the affected Participants shall enter into such 

pre-arranged Trade.

(iv) All BSEF Rules other than Rule 522.A shall apply to Correcting Trades 

executed by Participants pursuant to this Rule 516.B(b).

(v) Notwithstanding anything to the contrary in this Rule 516(B)(b), BSEF 

reserves the right to correct an Error Trade resulting from an error made by the SEF 

Platform by any means BSEF deems appropriate. 

(vi) If BSEF is unable to determine how to correct the Error Trade, BSEF may 

either not fix the error, or it may seek guidance on how to address the error from the 

affected Participants. Any such guidance may not be implemented without consent from 

both Participants.
57

(vii) Participant must report to BSEF as soon as possible all changes made to the 

Error Trade pursuant to Rule 516.B(b)(i)(A). 

(viii) With respect to an Error Trade rejected by a Clearing House for non-credit 

reasons, if the Correcting Trade is also rejected by the Clearing House and void ab initio, 

the affected Participants will not be directed to enter into another Trade to correct the

Error Trade.

RULE 516.C. Erroneous Trade Cancellation, Correction and Adjustment –

Non-Cleared Swaps

(a) Participant Error

(i) The Participants involved in an erroneous Trade, other than a Prime Broker 

Trade, may mutually agree to cancel the erroneous Trade or to correct or adjust the 

erroneous Trade. BSEF will cancel, correct or adjust the erroneous Trade as instructed by 

the affected Participants. A Prime Broker Trade shall be canceled in accordance with 

Rule 516.D.

(b) System Error

If, after its own investigation or a notice from a Participant, BSEF 

determines in its sole discretion that the execution of a Trade, other than a Prime Broker 

Trade, was the result of an error made by the SEF Platform, then BSEF may:

(A) cancel such Trade; or

(B) if both Participants, or with respect to a Prime Broker Trade, both 

Participants and the Prime Broker, affected by the erroneous Trade agree, correct 

or adjust the price. 

RULE 516.D. Prime Broker Trades

(a) A Participant that is a Counterparty to a Prime Broker Trade may request the 

cancellation of a Prime Broker Trade. The Participant must request cancellation by sending a 

cancellation message to BSEF. The cancellation message must state the UTI of the Prime 

Broker Trade, name and contact information of the Prime Broker for the Prime Broker Trade 

and the reason for cancellation. If the Prime Broker confirms the cancellation, BSEF will 

cancel the Prime Broker Trade.

(b) Subject to subsection (c) of this Rule, a Prime Broker shall have the right to cancel 

any Prime Broker Trade (i) that is executed in excess of the limit, terms or parameters 

established by the Prime Broker with respect to the Prime Broker Trade, (ii) because the Prime 

Broker Trade was executed by or with a Person that was not authorized by the Prime Broker, or 

(iii) because the Prime Broker Trade was executed for an unauthorized product. The Prime 

Broker must request cancellation by sending a cancellation message to BSEF. The cancellation 

message must state the UTI of the Prime Broker Trade and the reason for cancellation. If BSEF 
58

determines that the cancellation satisfies the conditions of Rule 516.D(b), BSEF will cancel the 

Prime Broker Trade. 

(c) Each Prime Broker that wishes to have the ability to instruct BSEF to cancel 

Trades executed on BSEF under Rule 516.D.(b) must enter into an agreement with BSEF.

RULE 516.E. Trade Cancellation and Adjustment by BSEF

(a) BSEF may adjust or cancel a Trade (i) that resulted from a market disrupting 

event, (ii) that is executed at a price that was outside the No-Bust Range, (iii) to comply with 

Applicable Law or (iv) that was intended to be cleared and was submitted to a Clearing House 

via a service provider but was not presented to the Clearing House for clearing due to a postexecution processing issue. Please see Notice to Participants 2016-5A, which is posted on 

BSEF’s website. 

(b) If BSEF takes action pursuant to this Rule 516.E, it will give prompt notice to 

affected Participant(s). 

RULE 516.F. Trade Reporting by BSEF

BSEF will report the adjustment or cancellation of the Trade and any new Trade entered 

into pursuant to this Rule in accordance with Rule 532. 

RULE 517. Withholding Orders Prohibited

(a) Any Participant entering RFQs or Orders on the SEF operated by BSEF for its 

Customers shall not withhold or withdraw from the market any RFQ or Order, or any part of an 

RFQ or Order, for the benefit of any Person other than the Customers.

(b) A Participant must enter immediately into the SEF operated by BSEF all Orders or 

Requests for Quotes received from its Customers that are executable immediately. If a Participant 

cannot immediately enter into the SEF Platform an Order or Request for Quote received from its 

Customer, the Participant must enter the Order or Request for Quote into the SEF operated by 

BSEF as soon as practicable, and must immediately create an electronic record as provided in 

Rule 409.

RULE 518. Priority of Customers’ Orders

No Participant that is an FCM or Introducing Broker shall enter an Order into the SEF 

operated by BSEF for his own account, an account in which he has a direct or indirect financial 

interest or an account over which he has discretionary trading authority, including an Order 

allowing discretion as to time and price, when such Person is in possession of any Order in the 

same Swap for its Customer that the SEF operated by BSEF is capable of accepting.
59

RULE 519. Trading Against Customers’ Orders Prohibited

RULE 519.A. General Prohibition

No Person in possession of a Customer’s Order shall knowingly take, directly or 

indirectly, the opposite side of such Order for its own account, an account in which it has a direct 

or indirect financial interest, or an account over which it has discretionary trading authority.

RULE 519.B. Exceptions

The foregoing restriction shall not apply to transactions executed pursuant to Rule 531.A 

or Rule 531.B.

RULE 520. Disclosing Orders Prohibited

No Person shall disclose another Person’s RFQ or Order to buy or sell except to a 

designated SEF Official or the CFTC, and no Person shall solicit or induce another Person to 

disclose RFQ or Order information. No Person shall take action or direct another to take action 

based on non-public RFQ or Order information, however acquired. 

RULE 521. Simultaneous Buy And Sell Orders For Different Beneficial 

Owners

(a) A Participant that is a broker or a dealer which seeks either to execute against a 

Customer’s Order or to execute two Customers against each other through an Order Book 

following some form of pre-arrangement or pre-negotiating of such Orders must expose one side 

of the transaction for a minimum of 15 seconds to the other Participants before the second side of 

the transaction (whether for the Participant’s own account or for a second Customer) can be 

submitted for execution.

(b) Notwithstanding the foregoing clause (a), this Rule shall not apply to any DMA 

Order.

RULE 522. Execution of Orders on the SEF Platform

RULE 522.A. Required Transactions and Cleared Swaps

(a) No Participant shall execute a Required Transaction in a Swap listed on the SEF 

operated by BSEF other than as described in this Rule 522.A unless it is a Block Trade, Offsetting 

Trade, Correcting Trade or a component of a Covered Package Transaction. 

(b) Request for Quote Functionality 

(i) The SEF Platform will not transmit an RFQ or an Order for a Required 

Transaction unless (x) an RFQ for a specific Swap is sent to at least three MAT Recipient 

Participants using RFQT; or (y) RFQS provides quotes from at least three MAT Recipient 

Participants.
60

(ii) Together with the first response from any MAT Recipient Participant, the 

SEF Platform will provide to a Requesting Participant any firm Resting Quotes for the 

Swap indicated in the RFQ that are posted on an Order Book together with any responses 

to the RFQ from the MAT Recipient Participants, and such Resting Quotes will remain 

provided until all responses to the RFQ are received or the time for response has lapsed. 

The SEF Platform will permit the Requesting Participant to execute against such firm 

Resting Quotes along with any responsive Order from a MAT Recipient Participant.

“MAT Recipient Participant” means, with respect to any Requesting Participant sending 

any RFQ via the Request for Quote functionality of the SEF Platform, a Participant other 

than the Requesting Participant that (x) is not an Affiliate of or Controlled by the 

Requesting Participant and (y) is not an Affiliate of or Controlled by any other MAT 

Recipient Participant receiving the same RFQ of the Requesting Participant. 

(iii) The Request for Quote Functionality will provide each Participant with 

equal priority in receiving RFQs, transmitting and providing responses and accepting 

resulting Orders. 

(c) Anonymous CLOB for Cleared Swaps

Only firm bids and offers can be posted on the CLOB. Firm bids or offers may be 

posted on the CLOB for Cleared Swaps only by a Participant that is a member of 

the applicable Clearing House, by a Participant that has a clearing account with a 

Clearing Member as set forth in Rule 533(b), or by a Participant in the name of an 

Account or Customer that has a clearing account with a Clearing Member as set 

forth in Rule 533(b). Bids and offers posted on the CLOB for Cleared Swaps are 

anonymous and will be matched on a price/time priority basis. BSEF shall not 

disclose the names of Participants or Counterparties for a Trade executed on the 

CLOB and it shall be a violation of the Rules for a Participant or Counterparty to 

ascertain or attempt to ascertain the name of the Participant or Counterparty that is 

on the opposite side of a Trade executed on the CLOB.

RULE 522.B. Permitted Transactions

The following execution methods are available for Permitted Transactions:

(a) Disclosed Order Book for Permitted Transactions in foreign exchange Swaps;

(b) Anonymous CLOB for Permitted Transactions in rate and credit Swaps that are 

Cleared Swaps;

(c) Disclosed CLOB for Permitted Transactions in rate and credit Swaps that are NonCleared Swaps;

(d) RFQS for rate, credit, non-deliverable forwards; and

(e) RFQT for all Swaps. 
61

RULE 522.C. Package Transactions 

(a) Other than as set forth in Rule 522.C(b), a Package Transaction or a component of 

a Package Transaction that is a Required Transaction must be executed as provided in Rule 

522.A. 

(b) A Covered Package Transaction or a component of a Covered Package Transaction 

that is a Required Transaction may be executed using RFQT in accordance with CFTC Rule 

37.9(d) or No-Action Letter 22-15, which expires November 15, 2025.

RULE 522.D. Execution of Swaps Subject to the Clearing Exemption

No Participant shall enter into a Clearing Exempt Transaction unless it (or its Account or 

Customer) or its Counterparty can claim a Clearing Exception with respect to such Clearing 

Exempt Transaction. An Order for a Clearing Exempt Transaction will be rejected if an 

applicable Clearing Exception Form is not on file with BSEF. 

RULE 522.E. Block Trades in Swaps 

(a) Block Trades in Swaps may be executed using the Request for Quote 

Functionality. BSEF will report each Block Trade to an SDR as set forth in BSEF Rule 532(d).

(b) Each Counterparty to a Block Trade must be an ECP.

(c) The aggregation of Orders for different accounts to satisfy the Minimum Block 

Trade size is permissible only by a Person who is a Qualified Account Manager.

(d) A Qualified Account Manager transacting an aggregated Block Trade on behalf of 

any other Person must receive prior Written instruction or consent from each such other Person to 

do so. Such instruction or consent may be provided in the power of attorney or similar document 

by which the other Person provides the Person with discretionary trading authority or the 

authority to direct the trading in its account.

RULE 523.Trade Confirmations

(a) BSEF will confirm each Trade at the same time as execution of the Trade. BSEF 

will provide each Counterparty to a Trade that is entered into on or pursuant to the BSEF Rules 

with a Written record of all of the terms of the Trade which shall legally supersede any previous 

agreement and serve as a confirmation of the transaction (a “Confirmation”) as soon as 

technologically practicable after the execution of a Trade. Such terms shall legally supersede 

any previous agreement and serve as a confirmation of the Trade. BSEF will not include 

specific customer identifiers for accounts included in Bunched Orders if the applicable 

requirements of CFTC Regulation 1.35(b)(5) are met.

(b) On the Confirmation BSEF will:

(i) provide the UTI for the Trade and the name of the SDR where the Trade is 

reported; 
62

(ii) identify the Counterparty that is a Reporting Counterparty pursuant to 

CFTC Regulation 45.8, and notify each Counterparty or its agent if the Counterparty is a 

Reporting Counterparty, using the information provided by a Participant pursuant to Rule 

524.A or 524.C; and

(iii) if both Counterparties have equal reporting status under CFTC Regulation 

45.8, BSEF will designate the Reporting Counterparty using the following rules:

(A) For the rates asset class, the Reporting Counterparty will be 

determined as set forth in the table below: 

A Trade that is 

not a leg of a 

Package 

Transaction

A Package 

Transaction 

defined on the 

SEF Platform as 

“curves”

A Package 

Transaction 

defined on the 

SEF Platform as 

“butterflies”

A Package 

Transaction 

defined on the 

SEF Platform as 

“rolls”

Package 

Transactions 

executed via the 

BOLT 

functionality of 

the SEF Platform

in accordance 

with the ISDA 

Dodd-Frank Act 

– Swap 

Transaction 

Reporting Party 

Requirements, 

the relevant 

portion of which 

is attached to this 

Rulebook as 

Annex A

the fixed rate 

payer on the leg 

with longer 

maturity is the

Reporting 

Counterparty on 

all legs

the fixed rate 

payer on the leg 

with the middle 

tenor (“body”) is 

the Reporting 

Counterparty on 

all legs

the fixed rate 

payer of the far 

month leg is the 

Reporting 

Counterparty on 

all legs

on an individual 

leg basis in 

accordance with 

the ISDA DoddFrank Act –

Swap 

Transaction 

Reporting Party 

Requirements, 

the relevant 

portion of which 

is attached to this 

Rulebook as 

Annex A

(B) For the credit asset class, the Reporting Counterparty will be 

determined as set forth in the table below:

A Trade that is not a 

Package Transaction

A Package 

Transaction defined 

on the SEF Platform 

as a “curve”

A Package Transaction 

defined on the SEF 

Platform as a “roll”

A Package 

Transactions defined 

on the SEF Platform 

as a “switch”

the seller of protection 

is the Reporting 

Counterparty

the seller of protection 

on the leg with longer 

maturity is the 

Reporting 

Counterparty on all 

legs

the seller of protection 

on the leg with longer 

maturity is the 

Reporting 

Counterparty on all 

legs

the seller of 

protection on the 

second leg of the 

switch (as displayed 

on the SEF Platform) 

is the reporting 

counterparty for all 

legs
63

(C) For the foreign exchange asset class: the Reporting Counterparty is 

the liquidity provider. For a Package Transaction, Reporting Counterparty will be 

determined on an individual leg basis and is the liquidity provider. A “liquidity 

provider” is a Person that: (i) for RFQ, provided the responses to an RFQ that led 

to the reported Trade; or (ii) for an Order Book, provided the first quote that led to 

the reported Trade. 

(c) With respect to any Non-Cleared Swap, a Confirmation shall for purposes of 

Commission Regulation 37.6(b) consist of the Trade Communication and the Terms 

Incorporated by Reference. In the event of any conflict between (x) the Trade Communication 

and (y) the Terms Incorporated by Reference, the Trade Communication shall prevail to the

extent of any inconsistency and the Trade Communication will state the same.

“Trade Communication” shall mean a Written communication provided by BSEF 

to each Participant involved in a Trade containing the economic terms of the Trade 

agreed by the Participants on the SEF operated by BSEF. 

“Terms Incorporated by Reference” shall mean the Non-Cleared Swap 

Agreement(s) governing the Trade memorialized in the Trade Communication.

(d) In accordance with CFTC No-Action Letter 17-17, until the effective date of 

revised CFTC regulations that establish a permanent, practicable SEF confirmation solution, 

Participants entering into Non-Cleared Swaps on or subject to the rules of the SEF operated by 

BSEF are not required to provide to BSEF the Non-Cleared Swap Agreement(s) governing such 

Non-Cleared Swaps prior to entering into a Trade in a Non-Cleared Swap, but must provide 

copies of the Non-Cleared Swap Agreement(s) to BSEF upon request. Upon request from the 

Commission, BSEF will request a Participant to provide copies of the applicable Non-Cleared 

Swap Agreement(s) and will provide such copies to the Commission.

RULE 524. Order Entry Requirements

Please see Notice to Participants 2017-1, which is posted on BSEF’s website.

RULE 524.A. General

Each Authorized Trader entering an RFQ or Order with respect to any Swap traded on the 

SEF operated by BSEF must include with the Order, as applicable:

(a) the Trader ID; 

(b) the Participant ID;

(c) the Legal Entity Identifier of the Participant placing the RFQ or Order;

(d) the Counterparty’s Legal Entity Identifier;

(e) the Swap description or code;
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(f) the price or yield, quantity, maturity or expiration date of the Swap;

(g) side of the Order;

(h) the CTI code;

(i) Trading Accounts and other relevant account(s);

(j) a yes/no indication of whether the Counterparty is a Swap Dealer with respect to 

the Swap with respect to which the Order is placed;

(k) a yes/no indication of whether the Counterparty is a Major Swap Participant with 

respect to the Swap with respect to which the Order is placed;

(l) a yes/no indication of whether the Counterparty is a Financial Entity;

(m) a yes/no indication of whether the Counterparty is a U.S. person; 

(n) a yes/no indication that a Swap is an inter-affiliate Swap that should not be subject 

to the real-time reporting requirements; 

(o) a yes/no indication of the Clearing Exception;

(p) an indication of whether the Swap is a leg of a Covered Package Transaction;

(q) if applicable, other terms of a Swap that is not a Cleared Swap required by BSEF 

(e.g., type of Clearing Exception); or

(r) if the Swap is a Cleared Swap:

an indication that the Swap will be cleared; and

the Clearing Account Identifier for a Clearing House where the Swap is 

intended to be cleared; and 

(s) if the Swap will be allocated:

(i) an indication that the Swap will be allocated; and

(ii) if the Swap is allocated pre-execution, the Legal Entity Identifier for each 

Account that will receive allocations and the Clearing Account Identifier 

for a Clearing House where each allocation is intended to be cleared.
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RULE 524.B. Customer Type Indicator (CTI) Codes

Each Participant must identify each transaction submitted to the SEF operated by BSEF 

with the correct customer type indicator code (a “CTI” code). The CTI codes are as follows:

CTI 1- Transactions executed by a Participant for its own account, for an account it

controls, or for an account in which it has an ownership or financial interest. 

Applies to Trades placed by Account Managers and proprietary traders other than 

FCMs and Introducing Brokers.

CTI 2- Transactions executed for the Proprietary Account of a Participant. Applies to 

FCMs and Introducing Brokers trading for their Proprietary Accounts.

CTI 3- Orders that a Participant executes on behalf of another Participant, or for an 

account such other Participant controls or in which such other Participant has an 

ownership or financial interest. Applies to Trades placed by a DMA Customer 

using the Participant ID of the Sponsoring Broker.

CTI 4- Any transaction not meeting the definition of CTIs 1, 2 or 3. Applies to Trades 

placed by FCMs and Introducing Brokers for their Customers and anything else.

RULE 524.C. Pre-Arranged Transactions

All Trades executed in accordance with Rule 531, unless otherwise exempted by a Rule, 

must be in the form of a Written or electronic record and include in the Order ticket all 

information required by Rule 524.A.

RULE 525. Position Limits

(a) To reduce the potential threat of market manipulation or congestion, BSEF shall 

adopt for each of the contracts of the SEF operated by BSEF, as is necessary and appropriate, 

position limitations for speculators. Where the CFTC has established a position limit for any 

Swap, BSEF’s position limit for that Swap shall not be higher than such limit established by the 

CFTC. Such limits will apply only with respect to trading on the SEF operated by BSEF.

(b) Except as otherwise provided by the BSEF Rules, no Person, including a 

Participant, may hold or control a position in excess of such position limits and a Participant may 

not maintain a position in excess of such position limits for an Account or Customer if such 

Participant knows, or with reasonable care should know, that such position will cause such 

Account or Customer to exceed the applicable position limits.

(c) Position limits shall apply to (i) all positions in accounts for which any Person, by 

power of attorney or otherwise, directly or indirectly holds positions or controls trading, and (ii) 

positions held by two or more Persons acting pursuant to an expressed or implied agreement or 

understanding, as if the positions were held by, or the trading of the positions were executed by, a 

single Person.
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(d) For Required Transactions, BSEF will enforce position limits only for Trades 

executed on the SEF operated by BSEF. If BSEF establishes position limits or position 

accountability levels for Permitted Transactions, BSEF will demonstrate compliance with CFTC 

Regulation 37.600 by sending the CFTC a list of Permitted Transactions traded on the SEF 

operated by BSEF.

RULE 526. Exemptions from Position Limits 

Any Person seeking an exemption from the position limits referred to in Rule 525 must 

file an application with BSEF. BSEF shall notify the applicant whether the exemption has been 

approved and whether BSEF has imposed any limitations or conditions on the exemption. The 

decision of BSEF shall be final.

RULE 527. Position Accountability 

(a) To reduce the potential threat of market manipulation or congestion, BSEF shall 

adopt for each of the contracts of the SEF operated by BSEF, as is necessary and appropriate, 

position accountability levels for speculators. Any Person, including a Participant, who owns or 

controls Swaps in excess of the applicable position accountability level shall provide to BSEF at 

its request any information regarding the nature of the position, trading strategy or hedging 

activities, if applicable, and if ordered by BSEF, shall not increase the size of any such position. 

(b) For purposes of this Rule, all positions in accounts for which a Person, by power of 

attorney or otherwise, directly or indirectly controls trading shall be included with the positions 

held by such Person. The provisions of this Rule shall apply to positions held by two or more 

Persons acting pursuant to an expressed or implied agreement or understanding, as if the positions 

were held by a single Person.

RULE 528. Bunched Orders and Orders Eligible for Post-Execution 

Allocation

(a) Only the following categories of Persons may place a Bunched Order to be 

allocated post-execution on the SEF Platform or that is subject to BSEF Rules:

a commodity trading advisor registered with the Commission pursuant to 

the Act or excluded or exempt from registration under the Act or the CFTC Regulations, 

except for entities exempt under CFTC Regulation 4.14(a)(3);

an investment adviser registered with the SEC pursuant to the Investment 

Advisers Act of 1940 or with a state pursuant to applicable state law or excluded or 

exempt from registration under the Investment Advisers Act of 1940 or applicable state 

law or rule;

a bank, insurance company, trust company, or savings and loan association 

subject to federal or state regulation;

a foreign adviser that exercises discretionary trading authority solely over 

the accounts of non-U.S. persons, as defined in CFTC Regulation 4.7(a)(1)(iv);
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a Futures Commission Merchant registered with the Commission pursuant 

to the Act; or

an Introducing Broker registered with the Commission pursuant to the Act.

(b) Bunched Orders must be allocated and recorded in accordance with CFTC 

Regulation 1.35(b)(5) and the NFA’s Interpretative Notice related to Compliance Rule 2-10. 

(c) Bunched Orders may be entered using an Account Series Designation or suspense 

account number; provided, however, that:

the Order is being placed by an Account Manager for multiple accounts 

eligible for post-execution allocation; and

an Account Manager that places a Bunched Order shall keep and must 

make available upon request of any representative of the Commission, the United States 

Department of Justice, BSEF or other appropriate regulatory agency, records sufficient to 

demonstrate that all allocations meet the standards of CFTC Regulations 1.35(b)(5)(iv) 

and to permit the reconstruction of the handling of the order from the time of placement 

by the Account Manager to the allocation to individual accounts.

RULE 529. Orders Entered Prior to SEF Opening

Participants are prohibited from sending any Request for Quote or Order or using an Order 

Book or any other facility of BSEF prior to the opening of the trading session.

RULE 530. Identification of Authorized Traders

Each Authorized Trader shall be identified to BSEF and shall be subject to the BSEF 

Rules. It is the duty of the Participant to ensure that Authorized Trader (and Trader ID) 

registration is current and accurate at all times. Each individual must use a Trader ID to access 

the SEF operated by BSEF. In no event may a Person enter an RFQ or Order or permit the entry 

of an RFQ or Order by an individual using a user Trader ID other than the individual’s own 

Trader ID.

RULE 531. Pre-Arranged Transactions

RULE 531.A. Block Trades

(a) Each buy or sell Order underlying a Block Trade must (1) if the Order is entered 

by a broker, state explicitly that it is to be, or may be, executed by means of a Block Trade and 

(2) comply with any other applicable CFTC Regulations governing Block Trades.

(b) Each Person transacting a Block Trade shall be a Participant and shall comply with 

all applicable BSEF Rules other than those which by their terms only apply to trading through 

the SEF Platform.
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(c) Each Counterparty to a Block Trade must be an ECP.

(d) A Block Trade executed outside the SEF Platform by a Participant must be 

reported to the SEF operated by BSEF. A Block Trade must be reported to the SEF operated by 

BSEF by one Counterparty (or a Participant acting on behalf of such Counterparty) and 

confirmed by the other Counterparty (or a Participant acting on behalf of such Counterparty) as 

soon as practicable after its execution, but may not be submitted any later than 10 minutes after 

the execution of the Block Trade. Each Block Trade must state the time of execution to the 

nearest millisecond. BSEF shall have the right not to accept any transaction that does not 

satisfy the conditions set forth in this Rule.

(e) BSEF will review the information submitted by the Participant(s) for the Block 

Trade and will report the Block Trade as required by Part 43 and Part 45 of the CFTC 

Regulations if the details are complete and accurate in accordance with this Rule. A Participant 

that executes a Bunched Order as a Block Trade must comply with Rule 524.C. A Participant 

that executes a Bunched Order as a Block Trade must provide BSEF with the allocation 

information as soon as practicable. 

(f) Block Trades shall not trigger unexecuted Orders.

(g) Each Participant or Account Manager that is a party to a Block Trade or executes a 

Block Trade on behalf of its Accounts or Customers must comply with the recordkeeping 

requirements set forth in Rule 409.A(c). Upon request by BSEF, such Participant shall produce 

satisfactory evidence, including the order ticket referred to in the preceding sentence, that the 

Block Trade meets the requirements set forth in this Rule 531.A.

(h) Any Block Trade in violation of these requirements shall constitute conduct which 

is inconsistent with just and equitable principles of trade. 

(i) The aggregation of Orders for different accounts in order to satisfy the Minimum 

Block Trade size is permissible only by a Person who is a Qualified Account Manager.

(j) A Qualified Account Manager transacting an aggregated Block Trade on behalf of 

any other Person must receive prior Written instruction or consent from each such other Person 

to do so. Such instruction or consent may be provided in the power of attorney or similar 

document by which the other Person provides the Person with discretionary trading authority or 

the authority to direct the trading in its account.

(k) Please see Notice to Participants 2014-3, which is posted on BSEF’s website. 

RULE 531.B. Trade Correction 

If permitted by Rule 516, two Participants may pre-arrange a Trade correcting an error. 

RULE 531.C. Covered Package Transactions and Permitted Transactions

(a) Two Participants may pre-arrange a Covered Package Transaction subject to 

BSEF Rules outside the SEF Platform; provided, however, that each component of such
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Covered Package Transaction that is a Required Transaction must be executed on the SEF 

Platform via RFQT. 

(b) Two Participants may pre-arrange a Permitted Transaction subject to BSEF Rules 

outside the SEF Platform, provided, however, that such Permitted Transaction must be executed 

on the SEF Platform via RFQT. 

RULE 532. Reporting to SDR

(a) BSEF will report each Trade to an SDR of BSEF’s choice as soon as 

technologically practicable after the execution of such Trade. For Cleared Swaps, BSEF will 

report all real-time data required by Part 43 of the CFTC Regulations and all creation data 

required by Part 45 of the CFTC Regulations. Until the expiration date of CFTC No-Action 

Letter 17-17, for Non-Cleared Swaps, BSEF will report all real-time data required by Part 43 of 

the CFTC Regulations and all primary economic terms data required by Part 45 of the CFTC 

Regulations, as well as any confirmation data that is readily available and collected by BSEF.

(b) The Reporting Counterparty designated in accordance with subsection (b) of Rule 

523 shall comply with all reporting obligations set forth in Part 45 of the CFTC Regulations 

applicable to a Reporting Counterparty including reporting Trade allocations.

(c) BSEF will report the actual notional or principal amount of a Block Trade to the 

appropriate SDR as set forth in Part 43 and Part 45 of the CFTC Regulation.

(d) Each Participant that has executed on or pursuant to the Rules of the SEF operated 

by BSEF a Trade that is a Block Trade, shall be deemed to have elected for purposes of Part 43

and Part 45 of CFTC Regulations to have such Block Trade reported to an SDR indicating a realtime reporting delay provided by Part 43 of the CFTC Regulations.

(e) Each Participant that is the Reporting Counterparty, or an Account Manager or 

broker for a Reporting Counterparty shall review the Trade details as soon as technologically 

practicable upon transmission of the Trade details to the Participant. The non-reporting 

counterparty shall report any errors in such Trade details to the Reporting Counterparty as soon as 

technologically practicable. The Reporting Counterparty shall report all errors in such Trade 

details to BSEF as soon as technologically practicable after finding or being made aware of any 

error or omission in the data as reported and/or maintained by the relevant SDR. BSEF shall then 

submit the corrected data to the relevant SDR. 

(f) No Person, including BSEF, shall submit or agree to submit a cancellation or 

correction for the purpose of re-reporting Swap transaction and pricing data in order to gain or 

extend a delay in public dissemination of accurate Swap transaction or pricing data or to 

otherwise evade the reporting requirements in Part 43 of the CFTC Regulations.

(g) BSEF will report all Trades to DTCC Data Repository (U.S.) LLC.
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RULE 533. Cleared Swaps

(a) Each Cleared Swap shall be cleared through the Clearing House indicated in the 

Swap Specification in accordance with the CEA and the CFTC Regulations.

(b) For each Cleared Swap a Participant expects to enter into via the SEF Platform or 

subject to BSEF Rules, the Participant or an Account or Customer of the Participant must 

establish a clearing account with the Clearing House or with a Clearing Member of the Clearing 

House, in each case, designated in the Swap Specification for such Cleared Swap. 

(c) All Trades in Cleared Swaps by a Participant or its Account or Customer must be 

guaranteed to the Clearing House by a Clearing Member following the Clearing Member’s 

acceptance of such Trade for clearing.

(d) BSEF shall submit each Trade to the Clearing House specified in the Swap 

Specifications. If BSEF receives a notice from the Clearing House rejecting a Trade for clearing, 

such Trade is void ab initio. 

(e) BSEF will provide each Clearing Member with tools to screen each Order or RFQ 

in Cleared Swaps based on criteria established by such Clearing Member. If an Order or an RFQ 

fails to satisfy the criteria established by the Clearing Member, BSEF will reject the Order or will 

not allow the RFQ to be sent. 

(f) If manual affirmation of a Trade in Cleared Swaps is required prior to presentation 

of the Trade to a Clearing House, a Participant must affirm the Trade within 5 minutes after the 

execution of the Trade. 

RULE 534. Non-Cleared Swaps

(a) Any Participant that is a Swap Dealer or Major Swap Participant, or if neither 

Counterparty is a Swap Dealer or Major Swap Participant, the Participant that is the Reporting 

Counterparty, that places an Order or sends or responds to an RFQ with respect to a Non-Cleared 

Swap shall ensure that there is a Non-Cleared Swap Agreement between the Participant or its 

Account or Customer, as applicable, and the prospective Counterparty to such Swap prior to 

placing such Order or sending or responding to such RFQ. Both Participants involved in 

execution of a Non-Cleared Swap (whether in a principal capacity or in their capacity as agents on 

behalf of their respective Accounts or Customers) shall, upon the request of BSEF, make 

available to BSEF any terms of such Non-Cleared Swap that are not reflected in the applicable 

Swap Specification and shall comply with Order entry requirements for Non-Cleared Swaps that 

BSEF shall establish from time to time. 

(b) Each Participant involved in a Prime Broker Trade must notify the Prime Broker as 

soon as technologically possible of each Prime Broker Trade executed pursuant to the Rules of 

BSEF to which the Prime Broker is a Counterparty, and provide to the Prime Broker the 

Confirmation for the Prime Broker Trade issued by BSEF.
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RULE 535. Risk Controls

(a) BSEF may, in its sole discretion, reject any RFQ or Order or Block Trade placed 

or reported on the SEF Platform if such RFQ or Order or Block Trade is in violation of any BSEF 

Rule or Applicable Law.

(b) BSEF shall have the right to take any action to reduce the potential of market 

disruption, including market restrictions that pause or halt trading in market conditions prescribed 

by BSEF if such action is in the best interest of the swap markets. 

(c) BSEF shall have the right in its sole discretion to cancel Trades executed at prices 

outside the No-Bust Range. “No-Bust Range” shall mean the price of a Swap that is no more 

than 30% higher or lower than the prior Business Day’s Daily Settlement Price for such Swap. 

(d) If a Swap affected by any action of BSEF under this Rule 535 is fungible with, 

linked to, or a substitute for, other Swaps on the SEF operated by BSEF, BSEF may apply the 

same action to any such other Swaps.

(e) If a Swap is fungible with, linked to or a substitute for a financial instrument 

trading on another trading venue, including any trading venue regulated by the SEC (a “Linked 

Swap”), and such other trading venue placed risk controls on such financial instrument, BSEF

shall have the right to place similar risk controls on the Linked Swap. 

CHAPTER 6. DISCIPLINARY RULES

RULE 601. General

(a) Any Person is subject to this Chapter 6 if it is alleged to have violated, to have 

aided and abetted a violation, to be violating, or to be about to violate, any BSEF Rule or any 

provision of Applicable Law for which BSEF possesses jurisdiction. 

(b) BSEF, through the Compliance Department, the Disciplinary Panel and the 

Appeals Panel, will conduct inquiries, investigations, disciplinary and appeals proceedings, 

summary impositions of fines, summary suspensions or other summary actions in accordance 

with this Chapter 6.

(c) No SEF Official will interfere with or attempt to influence the process or 

resolution of any inquiry, investigation, disciplinary or appeals proceeding, summary imposition 

of fines, summary suspension or other summary action. No Director will interfere with or 

attempt to influence the process or resolution of any inquiry, investigation, disciplinary or 

appeals proceeding and summary imposition of fines, summary suspension or other summary 

action, except to the extent provided under the BSEF Rules with respect to a proceeding in 

which the Director is a member of the relevant panel. 

(d) Any Person that directly or indirectly effects a transaction on the SEF operated by 

BSEF may be represented by counsel during any inquiry, investigation, disciplinary or appeals 

proceeding, summary imposition of fines, summary suspension or other summary actions 

pursuant to this Chapter 6.
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(e) Pursuant to this Chapter 6, BSEF may hold a Participant liable for, and impose 

sanctions against such Participant, for such Participant’s own acts and omissions that constitute 

a violation as well as for the acts and omissions of each (i) Authorized Trader of such 

Participant, (ii) Supervised Person of such Participant, (iii) other Person using the Trader ID or 

login credentials linked to the Participant or Participant ID, or (iv) other agent or representative 

of such Participant, in each case, that constitute a violation as if such violation were that of the 

Participant.

(f) Pursuant to this Chapter 6, BSEF may hold an Authorized Trader liable for, and 

impose sanctions against him or her, for such Authorized Trader’s own acts and omissions that 

constitute a violation as well as or for the acts and omissions of any other agent or 

representative of such Authorized Trader that constitute a violation as if such violation were that 

of the Authorized Trader.

(g) A Person subject to a disciplinary or appeals proceeding (and any counsel or 

representative of such Person) and the Compliance Department (and any counsel or 

representative of the Compliance Department including any Regulatory Services Provider) shall 

not knowingly make or cause to be made an ex parte communication relevant to the merits of a 

disciplinary or appeals proceeding to any member of the Disciplinary Panel or Appeals Panel 

hearing such proceeding. Members of a Disciplinary Panel or Appeals Panel shall not 

knowingly make or cause to be made an ex parte communication relevant to the merits of a 

disciplinary or appeals proceeding to any Person subject to such proceeding (and any counsel or 

representative of such Person) and the Compliance Department (and any counsel or 

representative of the Compliance Department including any Regulatory Services Provider). 

Any Person who receives, makes or learns of any communication which is prohibited by this 

Rule shall promptly give notice of such communication and any response thereto to the 

Compliance Department and all parties to the proceeding to which the communication relates. 

A Person shall not be deemed to have violated this Rule if the Person refuses an attempted 

communication concerning the merits of a proceeding as soon as it becomes apparent the 

communication concerns the merits.

(h) In the event that the Chief Compliance Officer has a conflict of interest as defined 

in Rule 210 in respect of any matter under Chapter 6 of these Rules, the Chief Compliance 

Officer may appoint a member of the Compliance Department to carry out the Chief 

Compliances Officer’s duties in his or her stead with respect to that matter.

RULE 602. Inquiries and Investigation 

(a) The Compliance Department, with the assistance of a Regulatory Services 

Provider, if necessary, will conduct inquiries and, if applicable, investigations with respect to 

any matter within BSEF’s jurisdiction of which it becomes aware or which the Commission 

requests BSEF to investigate. The Compliance Department will determine the nature and scope 

of its inquiries and investigations within its sole discretion and will function independently of 

any commercial interests of BSEF. The Compliance Department’s investigation must be 

completed within 12 months of the date when the Compliance Department commenced its 

investigation unless there are mitigating factors that may reasonably justify an investigation 

taking longer than 12 months, including the complexity of the investigation, the number of 
73

Participants or individuals involved as potential wrongdoers, the number of potential violations 

to be investigated, and the volume of documents and data to be examined and analyzed by the 

Compliance Department.

(b) The Compliance Department has the authority to: 

initiate inquiries and investigations;

prepare investigation reports and provide recommendations concerning 

initiating disciplinary proceedings;

prosecute alleged violations if a disciplinary proceeding has been 

authorized; and

represent BSEF on appeals of a Disciplinary Panel decision, the summary 

imposition of fines, summary suspension or other summary action.

(c) Each Participant, Account Manager, Authorized Trader, Supervised Person and 

Clearing Member:

is obligated to appear and testify and respond in Writing to requests for 

information within the time period required by the Compliance Department in connection 

with: (A) any BSEF Rule; (B) any inquiry or investigation; or (C) any preparation by and 

presentation during a disciplinary or appeals proceeding, summary imposition of fines, 

summary suspension or other summary action by BSEF;

is obligated to produce books, records, papers, documents or other tangible 

evidence in its, his or her possession, custody or control within the time period required by 

the Compliance Department in connection with: (A) any BSEF Rule; (B) any inquiry or 

investigation; or (C) any preparation by and presentation during a disciplinary or appeals 

proceeding, summary imposition of fines, summary suspension or other summary action 

by BSEF; and

may not impede or delay any inquiry, investigation, disciplinary or appeals 

proceeding, summary imposition of fines, summary suspension or other summary action.

RULE 603. Investigative Reports

(a) The Compliance Department will maintain a Written log of all inquiries and 

investigations and their disposition. The Compliance Department will prepare a Written report of 

each inquiry and investigation, regardless of whether the evidence gathered during any inquiry or 

investigation forms a reasonable basis to believe that a violation within BSEF’s jurisdiction has 

occurred or is about to occur or whether the evidence gathered results in closing the matter 

without further action or through summary action.

(b) Any such report prepared in accordance with Rule 603(a) will include (i) the 

reasons the inquiry or investigation was initiated; (ii) a summary of the complaint, if any; (iii) the 
74

relevant facts and evidence gathered; (iv) the Compliance Department’s analysis, conclusions and 

recommendations; and (v) the Participant’s disciplinary history at BSEF. 

(c) For each potential respondent, the Compliance Department will recommend either 

(i) closing the investigation without further action; (ii) resolving the investigation through an 

informal disposition; or (iii) initiating disciplinary proceedings. 

RULE 604. Warning Letters

(a) The Chief Compliance Officer may issue a warning letter without the approval of a 

Disciplinary Panel in order to close an inquiry or investigation administratively.

(b) No more than one warning letter may be issued to the same Person or entity for the 

same Rule violation within a rolling 12-month period.

(c) Warning letters must contain an affirmative finding that a Rule violation has 

occurred. 

RULE 605. Review of Investigation Reports

(a) The Chief Compliance Officer will timely review each proposed investigation 

report received from the Compliance Department to determine whether a reasonable basis exists 

for finding that a violation of BSEF Rules within BSEF’s jurisdiction has occurred or is about to 

occur. Within 30 days of receipt of the investigation report the Chief Compliance Officer must 

take one of the following actions:

If the Chief Compliance Officer determines that additional investigation or 

evidence is needed to decide whether a reasonable basis exists to find that a violation of 

BSEF Rules within BSEF’s jurisdiction has occurred or is about to occur, the Chief 

Compliance Officer will promptly direct the Compliance Department to do at least one of 

the following:

(A) conduct further investigation; and/or

(B) gather any necessary new or additional information or evidence 

from the potential respondents.

The Compliance Department will revise the investigation report as 

necessary to reflect the additional information gathered pursuant to this paragraph (a) and 

will resubmit a revised proposed investigation report to the Chief Compliance Officer. 

(b) After receiving a completed investigation report, the Chief Compliance Officer

will determine for each potential respondent whether to authorize: 

the commencement of disciplinary proceedings because a reasonable basis 

exists to believe that a violation of BSEF Rules within BSEF’s jurisdiction has occurred or 

is about to occur and adjudication is warranted;
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the informal disposition of the investigation because disciplinary 

proceedings are unwarranted, in which case the Chief Compliance Officer shall complete 

the investigation report in compliance with Rule 603; or

the closing of the investigation without any action because no reasonable 

basis exists to believe that a violation of BSEF Rules within BSEF’s jurisdiction has 

occurred or is about to occur, in which case the Chief Compliance Officer shall complete 

the investigation report in compliance with Rule 603.

(c) If the Chief Compliance Officer determines that disciplinary proceedings should 

be authorized pursuant to Rule 605(b)(i), the Chief Compliance Officer may in his or her 

discretion provide each potential respondent with a Written draft Notice of Charges (“Draft 

Notice of Charges”) which shall contain all information required pursuant to Rule 607.

(d) The Draft Notice of Charges must be accompanied by a Written notice that shall 

inform the potential respondent:

that an investigation report has been completed by BSEF’s Compliance 

Department;

that a Notice of Charges will be served, in accordance with Rule 608, 10 

business days, as defined in CFTC Regulation 40.1, after receipt of the Written notice;

that a settlement offer may be submitted pursuant to Rule 612; and

of the respondent’s right to a hearing if a Notice of Charges is served in 

accordance with Rule 608. 

RULE 606. [Reserved]

RULE 607. Notice of Charges

(a) If the Chief Compliance Officer authorizes disciplinary proceedings pursuant to 

Rule 605(b)(i), the Compliance Department will prepare, and serve in accordance with Rule 608, 

a Notice of Charges.

(b) A Notice of Charges will:

state the acts, practices or conduct that the respondent is alleged to have 

engaged in;

state the BSEF Rule or provision of Applicable Law alleged to have been 

violated or about to be violated;

state the proposed sanctions;

advise the respondent of its right to a hearing;
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state the period of time within which the respondent can request a hearing 

on the Notice of Charges, which will not be less than 20 days after service of the Notice of 

Charges;

advise the respondent that any failure to request a hearing within the 

period stated, except for good cause, will be deemed to constitute a waiver of the right to a 

hearing; 

advise the respondent that any allegation in the Notice of Charges that is 

not expressly denied will be deemed to be admitted; and

advise the respondent of its right to be represented by legal counsel or any 

other representative of its choosing (other than any member of the Disciplinary Panel or 

any Person substantially related to the disciplinary proceedings such as a material witness 

or other respondent) in all succeeding stages of the disciplinary process.

RULE 608. Service of Notice of Charges

Any Notice of Charges or other documents contemplated to be served pursuant to this 

Chapter 6 may be served (and service shall be deemed complete) upon the respondent either 

personally or by leaving the same at his or her place of business, or by tracked delivery via 

reputable overnight courier, or by deposit in the United States mail, postage prepaid, via 

registered or certified mail addressed to the respondent at the address as it appears on the books 

and records of BSEF.

RULE 609. Answer to Notice of Charges

(a) If the respondent determines to answer a Notice of Charges, the respondent must 

file answers within 20 days after being served with such notice, or within such other time period 

determined appropriate by the Chief Compliance Officer.

(b) To answer a Notice of Charges, the respondent must in Writing:

specify the allegations that the respondent denies or admits;

specify the allegations that the respondent does not have sufficient 

information to either deny or admit;

specify any specific facts that contradict the Notice of Charges;

specify any affirmative defenses to the Notice of Charges; and

sign and serve the answer on the Chief Compliance Officer.

(c) Any failure by the respondent to timely serve an answer to a Notice of Charges

will be deemed to be an admission to the allegations in such notice. Any failure by the 

respondent to answer one or more allegations in a Notice of Charges will be deemed to be an 

admission of that allegation or those allegations. Any allegation in a Notice of Charges that the 
77

respondent fails to expressly deny will be deemed to be admitted. A statement of a lack of 

sufficient information shall have the effect of a denial of an allegation. A general denial by the 

respondent, without more, will not satisfy the requirements of paragraph (b) above.

RULE 610. Admission or Failure to Deny

(a) If respondent admits or fails to deny any of the charges, the Chief Compliance 

Officer may find that the violations alleged in the Notice of Charges for which the respondent 

admitted or failed to deny any of the charges have been committed. The Chief Compliance 

Officer then must take the following action:

(i) impose a sanction for each violation found to have been committed; and

(ii) notify the respondent in Writing of any sanction to be imposed and advise 

the respondent that it may request a hearing on such sanction within a specified period of 

time.

(b) If a respondent fails to request a hearing within 20 days as specified in the notice

described in 610(a)(ii), the respondent will be deemed to have accepted the sanction and will have 

waived any right to appeal such sanctions.

RULE 611. Denial of Charges and Right to a Hearing

In every instance where a respondent has denied a charge, the respondent shall have a 

right to request a hearing before the Disciplinary Panel. Except for good cause, the hearing must 

be limited to only those denied charges for which a hearing has been requested.

RULE 612. Settlements

(a) Any offer of settlement should contain proposed findings and sanctions and be

signed by a potential respondent/respondent and submitted to the Chief Compliance Officer. A 

potential respondent/respondent may offer to settle disciplinary proceedings without admitting or 

denying the findings contained in a Draft Notice of Charges or a Notice of Charges, but must 

accept the jurisdiction of BSEF over it and over the subject matter of the proceedings and consent 

to the entry of the findings and sanctions imposed. 

(b) A potential respondent may at any time within 10 business days, as defined in 

CFTC Regulation 40.1, of receipt of the Draft Notice of Charges specified in Rule 605, propose in 

Writing an offer of settlement to anticipated disciplinary proceedings. The Chief Compliance 

Officer must review an offer of settlement received pursuant to this paragraph (b) within 30 

business days, as defined in CFTC Regulation 40.1, after receipt of the offer of settlement. The 

Chief Compliance Officer shall have discretion and be authorized to accept or reject an offer of 

settlement for $25,000 or less on behalf of BSEF. The Chief Compliance Officer shall also have 

the discretion and be authorized to convene and forward the offer of settlement to the Disciplinary 

Panel with a recommendation on whether to accept or reject the offer of settlement. The potential 

respondent may withdraw such offer of settlement at any time before acceptance by the Chief 

Compliance Officer, but may not withdraw such offer of settlement at any time after acceptance

by the Chief Compliance Officer. 
78

(c) A respondent may at any time after receipt of a Notice of Charges, but before 

disciplinary proceedings have concluded, propose in Writing an offer of settlement to instituted 

disciplinary proceedings. If a respondent submits an offer of settlement after being served a 

Notice of Charges pursuant to Rule 608, the Chief Compliance Officer will forward the offer of 

settlement to the Disciplinary Panel with a recommendation on whether to accept or reject the

offer of settlement. The Disciplinary Panel must review an offer of settlement received pursuant 

to this paragraph (c) or paragraph (b) above within 90 business days, as defined in CFTC 

Regulation 40.1, after the receipt of the offer of settlement by the Chief Compliance Officer

unless an extension was agreed by the respondent in Writing. The respondent may withdraw

such offer of settlement at any time before acceptance by the Disciplinary Panel, but may not

withdraw such offer of settlement at any time after acceptance by the Disciplinary Panel. The 

Disciplinary Panel may review the offer of settlement and determine whether to accept or reject 

the offer of settlement in person, by means of telephone conference or in Writing.

(d) The Chief Compliance Officer or the Disciplinary Panel may accept an offer of 

settlement received pursuant to paragraph (b) or (c) of this Rule, respectively, but may not alter 

the terms of a settlement offer unless the potential respondent/respondent agrees. 

(e) If an offer of settlement is accepted by the Chief Compliance Officer or the 

Disciplinary Panel, a Written decision shall be issued by the Chief Compliance Officer or the 

Disciplinary Panel, as applicable, specifying: 

the Rule violations the Compliance Department/it has reason to believe 

were committed, including the basis or reasons of its conclusions;

any sanction to be imposed, which must include full customer restitution 

where customer harm has been demonstrated; and 

if applicable, that the potential respondent/respondent has accepted the 

sanctions imposed without either admitting or denying the Rule violations.

(f) In the event that the Disciplinary Panel accepts an offer of settlement without the 

agreement of the Compliance Department, the Written decision must adequately support such 

acceptance. 

(g) If an offer of settlement is accepted pursuant to this Rule and the related Written 

decision becomes final, the respondent’s submission of the offer of settlement will be deemed to 

constitute a waiver of the right to notice, opportunity for a hearing and review and appeal under 

these Rules.

(h) If an offer of settlement of a potential respondent/respondent is not accepted by the 

Chief Compliance Officer or the Disciplinary Panel, pursuant to paragraph (b) or (c) of this Rule, 

respectively, fails to become final or is withdrawn by the potential respondent/respondent, the 

matter will proceed as if the offer of settlement had not been made and the offer of settlement and 

all documents relating to it will not become part of the record. Neither a potential 

respondent/respondent nor the Compliance Department may use an unaccepted offer of settlement 

as an admission or in any other manner at a hearing of disciplinary proceedings. 
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RULE 613. Disciplinary Panel

(a) The Disciplinary Panel is responsible for adjudicating disciplinary cases pursuant 

to a Notice of Charges authorized by the Chief Compliance Officer.

(b) Each Disciplinary Panel shall be composed of three individuals selected by the 

Chief Compliance Officer. Except in cases concerning the timely submission of accurate records, 

each Disciplinary Panel shall consist of at least one individual who would not be disqualified 

from serving as a Public Director, who shall chair the Disciplinary Panel. No member of the 

BSEF Compliance Department or Person involved in adjudicating any other stage of a proceeding 

shall participate in a Disciplinary Panel for such proceeding. 

(c) A respondent may seek to disqualify any individual on the Disciplinary Panel for 

the reasons identified in the BSEF Rules or for any other reasonable grounds, by serving Written 

notice on the Chief Compliance Officer. By not filing a request for disqualification within 10 

days, the respondent will be deemed to have waived any objection to the composition of a 

Disciplinary Panel. The Chief Compliance Officer of BSEF will decide the merits of any request 

for disqualification within his or her sole discretion. Any such decision will be final and not 

subject to appeal.

RULE 614. Convening Disciplinary Proceeding Hearings

(a) All disciplinary proceedings (except for summary impositions of fines pursuant to 

Rule 621) will be conducted at a hearing before the Disciplinary Panel. A hearing will be 

conducted privately and confidentially. Notwithstanding the confidentiality of hearings, the 

Disciplinary Panel may appoint an expert to attend any hearing and assist in deliberations if such 

expert agrees to be subject to an appropriate confidentiality agreement. 

(b) After reasonable notice to each respondent, the Disciplinary Panel will promptly 

convene a hearing to conduct the disciplinary proceedings with respect to such respondent. 

Parties to a disciplinary proceeding include each respondent and the Compliance Department 

including BSEF enforcement staff. 

(c) The chairperson of the Disciplinary Panel may continue, adjourn or otherwise 

conduct the hearing, as he or she may deem appropriate. The chairperson of the Disciplinary

Panel will determine all procedural and evidentiary matters, including the admissibility and 

relevance of any evidence proffered. In determining procedural and evidentiary matters, the 

chairperson of the Disciplinary Panel will not be bound by any evidentiary or procedural rules or 

law. Once admitted during the hearing, the Disciplinary Panel may consider, and attach the 

weight it believes appropriate to, evidence or other materials. The Chief Compliance Officer of 

BSEF, or its designee, will provide guidance to the chairperson of the Disciplinary Panel on the 

conduct of the hearing.

(d) Except for procedural and evidentiary matters decided by the chairperson of the 

Disciplinary Panel pursuant to paragraph (c) above and Rule 616, unless each respondent 

otherwise consents, the entire Disciplinary Panel must be present during the entire hearing and 

any related deliberations.
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RULE 615. Respondent Review of Evidence

(a) Prior to the commencement of a Disciplinary Panel hearing, each respondent will 

be given the opportunity to review all books, records, documents, papers, transcripts of testimony 

and other tangible evidence in the possession or under the control of BSEF that the Compliance 

Department will use to support the allegations and proposed sanctions in the Notice of Charges or 

which the chairperson of the Disciplinary Panel deems relevant to the disciplinary proceedings. 

BSEF may withhold documents that:

(i) are privileged or constitute attorney work product; 

(ii) were prepared by an employee of BSEF but will not be offered as evidence 

in the disciplinary proceedings; 

(iii) may disclose a technique or guideline used in examinations, investigations 

or enforcement proceedings; or 

(iv) disclose the identity of a confidential source.

(b) If any books, records, documents, papers, transcripts of testimony, or other 

tangible evidence contain information that could adversely affect the competitive position of the 

Person providing the information or if such information might compromise other investigations 

being conducted by the Compliance Department, the Compliance Department may redact, edit or 

code such information before furnishing it to the respondent.

(c) Notwithstanding anything in paragraph (b) above to the contrary, the Compliance 

Department:

will not redact, edit or code competitive or investigative information

contained in documents in a manner that would impair the respondent’s ability to defend 

against the allegations or proposed sanctions in the notices of charges; and

will provide the respondent with access to the information and portions of 

the documents that the Compliance Department intends to rely on to support the 

allegations or proposed sanctions in the Notice of Charges.

(d) For purposes of this Rule 615, information that could adversely affect the

competitive position includes positions in Swaps currently held, trading strategies employed in 

establishing or liquidating positions, the identity of any Participant or Authorized Trader and the 

personal finances of the Person providing the information.

RULE 616. Conducting Disciplinary Proceeding Hearings

(a) At a hearing conducted in connection with any disciplinary proceeding, the 

Compliance Department will present its case supporting the allegations and proposed sanctions in 

the Notice of Charges to the Disciplinary Panel. If a respondent has timely filed an answer to the 

Notice of Charges in accordance with Rule 609, the respondent is entitled to attend and 

participate in the hearing.
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(b) At a hearing conducted in connection with any disciplinary proceedings, the 

Disciplinary Panel or the Compliance Department and each respondent may:

present evidence and facts determined relevant and admissible by the 

chairperson of the Disciplinary Panel;

call and examine witnesses; and

cross-examine witnesses called by other parties.

(c) Any Person within BSEF’s jurisdiction who is called as a witness must participate 

in the hearing and produce evidence. BSEF will make reasonable efforts to secure the presence of 

all other Persons called as witnesses whose testimony would be relevant.

(d) If the respondent fails to file an answer, has filed a general denial, or if any or all 

of the allegations in the Notice of Charges are not expressly denied in the respondent’s answer, 

the chairperson of the Disciplinary Panel may limit evidence concerning any allegations not 

expressly denied in determining the sanctions to impose. If a respondent fails to file an answer 

but appears at the hearing, the respondent may not participate in the hearing (by calling or cross 

examining witnesses, testifying in defense, presenting evidence concerning the Notice of Charges, 

or otherwise) unless the Disciplinary Panel determines that the respondent had a compelling 

reason for failing to timely file an answer. If the Disciplinary Panel determines that the 

respondent had a compelling reason for failing to timely file an answer, the Disciplinary Panel 

will adjourn the hearing and direct the respondent to promptly file a Written answer in accordance 

with Rule 609.

(e) Any Person entitled, or required or called upon, to attend a hearing before a 

Disciplinary Panel pursuant to paragraph (b)(ii) above will be given reasonable notice, confirmed 

in Writing, specifying the date, time and place of the hearing, and the caption of the disciplinary 

proceedings. BSEF will require all Participants (that are individuals), Customers, Account 

Managers, Clearing Members, Authorized Traders and Supervised Persons that are called as 

witnesses to appear at the hearing and produce evidence. BSEF will make reasonable efforts to 

secure the presence of all other Persons called as witnesses whose testimony would be relevant.

(f) If during any disciplinary proceedings the Disciplinary Panel determines that a 

reasonable basis exists to believe that the respondent violated or is about to violate a BSEF Rule

or a provision of Applicable Law other than the violations alleged in the Notice of Charges, the 

Disciplinary Panel may consider those apparent violations after providing the respondent with an 

opportunity to answer the additional allegations in accordance with Rule 609. In connection with 

considering apparent violations pursuant to this paragraph (f), the Disciplinary Panel may request 

that the Compliance Department provide the Disciplinary Panel with any additional information.

(g) The Disciplinary Panel may summarily impose sanctions on any Participant, 

Account Manager, Authorized Trader or Supervised Person that impedes or delays the progress of 

a hearing.

(h) BSEF will arrange for any hearing conducted in connection with disciplinary 

proceedings to be recorded hearing verbatim, or substantially verbatim, in a manner capable of 
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accurate transcription. If the respondent requests a copy of all or portions of the recording of a 

hearing, the chairperson of the Disciplinary Panel may within his or her sole discretion order the 

respondent to pay the costs for transcribing the recording of the hearing.

(i) As promptly as reasonable following a hearing, the Disciplinary Panel will issue a 

Written decision rendering its decision based on the weight of the evidence contained in the 

record of the disciplinary proceedings. A decision by a majority of the Disciplinary Panel will 

constitute the decision of the Disciplinary Panel.

(j) No interlocutory appeals of rulings of any Disciplinary Panel are permitted.

(k) If the respondent has requested a hearing, a copy of the hearing shall be made and 

shall become a part of the record of the proceeding. The record shall not be required to be 

transcribed unless:

(i) the transcript is requested by Commission staff or the respondent;

(ii) the decision is appealed pursuant to the BSEF Rules; or

(iii) the decision is reviewed by the Commission pursuant to section 8c of the 

Act or Part 9 of CFTC Regulations. 

In all other instances, a summary record of a hearing is permitted.

RULE 617. Decision of Disciplinary Panel

(a) The Disciplinary Panel’s Written decision must be based upon the weight of the 

evidence contained in the record of the proceeding and shall provide a copy to the respondent. 

The decision shall include:

the Notice of Charges or a summary of the charges;

the answer, if any, or a summary of the answer;

a summary of the evidence produced at the hearing or, where appropriate, 

incorporation by reference of the investigation report;

a statement of findings and conclusions with respect to each charge, and a 

complete explanation of the evidentiary and other basis for such findings and conclusions 

with respect to each charge;

an indication of each specific Rule that the respondent was found to have 

violated; and

a declaration of all sanctions imposed against the respondent, including the 

basis for such sanctions and the effective date of such sanctions.
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(b) Upon rendering a final decision by the Disciplinary Panel, BSEF shall, within 30 

days thereafter, provide a Written notice of such action to the Person against whom the action was 

taken. 

(c) The Written decision will become final 20 days after it is served on the respondent 

and a copy thereof is provided to the Compliance Department.

RULE 618. Sanctions 

(a) After notice and opportunity for hearing in accordance with the BSEF Rules, 

BSEF will impose sanctions on any Participant, Account Manager, Authorized Trader, 

Supervised Person, Account, Customer, Clearing Member or other Person using any Trader ID or 

login credentials linked to the Participant that is found to have violated or to have attempted to 

violate a BSEF Rule or provision of Applicable Law for which BSEF possesses jurisdiction. 

Subject to the limitations set forth in Rule 618(b), BSEF may impose one or more of the 

following sanctions or remedies: (i) censure; (ii) limitation on Trading Privileges, Trading Access

or other activities, functions or operations; (iii) suspension of Trading Privileges or Trading 

Access; (iv) fine (subject to paragraph (b) below); (v) disgorgement; (vi) termination of Trading 

Privileges or Trading Access; (vii) in the event of a customer harm, full customer restitution, 

except where the amount of restitution or to whom it should be provided cannot reasonably be 

determined; or (viii) any other sanction or remedy deemed to be appropriate. All sanctions, 

including those imposed pursuant to an accepted settlement offer, shall take into account 

respondent’s disciplinary history. 

For purposes of Rule 618(a)(vii), “customer” shall have the meaning set forth in CFTC 

Regulation 1.3(k).

(b) BSEF may impose a fine of up to $100,000 for each violation of a BSEF Rule. If a 

fine or other amount is not paid within 30 days of the date that it becomes payable, then interest 

will accrue on the sum from the date that it became payable at the quoted prime rate plus three 

percent. BSEF has sole discretion to select the bank on whose quotations to base the prime rate. 

Each Participant will be responsible for paying any fine or other amount imposed on, but not paid 

by, any of its Authorized Traders, Account Managers, Supervised Persons, Accounts or 

Customers. The following schedule lists the recommended fines that BSEF may impose:

Type of Violation Fine Per Occurrence1

First

Violation

Second

Violation

Third

Violation

Failure to provide information to BSEF as required by 

the BSEF Rules

$1000 $1500 $2500

Impeding or delaying a BSEF examination, inquiry or 

investigation undertaken pursuant to BSEF Rule 402

$1000 $1500 $2500

1 Within a “rolling” 12-month period.
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RULE 619. Costs

(a) Regardless of the outcome of any disciplinary proceeding, the Disciplinary Panel 

may order a respondent to pay some or all of the costs associated with the disciplinary 

proceedings that the Disciplinary Panel believes were unnecessarily caused by the respondent. 

Costs may include costs associated with the inquiry or investigation, the prosecution by the 

Compliance Department, legal and professional assistance, as well as the hearing and 

administrative costs and other expenses incurred by the Disciplinary Panel.

(b) The Disciplinary Panel may only award costs against BSEF if the Panel concludes 

that BSEF has behaved in a manifestly unreasonable manner in the commencement or conduct of 

the disciplinary proceedings in question. The Disciplinary Panel must limit any award of costs 

against BSEF to an amount that the Panel concludes is reasonable and appropriate, but does not 

exceed the respondent’s costs for external legal or other external professional assistance.

(c) The Disciplinary Panel may determine the amounts and allocation of costs in any 

manner it may deem appropriate. BSEF or the respondent will pay any costs ordered to be paid 

by it by the Disciplinary Panel within 30 days of Written notice of the amount imposed by the 

Disciplinary Panel. 

RULE 620. Right to Appeal Disciplinary Panel Decision, Summary 

Impositions of Fines and Other Summary Actions

(a) Each respondent found by the Disciplinary Panel to have violated (or, in the case 

of a Participant, whose Authorized Trader, Supervised Person or other Person using its Participant

ID was found to have violated) a Rule or who is subject to termination or limitation of Trading 

Privileges or Trading Access imposed pursuant to Rule 305, any summary fine imposed pursuant 

to Rule 621 or any summary action imposed pursuant to Rule 622 may appeal the decision within 

20 days of receiving the Written decision of the Disciplinary Panel or the notice of summary 

action, as the case may be, by filing a notice of appeal with the Chief Compliance Officer. 

(b) BSEF may appeal all or any part of a decision of the Disciplinary Panel, including 

any sanctions that may or may not have been imposed by the Disciplinary Panel, within 20 days 

of receiving the Written Decision of the Disciplinary Panel, by filing a notice of appeal with the 

Chief Compliance Officer. 

(c) While an appeal is pending, the effect of the Written decision of the Disciplinary 

Panel or the summary action (including any sanctions, remedies or costs imposed thereby) shall 

be suspended. 

(d) The notice of appeal must state in writing the grounds for appeal, including the 

findings of fact, conclusions or sanctions to which the appellant objects. An appellant may appeal 

the Written decision of the Disciplinary Panel or any summary action on the grounds that:

the Written decision or summary action was arbitrary, capricious, an abuse 

of discretion, or not in accordance with these Rules; 
85

the Written decision or summary action exceeded the authority or 

jurisdiction of the Disciplinary Panel, the Chief Compliance Officer or BSEF; 

the Written decision or summary action failed to observe required 

procedures; 

the Written decision or summary action was unsupported by the facts or 

evidence; or 

the sanctions, remedies or costs which were imposed were inappropriate or 

unsupported by the record. 

(e) The Chief Compliance Officer will forward copies of any notice of appeal received 

by it to all parties to the disciplinary proceeding or summary action, as the case may be, except 

the appellant. On or before the 20th day after filing a notice of appeal, the appellant must file 

with the Chief Compliance Officer and serve on BSEF a brief supporting the notice of appeal and 

documents supporting the brief. On or before the 20th day after the date on which the appellant 

serves its supporting brief, the appellee must file and serve its brief in opposition. On or before 

the 10th day after the date on which the appellee serves its brief in opposition, the appellant must 

file and serve on BSEF a brief in reply. 

(f) In connection with any appeal, BSEF will furnish to the Chief Compliance Officer 

and to the respondent/appellant a transcript of the hearing, any exhibits introduced at the hearing, 

the notice of appeal and briefs filed to support and oppose the appeal. 

(g) No later than 30 days after the last submission filed pursuant to paragraph (e) of 

this Rule 620, the Chief Compliance Officer will appoint an Appeals Panel to consider and 

determine the appeal. An Appeals Panel shall be comprised of three individuals, none of whom 

shall be a member of the Compliance Department or have been a member of any Disciplinary 

Panel involved in the matters on appeal. The chairperson of the Appeals Panel shall be an 

individual who would not be disqualified from serving as a Public Director. 

(h) Within 10 days of being notified of the appointment of the Appeals Panel, an 

appellant or appellee may seek to disqualify any individual named to the Appeals Panel for the 

reasons identified in these Rules, by serving Written notice on the Chief Compliance Officer. By 

not timely filing a request for disqualification, the appellant or appellee will be deemed to have 

waived any objection to the composition of the Appeals Panel. The Chief Compliance Officer 

will decide the merits of any request for disqualification within his or her sole discretion. Any 

such decision will be final and not subject to appeal. 

(i) The Appeals Panel may hold a hearing to allow parties to present oral arguments. 

Any hearing will be conducted privately and confidentially. Notwithstanding the confidentiality 

of hearings, the Appeals Panel may appoint an expert to attend any hearing and assist in the 

deliberations if such individual(s) agree to be subject to appropriate confidentiality agreements. 

In determining procedural and evidentiary matters, the Appeals Panel will not be bound by 

evidentiary or procedural rules or law.
86

(j) The Appeals Panel will only consider on appeal the record before the Disciplinary 

Panel or, in the case of a summary action, the record considered by the Chief Compliance Officer, 

the notice of appeal, the briefs filed in support and opposition of the appeal, and any oral 

arguments of the parties. The Appeals Panel may only consider new evidence when the Appeals 

Panel is satisfied that good cause exists for why the evidence was not introduced during the 

disciplinary proceeding or when imposing the summary action. 

(k) After completing its review, the Appeals Panel may affirm, modify or reverse any 

Written decision of the Disciplinary Panel or summary action under appeal, in whole or in part, 

including increasing, decreasing or eliminating any sanction or remedy imposed, imposing any 

other sanction or remedy authorized by these Rules, or remanding the matter to the same or a 

different Disciplinary Panel for further disciplinary proceedings or for reconsideration by the 

Chief Compliance Officer in the case of summary action. The Appeals Panel may order a new 

hearing for good cause or if the Appeals Panel deems it appropriate. 

(l) As promptly as reasonably possible following its review, the Appeals Panel will 

issue a Written decision on appeal rendering its decision based on the preponderance of the 

evidence before the Appeals Panel. The decision of the Appeals Panel will include a statement of 

findings of fact and conclusions for each finding, sanction, remedy and cost reviewed on appeal, 

including each specific Rule and provision of Applicable Law that the respondent is found to have 

violated, if any, and the imposition of sanctions, remedies and costs, if any, and the effective date 

of each sanction, remedy or cost. 

(m) The Appeals Panel’s Written order on appeal (including findings of fact and 

conclusions and the imposition of sanctions, remedies and costs, and the effective date of any 

sanction, remedy and cost) will be the final action of BSEF and will not be subject to appeal 

within BSEF. 

RULE 621. Summary Imposition of Fines

(a) The Chief Compliance Officer may summarily impose a fine against a Participant, 

Account Manager, Authorized Trader, Supervised Person, Account, Customer, Clearing Member 

or other Person using any Trader ID or login credentials linked to the Participant for failing:

to make timely payments of fees, cost, charges or fines to BSEF;

to make timely and accurate submissions to BSEF of notices, reports or 

other information required by the BSEF Rules; or

to keep any books and records required by the BSEF Rules.

(b) The Compliance Department, acting on behalf of the Chief Compliance Officer, 

will give notice of any fine imposed pursuant to this Rule 621 to each Participant subject thereto. 

The notice will specify (i) the violations of the BSEF Rules for which the fine is being imposed, 

(ii) the date of the violation for which the fine is being imposed and (iii) the amount of the fine. 

Within 20 days of serving the notice of fine, the Participant must either pay or cause the payment 

of the fine. The fine will become final upon the expiration of 20 days after the notice of fine is 

served on the Participant.
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(c) BSEF will set the amount of any fines imposed pursuant to this Rule 621, with the 

maximum aggregate fine for each violation not to exceed $5,000 on an annual basis. Summary 

imposition of fines pursuant to this Rule 621 will not preclude BSEF from bringing any other 

action against the Participant (or any of its Account Managers, Authorized Traders or Supervised 

Persons) or Authorized Trader, as the case may be. The following schedule lists the 

recommended summary fines that BSEF or the Chief Compliance Officer may impose:

Type of Violation Fine Per Occurrence2

First

Summary 

Fine

Second

Summary 

Fine

Third

Summary 

Fine

Failure to maintain complete and accurate books and 

records as required by BSEF Rule 409.B

$1000 $1500 $2500

Failure to provide any disclosure required by BSEF 

Rule 402

$1000 $1250 $1500

Failure to identify and maintain a current list of 

Authorized Traders as required by BSEF Rule 530

$1000 $1250 $1500

Violation of Order entry requirements pursuant to Rule 

524, including failure to provide an accurate Legal 

Entity Identifier

$1250 $1500 $1750

Violation of Trade reporting requirements $1250 $1500 $1750

Violation of the requirements to timely report a block 

trade pursuant to Rule 531.A(d)

$1250 $1500 $1750

Failure to provide information required by BSEF Rule 

301(e)

$1250 $1500 $1750

Failure to notify BSEF under Rule 516.A(a) about a 

Trade executed in error prior to a request for 

cancellation, correction or adjustment of a Trade or 

failure to comply with Rule 516.A(c) 

$1250 $1750 $2000

(d) A Participant is eligible for the summary imposition of fines as described in subsection (a) of this Rule 621 only if BSEF did not serve on the Participant any Notice of Charges 

pursuant to Rule 607 that alleges a failure described in subsection (a)(i) through (a)(iii) of this 

Rule 621 for a continuous 36 month period (the "Qualifying Period"). 

A Participant may become re-eligible for summary imposition of fines as described in sections (a) 

of this Rule 621 after the end of the Qualifying Period; provided, however, that BSEF's Chief 

Compliance Officer may in his or her sole discretion extend the Qualifying Period for any period 

of time, including indefinitely, where a failure described subsections (a)(i) through (a)(iii) of this 

Rule 621 does not qualify for a summary imposition of fines due to aggravating circumstances, 

including actions or omissions of a Participant or its Account Manager, Customer or any agent 

that aggravated such failure.

2 Within a “rolling” 12-month period.
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RULE 622. Hearings Involving BSEF-Affiliated Trading Entities

(a) No BSEF employee that is also an employee of an affiliate of BSEF that engages 

in trading activity shall perform an investigation of such affiliated trading entity.

(b) In the event that a Disciplinary Panel is convened for a hearing involving an 

affiliated trading entity, no Person associated with BSEF or such affiliated trading entity shall be 

a member of such Disciplinary Panel.

(c) The Board must approve the issuance of disciplinary charges and acceptance of 

settlement offers involving an affiliated trading entity.

RULE 623. [Reserved]

RULE 624. Notice to the Respondent, the Regulatory Services Provider and 

the Public

BSEF will provide Written notice of disciplinary proceedings to the parties consistent with 

applicable CFTC Regulations. Whenever BSEF suspends, expels, fines or otherwise disciplines, 

or denies any Person access, to BSEF, BSEF will make the disclosures required by CFTC 

Regulations. In accordance with CFTC Regulation § 9.11, upon rendering a final decision 

regarding a disciplinary or access denial action, BSEF shall provide notice to the Commission by 

filing with NFA’s BASIC.

CHAPTER 7. ARBITRATION

RULE 701. General

(a) Except as otherwise provided in these Rules, Participants, Authorized Traders and 

any market participant that directly or indirectly effects a transaction on the SEF operated by 

BSEF shall submit to the NFA for arbitration all disputes, controversies and claims between or 

among themselves arising out of a Swap or the use of the systems or services of BSEF or the 

services, equipment, or facilities used to support such systems or services, including the SEF 

Platform and the SEF operated by BSEF (each, a “Dispute”). Any such claim against a 

Participant shall be brought within two years from the time that a cause of action has accrued. 

This Rule 701 shall in no way be construed to create a cause of action and shall not authorize an 

action that would otherwise be prohibited by these Rules or Applicable Law. In the event that 

this Rule 701 is held to be unenforceable in connection with any Dispute or a claim is deemed by 

a court of competent jurisdiction to be not arbitrable, (i) exclusive jurisdiction for any such 

Dispute will reside in any state or federal court sitting in New York County, New York, (ii) the 

Participants involved in the Dispute will be presumed to have submitted to the personal 

jurisdiction of any such court, and (iii) an action to enforce any judgment or decision of such 

court may be brought in the same court or in any other court with jurisdiction or venue. Finally, 

all Participants unconditionally and irrevocably waive any and all right to trial by jury in 

connection with any such Dispute.

(b) Notwithstanding the foregoing, this Rule 701 does not apply to Disputes between 

Participants, Authorized Traders or any market participant that directly or indirectly effects a 
89

transaction on the SEF operated by BSEF that: (i) such Persons are required by the Rules of a 

Self-Regulatory Organization to submit to the Dispute resolution procedures of that SelfRegulatory Organization; or (ii) such Persons have, by valid and binding agreement, committed to 

negotiate or litigate in a forum other than the forum set out in Rule 702.

RULE 702. Forum and Arbitration Rules

NFA will conduct any and all arbitrations of a type described in Rule 701 pursuant to 

NFA’s Member Arbitration Rules, as if each Participant or Authorized Trader to such arbitration 

was an “NFA Member”.

RULE 703. Initiating an Arbitration Claim

(a) A Participant or Authorized Trader may initiate an arbitration claim by submitting 

the required documents and fees to NFA. 

(b) A Participant or Authorized Trader submitting an arbitration claim shall provide 

notice of such claim to BSEF.

RULE 704. Claims Relating to Trade Cancelations or Price Adjustments

All claims relating to Trade cancelations pursuant to Rule 516 shall be arbitrated in 

accordance with this Chapter 7.

RULE 705. Penalties 

(a) Any failure on the part of any Participant or Authorized Trader to arbitrate a case 

subject to arbitration, or the commencement by any such Participant or its Person of a suit in any 

court prior to arbitrating a case subject to arbitration, violates these Rules and subjects such 

Person to disciplinary proceedings pursuant to Chapter 6. 

(b) BSEF may summarily suspend, pursuant to Chapter 6, a Participant or Authorized 

Trader that fails to satisfy an arbitration award rendered in any arbitration conducted pursuant to 

this Chapter 7.

CHAPTER 8. MISCELLANEOUS

RULE 801. Anti-Money Laundering and Anti-Terrorism

(a) It is SEF policy: (1) Not to engage in or knowingly assist any money laundering or 

other illicit business, and (2) Not to engage in or knowingly assist, or be a conduit for, terrorist 

financing.

(b) Participants will be required to provide sufficient information for Participants and 

their Accounts, if applicable, for SEF to complete “know your customer” checks and to conduct 

restricted list searches, including searches against the Specially Designated Nationals and 

Blocked Persons list maintained by the Office of Foreign Assets Control of the U.S. Department 

of the Treasury.
90

RULE 802. Gifts and Gratuities

Except as permitted in Writing by the Chief Compliance Officer, no Participant or 

Authorized Trader shall, directly or indirectly, give or permit to be given anything of value 

(including gratuities) to a SEF Official or BSEF, including any agents or independent contractors 

of BSEF. A gift of any kind is considered a gratuity. 

RULE 803. Market Data

(a) Subject to each Participant's rights in Participant’s own data (and the data of its 

Accounts and Customers) as set forth in the Participant Documentation, BSEF shall own all 

rights, title and interest, database rights and trade secret rights in and to all data and other 

information contained in, displayed on, generated by or derived from the SEF Platform or the SEF 

operated by BSEF or Trades entered into pursuant to the BSEF Rules, including Orders, prices 

and volumes (“SEF Data”).

(b) Participants and Authorized Traders shall not, and shall cause their Affiliates, 

Accounts and Customers not to, distribute, sell or retransmit SEF Data or other information 

obtained via the SEF operated by BSEF, provided that any such restrictions shall not apply to 

Participant’s own data (and the data of its Accounts and Customers).

(c) BSEF may at any time restrict or establish utilization fees in respect of SEF Data 

and/or the format and presentation thereof with respect to Participants, Customers or Accounts, 

provided that any such fees shall not apply to Participants’ use of Participant's own data (and the 

data of its Accounts and Customers). 

(d) Subject to Rule 805, BSEF may make SEF Data and other information it may 

deem appropriate available to Participants and other Persons at such times and in such manner 

(whether through the SEF Platform, a ticker, financial information services or otherwise) as it 

may consider necessary or advisable from time to time. Each Participant or other Person receiving 

any such information through the SEF operated by BSEF may redistribute such information only 

to such extent and in such manner as may be permitted by BSEF from time to time.

RULE 804. Prohibited Use of Data Collected for Regulatory Purposes

BSEF shall not use for business or marketing purposes any proprietary data or personal 

information it collects or receives, from or on behalf of any person, for the purpose of fulfilling its 

regulatory obligations; provided, however, that BSEF may use such data or information for 

business or marketing purposes if the Person from whom it collects or receives such data or 

information clearly consents in Writing to BSEF’s use of such data or information in such 

manner. BSEF shall not condition access to its market(s) or market services on a Person’s 

consent to BSEF’s use of proprietary data or personal information for business or marketing 

purposes. BSEF, where necessary for regulatory purposes, may share such data or information 

with one or more SEFs or DCMs registered with the CFTC.
91

RULE 805. Confidentiality

(a) All non-public information provided by a Participant or Authorized Trader to 

BSEF shall be held in confidence and shall not be made known to any other Person except as 

follows: 

with the consent of the Participant or Authorized Trader providing such 

information; 

to a Governmental Body if BSEF is requested or legally required to do so 

by such Governmental Body; 

pursuant to a lawful discovery request; 

to a Derivatives Clearing Organization of which such Participant is a 

member or in connection with the clearing of a Swap; 

to an SDR; 

subject to appropriate confidentiality requirements, to any Person providing 

services to BSEF, including the Regulatory Services Provider, which may also use such 

information for the purpose of performing its obligations and responsibilities as a 

registered futures association;

pursuant to an information sharing agreement or other arrangement or 

procedures in accordance with Rule 213; 

subject to appropriate confidentiality requirements, to BSEF employees, 

the Board, Board committees, Disciplinary Panels, Appeals Panels, BSEF Officers, 

attorneys, auditors, and agents, independent contractors or other Persons that have been 

engaged by BSEF, in each case, who require such information in connection with the 

discharge of their duties to BSEF; and

as otherwise permitted under these Rules.

(b) All information and data obtained or received by BSEF from inspections of 

accounting and other records will be treated as confidential by BSEF; however, this Rule does not 

supplant Rule 212 (Emergency Rules) and the Rules in Chapter 6 (Disciplinary Rules), or any 

other requirement of legal process or law.

RULE 806. Extension or Waiver of BSEF Rules

If necessary and expedient, the Chief Compliance Officer may, in its sole discretion, 

waive, or extend the time period for performing, any act or acts designated by the BSEF Rules, 

but only to the extent such waiver or extension is not inconsistent with the CEA or the CFTC 

Regulations or other applicable regulations.
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RULE 807. Effect of Amendment, Repeal or New Rule 

(a) If an amendment or repeal of a BSEF Rule or adoption of a new BSEF Rule does 

not materially change the terms or conditions of a Swap and does not affect the value of open 

Swaps, then the effective date of any amendment or repeal of a Rule or adoption of a new Rule 

relating to Swaps is binding on all Swaps entered into before and after the effective date of such 

amendment, repeal or adoption and, to the extent applicable, before the effective date of such 

amendment, repeal or adoption.

(b) If an amendment or repeal of a BSEF Rule or adoption of a new Rule materially 

changes the terms or conditions of an open Swap or affects the value of open Swaps, then the 

amendment, repeal or new BSEF Rule shall not affect any open Swaps and shall be binding only 

on new Swaps listed for trading after the effective date of such amendment, repeal or adoption, 

and Swaps listed as of the effective date of such amendment, repeal or adoption with no open 

positions then in existence, unless otherwise specifically provided by the Board.

RULE 808. Swap Contract Specifications

(a) BSEF shall permit trading only in Swaps that are not readily susceptible to 

manipulation. To demonstrate to the CFTC compliance with the requirements of this Rule 

808(a), BSEF shall, at the time it submits a new Swap in advance to the CFTC pursuant to Part 40 

of the CFTC Regulations, provide the applicable information as set forth in Appendix C to Part 38 

of the CFTC Regulations – Demonstration of Compliance That a Contract is not Readily 

Susceptible to Manipulation.

(b) Notwithstanding any provision of the BSEF Rules to the contrary, the Swap 

Specification with respect to a particular Swap shall govern the applicability of the BSEF Rules to 

trading in such Swap and, in the event of any conflict between the BSEF Rules and the Swap 

Specification, the Swap Specification shall govern with respect to trading in the relevant Swap.

(c) The Swap Specification for each individual Swap may specify:

(i) different classes of Participants eligible to trade such Swaps. Each such 

class of Participants shall have the rights and obligations specified by the Swap 

Specification for each such Swap; 

(ii) whether such Swap may be settled via cash settlement, physical delivery of 

the underlying commodity, or by any other means, as applicable; and

(iii) the method for determining settlement prices.

(d) Each Swap contract will be published by BSEF on its website.

(e) Swap Specifications are incorporated into the Rulebook by reference and each 

Swap Specification shall constitute a BSEF Rule. 
93

RULE 809. Timely Publication of Trading Information

BSEF will publish trading information as required by Core Principle 9 of Part 37, and by 

Part 16, of the CFTC Regulations.

RULE 810. Governing Law, Jurisdiction and Dispute Resolution

(a) Unless preempted by the Act, the law of the State of New York governs the BSEF 

Rules and any Participant Documentation regardless of the laws that would otherwise apply under 

choice-of-law principles. If a Participant provides an opinion of a counsel (i) stating that the 

Participant cannot be subject to the law of the State of New York and must be subject to the law 

of the jurisdiction of the location where the Participant is organized (the “Local Law”) and (ii) 

enumerating specific provisions of these Rules or the Participant Documentation that must be 

subject to the Local Law, BSEF will specify the application of the Local Law to the enumerated 

specific provisions of these Rules and the Participant Documentation; provided, however, that in 

no event shall Local Law supersede any provision of the Act. 

(b) Any dispute between BSEF and a Participant or any market participant that 

directly or indirectly effects a transaction on the SEF operated by BSEF arising from or in 

connection with the BSEF Rules or use of the SEF operated by BSEF must be brought to 

arbitration pursuant to subsection (c) of this Rule 810 within one (1) year from the occurrence of 

the event giving rise to the dispute. This Rule 810 shall in no way create a cause of action nor 

authorize an action that would otherwise be prohibited by the BSEF Rules.

(c) Any dispute between BSEF and a Participant or any market participant that 

directly or indirectly effects a transaction on the SEF operated by BSEF arising from or in 

connection with the BSEF Rules will be settled by arbitration administered in New York County, 

New York by the American Arbitration Association (the “AAA”) under its Commercial 

Arbitration Rules. The dispute will be submitted to one arbitrator who will be appointed by the 

AAA. Any arbitrator appointed for purposes of this Rule 810 will have experience with and 

knowledge of commodities, derivatives and Swaps as listed on the National Roster of Arbitrators 

kept in the AAA’s records. Judgment on the award rendered by the arbitrator will be binding on 

the parties and may be entered in any state or federal court sitting in New York County, New 

York, and BSEF and each Participant shall be deemed to have consented to the personal 

jurisdiction of any such court. Each party to the dispute will bear its own costs and expenses in 

connection with any arbitration hereunder, as well as an equal share of the administrative fees and 

the fees of the arbitrator; provided, however, that the arbitrator will be entitled to include in any 

award a full reimbursement for the prevailing party’s costs and expenses, such party’s share of the 

administrative fees and the fees of the arbitrator, or any combination of any or all of the above. In 

the event that this Rule 810 is held to be unenforceable in connection with any dispute or a claim 

is deemed by a court of competent jurisdiction to be not arbitrable, (i) exclusive jurisdiction for 

any such dispute will reside in any state or federal court sitting in New York County, New York, 

(ii) BSEF and the Participant involved in the dispute will be presumed to have submitted to the 

personal jurisdiction of any such court, and (iii) an action to enforce any judgment or decision of 

such court may be brought in the same court or in any other court with jurisdiction or venue. 

Finally, all Participants unconditionally and irrevocably waive any and all right to trial by jury in 

connection with any such dispute.
94

CHAPTER 9. LIMITATION OF LIABILITY, NO WARRANTIES

RULE 901. LIMITATION OF LIABILITY, NO WARRANTIES

(a) NONE OF BSEF, ITS AFFILIATES OR ANY CONTRACTORS AND SUBCONTRACTORS PROVIDING SERVICES RELATED TO BSEF OR THE SEF OPERATED 

BY BSEF, NOR ANY OF THEIR RESPECTIVE SUCCESSORS OR ASSIGNS, DIRECTORS, 

OFFICERS, EMPLOYEES, AGENTS, PARTNERS, CONSULTANTS, OR LICENSORS 

(EACH, A “DISCLAIMING PARTY”) SHALL BE LIABLE TO ANY PERSON 

(INCLUDING ANY PARTICIPANT, AUTHORIZED TRADER, SUPERVISED PERSON, 

ACCOUNT, CUSTOMER, CLEARING MEMBER OR ANY MARKET PARTICIPANT 

THAT DIRECTLY OR INDIRECTLY EFFECTS A TRANSACTION ON THE SEF 

OPERATED BY BSEF) FOR ANY LOSSES, DAMAGES, COSTS OR EXPENSES 

(INCLUDING LOSS OF PROFITS, LOSS OF USE, AND DIRECT, INDIRECT, SPECIAL, 

INCIDENTAL, CONSEQUENTIAL OR PUNITIVE DAMAGES), ARISING FROM:

ANY FAILURE, MALFUNCTION, FAULT IN DELIVERY, DELAY, 

OMISSION, SUSPENSION, INACCURACY, INTERRUPTION, TERMINATION, OR 

ANY OTHER EVENT, IN CONNECTION WITH THE FURNISHING, 

PERFORMANCE, OPERATION, MAINTENANCE, USE OF OR INABILITY TO USE 

ALL OR ANY PART OF ANY OF THE SEF OPERATED BY BSEF, SEF PLATFORM 

OR SERVICES OF THE DISCLAIMING PARTY, OR SERVICES, EQUIPMENT OR 

FACILITIES USED TO SUPPORT SUCH SEF OPERATED BY BSEF, SEF 

PLATFORM OR SERVICES, INCLUDING ELECTRONIC ORDER 

ENTRY/DELIVERY, TRADING THROUGH ANY ELECTRONIC MEANS, 

ELECTRONIC COMMUNICATION OF MARKET DATA, SEF DATA OR 

INFORMATION, WORKSTATIONS USED BY PARTICIPANTS, AUTHORIZED 

TRADERS, SUPERVISED PERSONS, CLEARING MEMBERS, ACCOUNTS OR

CUSTOMERS, PRICE REPORTING SYSTEMS AND ANY AND ALL 

COMMUNICATIONS NETWORKS, SOFTWARE AND HARDWARE RELATING 

THERETO;

ANY FAILURE, MALFUNCTION, FAULT IN DELIVERY, DELAY, 

OMISSION, SUSPENSION, INACCURACY, INTERRUPTION OR TERMINATION, 

OR ANY OTHER EVENT, OF THE SEF PLATFORM OR ANY SERVICES OF A 

DISCLAIMING PARTY, OR SERVICES, EQUIPMENT OR FACILITIES USED TO 

SUPPORT SUCH TRADING SYSTEMS OR SERVICES, CAUSED BY ANY THIRD 

PARTIES INCLUDING INDEPENDENT SOFTWARE VENDORS OR NETWORK 

PROVIDERS;

ANY ERRORS OR INACCURACIES IN INFORMATION PROVIDED 

BY THE DISCLAIMING PARTY OR IN ANY OF THE DISCLAIMING PARTY’S 

SYSTEMS, SERVICES, EQUIPMENT OR FACILITIES;

ANY UNAUTHORIZED ACCESS TO OR UNAUTHORIZED USE OF 

ANY OF THE DISCLAIMING PARTY’S SYSTEMS, SERVICES, EQUIPMENT OR 

FACILITIES BY ANY PERSON.
95

THE FOREGOING LIMITATION OF LIABILITY SHALL APPLY WHETHER A CLAIM 

ARISES IN CONTRACT, TORT, NEGLIGENCE, STRICT LIABILITY, CONTRIBUTION OR 

OTHERWISE AND WHETHER THE CLAIM IS BROUGHT DIRECTLY OR AS A THIRD 

PARTY CLAIM. 

(b) NOTWITHSTANDING SUBSECTION (a), (c) or (f) OF THIS RULE 901, IN NO 

EVENT SHALL ANY AFFILIATE OF BSEF ACTING AS SEF PLATFORM TECHNOLOGY 

SERVICES PROVIDER BE LIABLE TO ANY PERSON NOR SHALL ANY PERSON BRING 

ANY LEGAL ACTION (WHETHER IN TORT, NEGLIGENCE, OR BREACH OF 

CONTRACT) FOR ANY LOSSES, DAMAGES, COSTS OR EXPENSES INCLUDING LOSS 

OF PROFITS, LOSS OF USE, DIRECT, SPECIAL, PUNITIVE, INDIRECT, INCIDENTAL OR 

CONSEQUENTIAL DAMAGES, ARISING FROM THE USE OF THE SEF OPERATED BY 

BSEF OR SEF PLATFORM. 

(c) WITHOUT LIMITING BSEF’S INDEMNIFICATION OBLIGATION UNDER 

RULE 902, THERE ARE NO EXPRESS OR IMPLIED WARRANTIES OR 

REPRESENTATIONS (INCLUDING WARRANTIES OF MERCHANTABILITY AND 

FITNESS FOR A PARTICULAR PURPOSE OR USE) PROVIDED BY ANY DISCLAIMING 

PARTY RELATING TO ANY SYSTEMS OR SERVICES OF ANY DISCLAIMING PARTY 

OR SERVICES, EQUIPMENT OR FACILITIES USED TO SUPPORT SUCH SYSTEMS OR 

SERVICES. 

(d) ANY DISPUTE ARISING OUT OF THE USE OF SYSTEMS OR SERVICES 

OF ANY DISCLAIMING PARTY OR SERVICES, EQUIPMENT, OR FACILITIES USED TO 

SUPPORT SUCH SYSTEMS OR SERVICES IN WHICH THE DISCLAIMING PARTY OR 

DISCLAIMING PARTIES IS A PARTY SHALL BE SUBJECT TO ARBITRATION AS 

PROVIDED IN RULE 810(c) AS IF THE DISCLAIMING PARTY WERE BSEF AND THE 

OPPOSITE PARTY OR PARTIES WERE A PARTICIPANT. ANY ACTIONS, SUITS OR 

PROCEEDINGS BROUGHT AGAINST ANY DISCLAIMING PARTY MUST BE BROUGHT 

WITHIN ONE YEAR FROM THE TIME THAT A CAUSE OF ACTION HAS ACCRUED. 

THIS PARAGRAPH (d) SHALL IN NO WAY BE CONSTRUED TO LIMIT A PARTY’S 

OBLIGATION TO ARBITRATE ITS CLAIM OR TO CREATE A CAUSE OF ACTION (OR 

MODIFY THE LIMITATION ON ACTIONS PROVIDED IN RULE 901(a)) AND SHALL 

NOT AUTHORIZE AN ACTION THAT WOULD OTHERWISE BE PROHIBITED BY THE 

BSEF RULES. IF FOR ANY REASON, A COURT OF COMPETENT JURISDICTION FINDS 

THAT A DISPUTE IS NOT ARBITRABLE, SUCH DISPUTE SHALL BE SUBJECT TO THE 

JURISDICTION OF EACH OF THE FEDERAL AND STATE COURTS LOCATED IN NEW 

YORK COUNTY, NEW YORK IN CONNECTION WITH ANY MATTERS ARISING OUT 

OF THIS RULEBOOK AND NO PARTY TO SUCH DISPUTE MAY ASSERT A DEFENSE 

OF FORUM NON CONVENIENS, SOVEREIGN IMMUNITY, ACT OF STATE OR 

ANALOGOUS DOCTRINES IN CONNECTION WITH ANY ACTION. 

(e) TO THE EXTENT PERMITTED BY APPLICABLE LAW, THE TOTAL 

COMBINED AGGREGATE LIABILITY OF BSEF SHALL NOT EXCEED (i) $20,000 FOR 

ALL LOSSES AND CLAIMS FROM ALL CAUSES SUFFERED ON A SINGLE DAY, (ii) 

$100,000 FOR ALL LOSSES AND CLAIMS FROM ALL CAUSES SUFFERED IN A SINGLE 

CALENDAR MONTH; AND (iii) $1,200,000 FOR ALL LOSSES AND CLAIMS FROM ALL 
96

CAUSES SUFFERED IN A SINGLE CALENDAR YEAR. ANY DISPUTED CLAIM 

PURSUANT TO THIS PARAGRAPH (e) SHALL BE SUBJECT TO ARBITRATION TO THE 

EXTENT PROVIDED IN RULE 810(c).

IN NO EVENT SHALL TOTAL COMBINED AGGREGATE LIABILITY OF BSEF FOR ALL 

CLAIMS AND CLAIMS AGAINST DISCLAIMING PARTIES ARISING OUT OF ANY 

FAILURES, MALFUNCTIONS, FAULTS IN DELIVERY, DELAYS, OMISSIONS, 

SUSPENSIONS, INACCURACIES, INTERRUPTIONS, TERMINATIONS, OR ANY OTHER 

CAUSES, IN CONNECTION WITH THE FURNISHING, PERFORMANCE, OPERATION, 

MAINTENANCE, USE OF OR INABILITY TO USE ALL OR ANY PART OF ANY OF THE 

SEF OPERATED BY BSEF OR SEF PLATFORM, OR SERVICES, EQUIPMENT OR 

FACILITIES USED TO SUPPORT BSEF, THE SEF OPERATED BY BSEF OR SEF

PLATFORM, OR THE NEGLIGENCE OR GROSS NEGLIGENCE OF BSEF EMPLOYEES, 

AGENTS OR SUBAGENTS EXCEED $1,200,000 IN ANY GIVEN CALENDAR YEAR. 

IF THE NUMBER OF ALLOWED CLAIMS ARISING OUT OF ANY FAILURES OR 

MALFUNCTIONS ON A SINGLE DAY, SINGLE MONTH OR SINGLE YEAR CANNOT BE 

FULLY SATISFIED BECAUSE OF THE ABOVE DOLLAR LIMITATIONS, ALL SUCH 

CLAIMS SHALL BE LIMITED TO A PRO RATA SHARE OF THE MAXIMUM AMOUNT 

FOR THE RESPECTIVE PERIOD. 

(f) THE LIMITATIONS OF LIABILITY IN THIS RULE 901 SHALL NOT APPLY 

TO BSEF’S INDEMNIFICATION OBLIGATION UNDER RULE 902 AND SHALL NOT 

PROTECT ANY PARTY FOR WHICH THERE HAS BEEN A FINAL DETERMINATION 

(INCLUDING EXHAUSTION OF ANY APPEALS) BY A COURT OR ARBITRATOR TO 

HAVE ENGAGED IN FRAUD OR WILLFUL MISCONDUCT. ADDITIONALLY, THE 

FOREGOING LIMITATIONS ON LIABILITY OF THIS RULE SHALL BE SUBJECT TO 

THE CEA AND THE REGULATIONS PROMULGATED THEREUNDER, EACH AS IN 

EFFECT FROM TIME TO TIME.

RULE 902. Indemnification by BSEF

BSEF, at its expense, shall indemnify, hold harmless and defend Participant against any 

loss, claim, demand or expense (including reasonable attorneys’ fees) (“Claim”) that the SEF 

Platform or any portion thereof infringes, misappropriates or violates any intellectual property or 

proprietary rights of any third party; provided, however, that BSEF shall not be required to 

indemnify Participant for any Claim to the extent it arises from or in connection with any (a) 

additions, changes or modifications by Participant to the SEF Platform, which changes were not 

provided by BSEF or any of its Affiliates, (b) use of the SEF Platform in combination with other 

products or services not provided by BSEF or its Affiliates, or (c) use of the SEF Platform other 

than as expressly permitted by the Rules or the Participant Documentation. BSEF shall control 

such defense and all negotiations relative to the settlement of any such Claim. Participant shall 

promptly provide BSEF with written notice of any claim which falls within the scope of this 

paragraph (provided that failure to provide such notice shall not relieve BSEF of its indemnity 

obligations hereunder except to the extent it is prejudiced thereby). 
97

CHAPTER 10. [Reserved]

CHAPTER 11. [Reserved]
98

CHAPTER 12. CREDIT CONTRACTS TERMS AND CONDITIONS

RULE 1201.A. CDX North America High Yield

Contract Overview Credit Default Swap. An agreement to buy or sell protection on a basket of liquid North America based entities 

with a high yield credit rating based upon an agreed upon notional amount.

Ticker CDX HY CDSI [Series Number] [Tenor]

Index CDX.NA.HY: Series 11 to current series 

Index Type Corporate; Untranched

Index Version Current version

Index Term Value Same as Tenor

Index Factor Current factor

Notional Currency USD

Quoting Convention Price and/or upfront payment

Minimum Increment CLOB: $0.0025

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: $1,000,000

Trading Protocols other than CLOB: As agreed by counterparties

Trading Conventions Buy = Buy Protection

Sell = Sell Protection

Swap Tenor Any

Effective Date Unadjusted date at which obligations under the swap come into effect. 

Maturity/Expiration Date Unadjusted date at which obligations under the swap stop being effective.

Settlement Method Financially settled

Settlement • Contingent payment: Payments related to credit event settlement will be determined pursuant to the 

2009 ISDA Credit Derivatives Determination Committees and Auction Settlement Supplement, (i.e.,

the Big Bang Protocol). 

• Fixed quarterly cash payments: Reflected in basis points and paid by the protection buyer to the 

protection seller. 

• Upfront fee payment: The upfront fee is a portion of the payments, expressed in percentage points 

of the notional, which is present valued and paid immediately to the seller.

Final Contractual 

Settlement Date

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual 

Settlement Date is determined by Credit Event Rules.

Settlement Currency USD

“Made Available to 

Trade” Determination 

See https://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm > Products > Swaps Made Available to 

Trade

Mandatory Clearing 

Determination

See https://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm > Products > Swaps Subject to Clearing 

requirements

Trading Hours 00:01 -24:00 Sunday-Friday; Eastern Time

Settlement Procedure As determined by the Clearing House or Bilateral 

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
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RULE 1201.B. Option – CDX North America High Yield 

Contract Overview Swaption on a Credit Default Swap. An agreement granting the owner the right, but not the obligation, to enter into an 

underlying Swap. A payer (put) option allows the option holder to enter into a fixed rate payer (protection buyer) position 

in the underlying Swap at the agreed strike level. A receiver (call) option gives the option holder the right to enter into a 

fixed rate receiver (protection seller) position in the underlying Swap at the agreed strike level.

Ticker CDX HY CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Underlying Swap CDX North America High Yield (Rule 1201.A.)

Notional Currency USD

Quoting Convention Premium 

Strike Price Price

Option Premium 

Currency

USD

Minimum Increment As agreed by counterparties

Minimum Size As agreed by counterparties 

Option Style European

Option Type Put (Payer Option)

Call (Receiver Option)

Effective Date Unadjusted date at which obligations under the swap come into effect. 

Expiration Date Unadjusted date at which obligations under the swap stop being effective; Third Wednesday of the Expiration Month

Valuation Method Vanilla

Settlement Method Financially settled

Final Contractual 

Settlement Date

Expiration Date + 2 days, according to market center conventions. 

Settlement Currency USD

“Made Available to 

Trade” 

Determination 

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01 -24:00 Sunday-Friday; Eastern Time

Settlement Procedure Bilateral or as determined by a Clearing House

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

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

Speculative Limits Same as for the underlying Swap

Reportable Levels Same as for the underlying Swap
100

RULE 1202.A. CDX North America Investment Grade

Contract Overview Credit Default Swap. An agreement to buy or sell protection on a basket of liquid North America based entities with 

an investment grade credit rating based upon an agreed upon notional amount.

Ticker CDX IG CDSI [Series Number] [Tenor]

Index CDX.NA.IG: Series 11 to current series

Index Type Corporate; Untranched

Index Version Current version

Index Term Value Same as Tenor

Index Factor Current factor

Notional Currency USD

Quoting Convention Spread and/or upfront payment

Minimum Increment CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Trading Conventions Buy = Buy Protection

Sell = Sell Protection

Swap Tenor Any 

Effective Date Unadjusted date at which obligations under the swap come into effect. 

Maturity/Expiration 

Date

Unadjusted date at which obligations under the swap stop being effective.

Settlement Method Financially settled

Settlement • Contingent payment: Payments related to credit event settlement will be determined pursuant to the 

2009 ISDA Credit Derivatives Determination Committees and Auction Settlement Supplement, (i.e., the 

Big Bang Protocol). 

• Fixed quarterly cash payments: Reflected in basis points and paid by the protection buyer to the 

protection seller. 

• Upfront fee payment: The upfront fee is a portion of the payments, expressed in percentage points of the 

notional, which is present valued and paid immediately to the seller.

Final Contractual 

Settlement Date

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual Settlement 

Date is determined by Credit Event Rules.

Settlement Currency USD

“Made Available to 

Trade” Determination 

See https://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm > Products > Swaps Made Available to Trade

Mandatory Clearing 

Determination

See https://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm > Products > Swaps Subject to Clearing 

requirements

Trading Hours 00:01 -24:00 Sunday-Friday; Eastern Time

Settlement Procedure As determined by the Clearing House or Bilateral

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
101

RULE 1202.B. Option – CDX North America Investment Grade

Contract Overview Swaption on a Credit Default Swap. An agreement granting the owner the right, but not the obligation, to enter into an 

underlying Swap. A payer (put) option allows the option holder to enter into a fixed rate payer (protection buyer) position 

in the underlying Swap at the agreed strike level. A receiver (call) option gives the option holder the right to enter into a 

fixed rate receiver (protection seller) position in the underlying Swap at the agreed strike level.

Ticker CDX IG CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Underlying Swap CDX North America Investment Grade (Rule 1202.A)

Notional Currency USD

Quoting Convention Premium 

Strike Price Spread

Option Premium 

Currency

USD

Minimum Increment As agreed by counterparties

Minimum Size As agreed by counterparties 

Option Style European

Option Type Put (Payer Option)

Call (Receiver Option)

Effective Date Unadjusted date at which obligations under the swap come into effect. 

Expiration Date Unadjusted date at which obligations under the swap stop being effective; Third Wednesday of the Expiration Month

Valuation Method Vanilla

Settlement Method Financially settled

Final Contractual 

Settlement Date

Expiration date +2 days, according to market center conventions.

Settlement Currency USD

“Made Available to 

Trade” 

Determination 

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01 -24:00 Sunday-Friday; Eastern Time

Settlement Procedure Bilateral or as determined by a Clearing House

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

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

Speculative Limits Same as for the underlying Swap

Reportable Levels Same as for the underlying Swap
102

RULE 1203.A. CDX Emerging Markets

Contract Overview Credit Default Swap. An agreement to buy or sell protection on a basket comprised of a number of sovereign issuers, 

domiciled in Latin America based upon an agreed upon notional amount.

Ticker CDX EM CDSI [Series Number] [Tenor]

Index CDX Emerging Markets: all series

Index Type Sovereign; Untranched

Index Version Current version

Index Term Value Same as Tenor

Index Factor Current factor

Notional Currency USD

Quoting Convention Price and/or upfront payment

Minimum Increment CLOB: $0.0025

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: $1,000,000

Trading Protocols other than CLOB: As agreed by counterparties

Trading Conventions Buy = Buy Protection

Sell = Sell Protection

Swap Tenor Any 

Effective Date Unadjusted date at which obligations under the swap come into effect. 

Maturity/Expiration 

Date

Unadjusted date at which obligations under the swap stop being effective.

Settlement Method Financially settled

Settlement • Contingent payment: Payments related to credit event settlement will be determined pursuant to the 

2009 ISDA Credit Derivatives Determination Committees and Auction Settlement Supplement, (i.e., the 

Big Bang Protocol). 

• Fixed quarterly cash payments: Reflected in basis points and paid by the protection buyer to the 

protection seller. 

• Upfront fee payment: The upfront fee is a portion of the payments, expressed in percentage points of the 

notional, which is present valued and paid immediately to the seller.

Final Contractual 

Settlement Date

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual Settlement 

Date is determined by Credit Event Rules.

Settlement Currency USD

“Made Available to 

Trade” Determination 

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01 -24:00 Sunday-Friday; Eastern Time

Settlement Procedure As determined by the Clearing House or Bilateral 

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
103

RULE 1203.B. Option – CDX Emerging Markets 

Contract Overview Swaption on a Credit Default Swap. An agreement granting the owner the right, but not the obligation, to enter into an 

underlying Swap. A payer (put) option allows the option holder to enter into a fixed rate payer (protection buyer) position 

in the underlying Swap at the agreed strike level. A receiver (call) option gives the option holder the right to enter into a 

fixed rate receiver (protection seller) position in the underlying Swap at the agreed strike level.

Ticker CDX EM CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Underlying Swap CDX Emerging Markets (Rule 1203.A)

Notional Currency USD

Quoting Convention Premium 

Strike Price Price

Option Premium 

Currency

USD

Minimum Increment As agreed by counterparties

Minimum Size As agreed by counterparties 

Option Style European

Option Type Put (Payer Option)

Call (Receiver Option)

Effective Date Unadjusted date at which obligations under the swap come into effect. 

Expiration Date Unadjusted date at which obligations under the swap stop being effective; Third Wednesday of the Expiration Month

Valuation Method Vanilla

Settlement Method Financially settled

Final Contractual 

Settlement Date

Expiration Date + 2 days, according to market center conventions. 

Settlement Currency USD

“Made Available to 

Trade” 

Determination 

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01 -24:00 Sunday-Friday; Eastern Time

Settlement Procedure Bilateral or as determined by a Clearing House

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

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

Speculative Limits Same as for the underlying Swap

Reportable Levels Same as for the underlying Swap
104

RULE 1204.A. iTraxx Europe

Contract Overview Credit Default Swap. An agreement to buy or sell protection on a basket of liquid European based entities with an 

investment grade credit rating based upon an agreed upon notional amount.

Ticker ITRX EUR CDSI [Series Number] [Tenor]

Index iTRAXX.EUROPE: Series 7 to current series

Index Type Corporate; Untranched

Index Version Current version

Index Term Value Same as Tenor

Index Factor Current factor

Notional Currency EUR

Quoting Convention Spread and/or upfront payment

Minimum Increment CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Trading Conventions Buy = Buy Protection

Sell = Sell Protection

Swap Tenor Any

Effective Date Unadjusted date at which obligations under the swap come into effect. 

Maturity/Expiration 

Date

Unadjusted date at which obligations under the swap stop being effective.

Settlement Method Financially settled

Settlement • Contingent payment: Payments related to credit event settlement will be determined pursuant to the 

2009 ISDA Credit Derivatives Determination Committees and Auction Settlement Supplement, (i.e., the 

Big Bang Protocol). 

• Fixed quarterly cash payments: Reflected in basis points and paid by the protection buyer to the 

protection seller.

• Upfront fee payment: The upfront fee is a portion of the payments, expressed in percentage points of the 

notional, which is present valued and paid immediately to the seller.

Final Contractual 

Settlement Date

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual Settlement 

Date is determined by Credit Event Rules.

Settlement Currency EUR

“Made Available to 

Trade” Determination 

See https://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm > Products > Swaps Made Available to Trade

Mandatory Clearing 

Determination

See https://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm > Products > Swaps Subject to Clearing 

requirements

Trading Hours 00:01 -24:00 Sunday-Friday; Eastern Time

Settlement Procedure As determined by the Clearing House or Bilateral

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
105

RULE 1204.B. Option – iTraxx Europe

Contract Overview Swaption on a Credit Default Swap. An agreement granting the owner the right, but not the obligation, to enter into an 

underlying Swap. A payer (put) option allows the option holder to enter into a fixed rate payer (protection buyer) position 

in the underlying Swap at the agreed strike level. A receiver (call) option gives the option holder the right to enter into a 

fixed rate receiver (protection seller) position in the underlying Swap at the agreed strike level.

Ticker ITRX EUR CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Underlying Swap iTraxx Europe (Rule 1204.A.) 

Notional Currency EUR

Quoting Convention Premium

Strike Price Spread

Option Premium 

Currency

EUR

Minimum Increment As agreed by counterparties

Minimum Size As agreed by counterparties 

Option Style European

Option Type Put (Payer Option)

Call (Receiver Option)

Effective Date Unadjusted date at which obligations under the swap come into effect. 

Maturity/Expiration 

Date

Unadjusted date at which obligations under the swap stop being effective; Third Wednesday of the Expiration Month

Valuation Method Vanilla

Settlement Method Financially settled

Final Contractual 

Settlement Date

Expiration date +2 days, according to market center conventions.

Settlement Currency EUR

“Made Available to 

Trade” 

Determination 

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01 -24:00 Sunday-Friday; Eastern Time

Settlement Procedure Bilateral or as determined by a Clearing House

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe 

Limited; LCH.Clearnet SA. or Bilateral

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

Speculative Limits Same as for the underlying Swap

Reportable Levels Same as for the underlying Swap
106

RULE 1205.A. iTraxx Europe Crossover

Contract Overview Credit Default Swap. The European Crossover index comprises 75 equally weighted credit default swaps on the most 

liquid sub-investment grade European corporate entities based upon an agreed upon notional amount.

Ticker ITRX XOVER CDSI [Series Number] [Tenor]

Index iTraxx Europe Crossover: Series 10 to current series

Index Type Corporate; Untranched

Index Version Current version

Index Term Value Same as Tenor

Index Factor Current factor

Notional Currency EUR

Quoting Convention Spread and/or upfront payment 

Minimum Increment CLOB: 0.0025

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: 1,000,000

Trading Protocols other than CLOB: As agreed by counterparties

Trading Conventions Buy = Buy Protection

Sell = Sell Protection

Swap Tenor Any 

Effective Date Unadjusted date at which obligations under the swap come into effect. 

Maturity/Expiration 

Date

Unadjusted date at which obligations under the swap stop being effective.

Settlement Method Financially settled

Settlement • Contingent payment: Payments related to credit event settlement will be determined pursuant to the 2009 

ISDA Credit Derivatives Determination Committees and Auction Settlement Supplement, (i.e., the Big 

Bang Protocol). 

• Fixed quarterly cash payments: Reflected in basis points and paid by the protection buyer to the 

protection seller.

• Upfront fee payment: The upfront fee is a portion of the payments, expressed in percentage points of the 

notional, which is present valued and paid immediately to the seller.

Final Contractual 

Settlement Date

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual Settlement Date 

is determined by Credit Event Rules.

Settlement Currency EUR

“Made Available to 

Trade” Determination 

See https://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm > Products > Swaps Made Available to Trade

Mandatory Clearing 

Determination

See https://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm > Products > Swaps Subject to Clearing 

requirements

Trading Hours 00:01 -24:00 Sunday-Friday; Eastern Time

Settlement Procedure As determined by the Clearing House or Bilateral

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
107

RULE 1205.B. Option – iTraxx Europe Crossover

Contract Overview Swaption on a Credit Default Swap. An agreement granting the owner the right, but not the obligation, to enter into an 

underlying Swap. A payer (put) option allows the option holder to enter into a fixed rate payer (protection buyer) position 

in the underlying Swap at the agreed strike level. A receiver (call) option gives the option holder the right to enter into a 

fixed rate receiver (protection seller) position in the underlying Swap at the agreed strike level.

Ticker ITRX XOVER CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Underlying Swap iTraxx Europe Crossover (Rule 1205.A.) 

Notional Currency EUR

Quoting Convention Premium

Strike Price Spread

Option Premium 

Currency

EUR

Minimum Increment As agreed by counterparties

Minimum Size As agreed by counterparties 

Option Style European

Option Type Put (Payer Option)

Call (Receiver Option)

Effective Date Unadjusted date at which obligations under the swap come into effect. 

Maturity/Expiration 

Date

Unadjusted date at which obligations under the swap stop being effective; Third Wednesday of the Expiration Month

Valuation Method Vanilla

Settlement Method Financially settled

Final Contractual 

Settlement Date

Expiration Date + 2 days, according to market center conventions. 

Settlement Currency EUR

“Made Available to 

Trade” 

Determination 

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01 -24:00 Sunday-Friday; Eastern Time

Settlement Procedure Bilateral or as determined by a Clearing House

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

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

Speculative Limits Same as for the underlying Swap

Reportable Levels Same as for the underlying Swap
108

RULE 1206.A. iTraxx Europe HiVol

Contract Overview Credit Default Swap.An agreement to buy or sell protection on a basket comprised of 30 equally weighted credit 

default swaps on the widest spread non-financial European corporate entities based upon an agreed upon notional 

amount. 

Ticker HIVOL CDSI [Series Number] [Tenor]

Index iTraxx Europe HiVol

Index Type Corporate; Untranched

Index Version Current version

Index Term Value Same as Tenor

Index Factor Current factor

Notional Currency EUR

Quoting Convention Spread and/or upfront payment

Minimum Increment CLOB: 0.0025

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: 1,000,000

Trading Protocols other than CLOB: As agreed by counterparties

Trading Conventions Buy = Buy Protection

Sell = Sell Protection

Swap Tenor Any 

Effective Date Unadjusted date at which obligations under the swap come into effect. 

Maturity/Expiration 

Date

Unadjusted date at which obligations under the swap stop being effective.

Settlement Method Financially settled

Settlement • Contingent payment: Payments related to credit event settlement will be determined pursuant to the 

2009 ISDA Credit Derivatives Determination Committees and Auction Settlement Supplement, (i.e., the 

Big Bang Protocol). 

• Fixed quarterly cash payments: Reflected in basis points and paid by the protection buyer to the 

protection seller.

• Upfront fee payment: The upfront fee is a portion of the payments, expressed in percentage points of the 

notional, which is present valued and paid immediately to the seller.

Final Contractual 

Settlement Date

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual Settlement 

Date is determined by Credit Event Rules.

Settlement Currency EUR

“Made Available to 

Trade” Determination 

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01 -24:00 Sunday-Friday; Eastern Time

Settlement Procedure As determined by the Clearing House or Bilateral

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
109

RULE 1206.B. Option – iTraxx Europe HiVol 

Contract Overview Swaption on a Credit Default Swap. An agreement granting the owner the right, but not the obligation, to enter into an 

underlying Swap. A payer (put) option allows the option holder to enter into a fixed rate payer (protection buyer) position 

in the underlying Swap at the agreed strike level. A receiver (call) option gives the option holder the right to enter into a 

fixed rate receiver (protection seller) position in the underlying Swap at the agreed strike level.

Ticker HIVOL CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Underlying Swap iTraxx European HiVol (Rule 1206.A.)

Notional Currency EUR

Quoting Convention Premium

Strike Price Spread 

Option Premium 

Currency

EUR

Minimum Increment As agreed by counterparties

Minimum Size As agreed by counterparties 

Option Style European

Option Type Put (Payer Option)

Call (Receiver Option)

Effective Date Unadjusted date at which obligations under the swap come into effect. 

Maturity/Expiration 

Date

Unadjusted date at which obligations under the swap stop being effective; Third Wednesday of the Expiration Month

Valuation Method Vanilla

Settlement Method Financially settled

Final Contractual 

Settlement Date

Expiration Date + 2 days, according to market center conventions. 

Settlement Currency EUR

“Made Available to 

Trade” 

Determination 

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01 -24:00 Sunday-Friday; Eastern Time

Settlement Procedure Bilateral or as determined by a Clearing House

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

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

Speculative Limits Same as for the underlying Swap

Reportable Levels Same as for the underlying Swap
110

RULE 1207.A. iTraxx Europe Senior Financial 

Contract Overview Credit Default Swap. An agreement to buy or sell protection on a basket of 25 equally weighted credit default swaps 

on investment grade European entities based upon an agreed upon notional amount.

Ticker SNRFIN CDSI [Series Number] [Tenor]

Index iTraxx Europe Senior Financial 

Index Type Corporate; Untranched

Index Version Current version

Index Term Value Same as Tenor

Index Factor Current factor

Notional Currency EUR

Quoting Convention Spread and/or upfront payment 

Minimum Increment CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Trading Conventions Buy = Buy Protection

Sell = Sell Protection

Swap Tenor Any 

Effective Date Unadjusted date at which obligations under the swap come into effect. 

Maturity/Expiration 

Date

Unadjusted date at which obligations under the swap stop being effective.

Settlement Method Financially settled

Settlement • Contingent payment: Payments related to credit event settlement will be determined pursuant to the 

2009 ISDA Credit Derivatives Determination Committees and Auction Settlement Supplement, (i.e., the 

Big Bang Protocol). 

• Fixed quarterly cash payments: Reflected in basis points and paid by the protection buyer to the 

protection seller.

• Upfront fee payment: The upfront fee is a portion of the payments, expressed in percentage points of the 

notional, which is present valued and paid immediately to the seller.

Final Contractual 

Settlement Date

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual Settlement 

Date is determined by Credit Event Rules.

Settlement Currency EUR

“Made Available to 

Trade” Determination 

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01 -24:00 Sunday-Friday; Eastern Time

Settlement Procedure As determined by the Clearing House or Bilateral

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
111

RULE 1208.A. iTraxx SovX Western Europe 

Contract Overview Credit Default Swap. An agreement to buy or sell protection on an index comprised of 14 names from the Eurozone 

region plus Denmark, Norway, Sweden and United Kingdom that trade on Western European documentation based 

upon an agreed upon notional amount.

Ticker ITRX SOVX WE CDSI [Series Number] [Tenor]

Index iTraxx SovX Western Europe: all series

Index Type Sovereign; Untranched

Index Version Current version

Index Term Value Same as Tenor

Index Factor Current factor

Notional Currency USD 

Quoting Convention Spread and/or upfront payment 

Minimum Increment CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Trading Conventions Buy = Buy Protection

Sell = Sell Protection

Swap Tenor Any 

Effective Date Unadjusted date at which obligations under the swap come into effect. 

Maturity/Expiration 

Date

Unadjusted date at which obligations under the swap stop being effective.

Settlement Method Financially settled

Settlement • Contingent payment: Payments related to credit event settlement will be determined pursuant to the 

2009 ISDA Credit Derivatives Determination Committees and Auction Settlement Supplement, (i.e., the 

Big Bang Protocol). 

• Fixed quarterly cash payments: Reflected in basis points and paid by the protection buyer to the 

protection seller.

• Upfront fee payment: The upfront fee is a portion of the payments, expressed in percentage points of the 

notional, which is present valued and paid immediately to the seller.

Final Contractual 

Settlement Date

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual Settlement 

Date is determined by Credit Event Rules.

Settlement Currency USD

“Made Available to 

Trade” Determination 

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01 -24:00 Sunday-Friday; Eastern Time

Settlement Procedure As determined by the Clearing House or Bilateral

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
112

RULE 1208.B. Option – iTraxx SovX Western Europe 

Contract Overview Swaption on a Credit Default Swap. An agreement granting the owner the right, but not the obligation, to enter into an 

underlying Swap. A payer (put) option allows the option holder to enter into a fixed rate payer (protection buyer) position 

in the underlying Swap at the agreed strike level. A receiver (call) option gives the option holder the right to enter into a 

fixed rate receiver (protection seller) position in the underlying Swap at the agreed strike level.

Ticker ITRAX SovX Western Europe CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Underlying Swap iTraxx SovX Western Europe (Rule 1208.A)

Notional Currency USD

Quoting Convention Premium

Strike Price Spread

Option Premium 

Currency

USD

Minimum Increment As agreed by counterparties

Minimum Size As agreed by counterparties 

Option Style European

Option Type Put (Payer Option)

Call (Receiver Option)

Valuation Method Vanilla

Effective Date Unadjusted date at which obligations under the swap come into effect. 

Maturity/Expiration 

Date

Unadjusted date at which obligations under the swap stop being effective; Third Wednesday of the Expiration Month

Settlement Method Financially settled

Final Contractual 

Settlement Date

Expiration Date + 2 days, according to market center conventions. 

Settlement Currency USD

“Made Available to 

Trade” 

Determination 

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01 -24:00 Sunday-Friday; Eastern Time

Settlement Procedure Bilateral or as determined by a Clearing House

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

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

Speculative Limits Same as for the underlying Swap

Reportable Levels Same as for the underlying Swap
113

RULE 1209.A. iTraxx Europe Subordinated Financial 

Contract Overview Credit Default Swap. An agreement to buy or sell protection on a basket of 25 equally weighted credit default swaps 

on investment grade European entities based upon an agreed upon notional amount.

Ticker SUBFIN CDSI [Series Number] [Tenor]

Index iTraxx Europe Subordinated Financial: all series

Index Type Corporate; Untranched

Index Version Current version

Index Term Value Same as Tenor

Index Factor Current factor

Notional Currency EUR

Quoting Convention Spread and/or upfront payment

Minimum Increment CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Trading Conventions Buy = Buy Protection

Sell = Sell Protection

Swap Tenor Any 

Effective Date Unadjusted date at which obligations under the swap come into effect. 

Maturity/Expiration 

Date

Unadjusted date at which obligations under the swap stop being effective.

Settlement Method Financially settled

Settlement • Contingent payment: Payments related to credit event settlement will be determined pursuant to the 

2009 ISDA Credit Derivatives Determination Committees and Auction Settlement Supplement, (i.e., the 

Big Bang Protocol). 

• Fixed quarterly cash payments: Reflected in basis points and paid by the protection buyer to the 

protection seller. 

• Upfront fee payment: The upfront fee is a portion of the payments, expressed in percentage points of the 

notional, which is present valued and paid immediately to the seller.

Final Contractual 

Settlement Date

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual Settlement 

Date is determined by Credit Event Rules.

Settlement Currency EUR

“Made Available to 

Trade” Determination 

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01 -24:00 Sunday-Friday; Eastern Time

Settlement Procedure As determined by the Clearing House or Bilateral

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
114

RULE 1210.A. iTraxx Japan 

Contract Overview Credit Default Swap. An agreement to buy or sell protection on a basket comprised of 50 equally-weighted 

investment grade Japanese entities based upon an agreed upon notional amount.

Ticker ITRX JAPAN CDSI [series number] [tenor]

Index iTraxx Japan: all series

Index Type Corporate; Untranched

Index Version Current version

Index Term Value Same as Tenor

Index Factor Current factor

Notional Currency JPY

Quoting Convention Spread and/or upfront payment 

Minimum Increment CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Trading Conventions Buy = Buy Protection

Sell = Sell Protection

Swap Tenor Any 

Effective Date Unadjusted date at which obligations under the swap come into effect. 

Maturity/Expiration 

Date

Unadjusted date at which obligations under the swap stop being effective.

Settlement Method Financially settled

Settlement • Contingent payment: Payments related to credit event settlement will be determined pursuant to the 

2009 ISDA Credit Derivatives Determination Committees and Auction Settlement Supplement, (i.e., the 

Big Bang Protocol). 

• Fixed quarterly cash payments: Reflected in basis points and paid by the protection buyer to the 

protection seller. 

• Upfront fee payment: The upfront fee is a portion of the payments, expressed in percentage points of the 

notional, which is present valued and paid immediately to the seller.

Final Contractual 

Settlement Date

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual Settlement 

Date is determined by Credit Event Rules.

Settlement Currency JPY

“Made Available to 

Trade” Determination 

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01 -24:00 Sunday-Friday; Eastern Time

Settlement Procedure As determined by the Clearing House or Bilateral

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
115

RULE 1211.A. iTraxx Australia 

Contract Overview Credit Default Swap. An agreement to buy or sell protection on a basket comprised of 25 equally-weighted 

investment grade Australian entities based upon an agreed upon notional amount.

Ticker ITRX AUS CDSI [Series Number] [Tenor]

Index iTraxx Australia: all series

Index Type Corporate; Untranched

Index Version Current version

Index Term Value Same as Tenor

Index Factor Current factor

Notional Currency USD 

Quoting Convention Spread and/or upfront payment

Minimum Increment CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Trading Conventions Buy = Buy Protection

Sell = Sell Protection

Swap Tenor Any 

Effective Date Unadjusted date at which obligations under the swap come into effect. 

Maturity/Expiration 

Date

Unadjusted date at which obligations under the swap stop being effective.

Settlement Method Financially settled

Settlement • Contingent payment: Payments related to credit event settlement will be determined pursuant to the 

2009 ISDA Credit Derivatives Determination Committees and Auction Settlement Supplement, (i.e., the 

Big Bang Protocol). 

• Fixed quarterly cash payments: Reflected in basis points and paid by the protection buyer to the 

protection seller. 

• Upfront fee payment: The upfront fee is a portion of the payments, expressed in percentage points of the 

notional, which is present valued and paid immediately to the seller.

Final Contractual 

Settlement Date

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual Settlement 

Date is determined by Credit Event Rules.

Settlement Currency USD

“Made Available to 

Trade” Determination 

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01 -24:00 Sunday-Friday; Eastern Time

Settlement Procedure As determined by the Clearing House or Bilateral

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
116

RULE 1212.A. CDX North American High Yield (BB) Index Contract

Contract Overview Credit Default Swap. An agreement to buy or sell protection on a basket of North American based 

entities with a BB credit rating based upon an agreed upon notional amount.

Ticker CDX HYBB CDSI [Series Number] [Tenor]

Index CDX.NA.HY.BB: Series 33 to current series

Index Type Corporate; Untranched

Index Version Current version

Index Term Value Same as Tenor

Index Factor Current factor

Currency USD

Quoting Convention Price and/or upfront payment.

Minimum Increment CLOB: $0.0025

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: $1,000,000

Trading Protocols other than CLOB: As agreed by counterparties

Trading Conventions Buy = Buy Protection

Sell = Sell Protection

Swap Tenor Any

Effective Date Unadjusted date at which obligations under the swap come into effect.

Maturity Date/Expiration 

Date

Unadjusted date at which obligations under the swap stop being effective.

Settlement Method Financially settled

Settlement • Contingent payment: Payments related to credit event settlement will be determined 

pursuant to the 2009 ISDA Credit Derivatives Determination Committees and Auction 

Settlement Supplement (i.e., the Big Bang Protocol).

• Fixed Quarterly cash payments: Reflected in basis points and paid by the protection buyer 

to the protection seller.

• Upfront fee payment: The upfront fee is a portion of the payments, expressed in percentage 

points of the notional, which is present valued and paid immediately to the seller.

Final Contractual Settlement 

Date

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual 

Settlement Date is determined by Credit Event Rules.

Settlement Currency USD

“Made Available to Trade” 

Determination 

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01 -24:00 Sunday-Friday; Eastern Time

Settlement Procedure As determined by the Clearing House or Bilateral 

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
117

RULE 1213.A. CDX Emerging Markets Investment Grade

Contract Overview Credit Default Swap. An agreement to buy or sell protection on a basket comprised of a number of 

sovereign issues domiciled in Asia, EEMEA (Eastern Europe, Middle East, Africa), and Latin America 

with an investment grade rating.

Ticker CDX EM IG CDSI [series number] [tenor]

Index CDX Emerging Markets Investment Grade; all series

Index Type Sovereign; Untranched

Index Version Current version

Index Term Value Same as Tenor

Index Factor Current factor

Currency USD

Quoting Convention Price

Minimum Increment Order Book: $0.0025

Trading Protocols other than Order Book: As agreed by counterparties

Minimum Size Order Book: $1,000,000

Trading Protocols other than Order Book: As agreed by counterparties

Trading Conventions Buy = Buy Protection

Sell = Sell Protection

Swap Tenor Any 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as 

the start date of the swap. 

Maturity Date/Expiration Date The final date on which the obligations no longer accrue and the final payment occurs.

Delivery Type Cash

Settlement Contingent payment – Payments related to credit event settlement will be determined pursuant to the 2014 

ISDA Credit Derivatives Definitions, as published by the International Swaps and Derivatives 

Association, Inc.

Fixed Quarterly cash payments – Reflected in basis points and paid by the protection buyer to the 

protection seller.

Upfront fee payment – The upfront fee is a portion of the payments, expressed in percentage points of the 

notional, which is present valued and paid immediately to the seller.

Settlement Date Same as Expiration Date

Settlement Currency USD

“Made Available to Trade” 

Determination

None

Mandatory Clearing Determination None

Trading Hours 00:01 -24:00 Sunday-Friday; Eastern Time

Settlement Procedure Bilateral

Clearing House Bilateral

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
118

RULE 1214.A. CDX Emerging Markets High Yield

Contract Overview Credit Default Swap. An agreement to buy or sell protection on a basket comprised of a number of 

sovereign issues domiciled in Asia, EEMEA (Eastern Europe, Middle East, Africa), and Latin America 

with credit ratings below “BBB-” or “Baa3” that trade in the CDS market.

Ticker CDX EM HY CDSI [Series Number] [Tenor]

Index CDX Emerging Markets High Yield; all series

Index Type Sovereign; Untranched

Index Version Current version

Index Term Value Same as Tenor

Index Factor Current factor

Currency USD

Quoting Convention Price

Minimum Increment Order Book: $0.0025

Trading Protocols other than Order Book: As agreed by counterparties

Minimum Size Order Book: $1,000,000

Trading Protocols other than Order Book: As agreed by counterparties

Trading Conventions Buy = Buy Protection

Sell = Sell Protection

Swap Tenor Any 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as 

the start date of the swap. 

Maturity Date/Expiration Date The final date on which the obligations no longer accrue and the final payment occurs.

Delivery Type Cash

Settlement Contingent payment – Payments related to credit event settlement will be determined pursuant to the 2014 

ISDA Credit Derivatives Definitions, as published by the International Swaps and Derivatives 

Association, Inc.

Fixed Quarterly cash payments – Reflected in basis points and paid by the protection buyer to the 

protection seller.

Upfront fee payment – The upfront fee is a portion of the payments, expressed in percentage points of the 

notional, which is present valued and paid immediately to the seller.

Settlement Date Same as Expiration Date

Settlement Currency USD

“Made Available to Trade” 

Determination

None

Mandatory Clearing Determination None

Trading Hours 00:01 -24:00 Sunday-Friday; Eastern Time

Settlement Procedure Bilateral

Clearing House Bilateral

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
119

RULE 1215. [Reserved]

RULE 1216. [Reserved]

RULE 1217. [Reserved]

RULE 1218. [Reserved]

RULE 1219. [Reserved]

RULE 1220. [Reserved]

RULE 1221. [Reserved]
120

RULE 1222.A. iTraxx Corp CEEMEA

Contract Overview Credit Default Swap. An agreement to buy or sell protection on a basket comprised of twenty five (25) of the most 

liquid corporate and quasi-sovereign entities from Central & Eastern European, Middle Eastern and African 

countries based upon an agreed upon notional amount.

Ticker ITRX Corp CEEMEA CDSI [Series Number] [Tenor]

Index iTraxx CEEMEA: all series

Index Type Corporate; Untranched

Index Version Current version

Index Term Value Same as Tenor

Index Factor Current factor

Notional Currency USD

Quoting Convention Spread and/or upfront payment

Minimum Increment CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Trading Conventions Buy = Buy Protection

Sell = Sell Protection

Swap Tenor Any 

Effective Date Unadjusted date at which obligations under the swap come into effect. 

Maturity/Expiration 

Date

Unadjusted date at which obligations under the swap stop being effective.

Settlement Method Financially settled

Settlement • Contingent payment: Payments related to credit event settlement will be determined pursuant to the 

2009 ISDA Credit Derivatives Determination Committees and Auction Settlement Supplement, (i.e., the 

Big Bang Protocol). 

• Fixed quarterly cash payments: Reflected in basis points and paid by the protection buyer to the 

protection seller. 

• Upfront fee payment: The upfront fee is a portion of the payments, expressed in percentage points of the 

notional, which is present valued and paid immediately to the seller.

Final Contractual 

Settlement Date

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual Settlement 

Date is determined by Credit Event Rules.

Settlement Currency USD 

“Made Available to 

Trade” Determination 

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01 -24:00 Sunday-Friday; Eastern Time

Settlement Procedure As determined by the Clearing House or Bilateral

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
121

RULE 1223. [Reserved]

RULE 1224. [Reserved]

RULE 1225. [Reserved]

RULE 1226. [Reserved]

RULE 1227. [Reserved]
122

RULE 1228.A. iTraxx Asia Ex-Japan

Contract Overview Credit Default Swap. An agreement to buy or sell protection on a basket comprised of forty (40) liquid Asian 

(excluding Japanese) entities with primarily investment grade credit ratings that trade in the CDS market based upon 

an agreed upon notional amount.

Ticker ITRX EXJP IG CDSI [Series Number] [Tenor]

Index iTraxx Asia Ex-Japan; all series

Index Type Corporate; Untranched

Index Version Current version

Index Term Value Same as Tenor

Index Factor Current factor

Notional Currency USD

Quoting Convention Spread and/or upfront payment

Minimum Increment As agreed by counterparties

Minimum Size As agreed by counterparties

Trading Conventions Buy = Buy Protection

Sell = Sell Protection

Swap Tenor Any 

Effective Date Unadjusted date at which obligations under the swap come into effect. 

Maturity/Expiration 

Date

Unadjusted date at which obligations under the swap stop being effective.

Settlement Method Financially settled

Settlement • Contingent payment: Payments related to credit event settlement will be determined pursuant to the 

2009 ISDA Credit Derivatives Determination Committees and Auction Settlement Supplement, (i.e., the 

Big Bang Protocol).

• Fixed quarterly cash payments: Reflected in basis points and paid by the protection buyer to the 

protection seller. 

• Upfront fee payment: The upfront fee is a portion of the payments, expressed in percentage points of the 

notional, which is present valued and paid immediately to the seller.

Final Contractual 

Settlement Date

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual Settlement 

Date is determined by Credit Event Rules.

Settlement Currency USD

“Made Available to 

Trade” Determination 

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01 -24:00 Sunday-Friday; Eastern Time

Settlement Procedure As determined by the Clearing House or Bilateral

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
123

RULE 1229.A. iTraxx Europe Non-Financial 

Contract Overview Credit Default Swap. An agreement to buy or sell protection on a basket of one hundred (100) equally weighted 

credit default swaps on investment grade European entities based upon an agreed upon notional amount.

Ticker ITRX Europe NONFIN CDSI [Series Number] [Tenor]

Index iTraxx Europe Non-Financial

Index Type Corporate; Untranched

Index Version Current version

Index Term Value Same as Tenor

Index Factor Current factor

Notional Currency EUR

Quoting Convention Spread and/or upfront payment

Minimum Increment CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by the counterparties

Minimum Size CLOB: 1,000,000

Trading Protocols other than CLOB: As agreed by the counterparties

Trading Conventions Buy = Buy Protection

Sell = Sell Protection

Swap Tenor Any 

Effective Date Unadjusted date at which obligations under the swap come into effect. 

Maturity/Expiration 

Date

Unadjusted date at which obligations under the swap stop being effective.

Settlement Method Financially settled

Settlement • Contingent payment: Payments related to credit event settlement will be determined pursuant to the 

2009 ISDA Credit Derivatives Determination Committees and Auction Settlement Supplement, (i.e., the 

Big Bang Protocol). 

• Fixed quarterly cash payments: Reflected in basis points and paid by the protection buyer to the 

protection seller. 

• Upfront fee payment: The upfront fee is a portion of the payments, expressed in percentage points of the 

notional, which is present valued and paid immediately to the seller.

Final Contractual 

Settlement Date

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual Settlement 

Date is determined by Credit Event Rules.

Settlement Currency EUR

“Made Available to 

Trade” Determination 

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01-24:00 Sunday-Friday; Eastern Time

Settlement Procedure As determined by the Clearing House or Bilateral

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
124

RULE 1230.A. iTraxx MSCI ESG Screened Europe 

Contract Overview Credit Default Swap. An agreement to buy or sell protection on a basket of equally weighted European entities from 

the iTraxx Europe Index with an MSCI ESG Rating above BBB based upon an agreed upon notional amount.

Ticker ITRX EUR MSCIESG CDSI [Series Number] [Tenor]

Index iTRAXX.EUROPE MSCI ESG Screened: all series

Index Type Corporate; Untranched

Index Version Current version

Index Term Value Same as Tenor

Index Factor Current factor

Notional Currency EUR

Quoting Convention Spread and/or upfront payment

Minimum Increment As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Buy Protection

Sell = Sell Protection

Swap Tenor Any 

Effective Date Unadjusted date at which obligations under the swap come into effect.

Maturity/Expiration 

Date

Unadjusted date at which obligations under the swap stop being effective.

Settlement Method Financially settled

Settlement • Contingent payment: Payments related to credit event settlement will be determined pursuant to the 

2009 ISDA Credit Derivatives Determination Committees and Auction Settlement Supplement, (i.e., the 

Big Bang Protocol). 

• Fixed quarterly cash payments: Reflected in basis points and paid by the protection buyer to the 

protection seller. 

• Upfront fee payment: The upfront fee is a portion of the payments, expressed in percentage points of the 

notional, which is present valued and paid immediately to the seller.

Final Contractual 

Settlement Date

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual Settlement 

Date is determined by Credit Event Rules.

Settlement Currency EUR

“Made Available to 

Trade” Determination 

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01-24:00 Sunday-Friday; Eastern Time

Settlement Procedure As determined by the Clearing House or Bilateral

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

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

Speculative Limits As set forth in Part 150 of CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
125

RULE 1231.A. CDX North American Investment Grade (BBB-rated) 

Contract Overview Credit Default Swap. An agreement to buy or sell protection on a basket of North American entities with an 

investment grade rating of BBB based upon an agreed upon notional amount.

Ticker CDX IGBBB CDSI [Series Number] [Tenor]

Index CDX.NA.IG.BBB: all series

Index Type Corporate; Untranched

Index Version Current version

Index Term Value Same as Tenor

Index Factor Current factor

Notional Currency USD

Quoting Convention Spread and/or upfront payment

Minimum Increment As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Buy Protection

Sell = Sell Protection

Swap Tenor Any 

Effective Date Unadjusted date at which obligations under the swap come into effect. 

Maturity/Expiration 

Date

Unadjusted date at which obligations under the swap stop being effective.

Settlement Method Financially settled

Settlement • Contingent payment: Payments related to credit event settlement will be determined pursuant to the 

2009 ISDA Credit Derivatives Determination Committees and Auction Settlement Supplement, (i.e., 

the Big Bang Protocol). 

• Fixed quarterly cash payments: Reflected in basis points and paid by the protection buyer to the 

protection seller. 

• Upfront fee payment: The upfront fee is a portion of the payments, expressed in percentage points of 

the notional, which is present valued and paid immediately to the seller.

Final Contractual 

Settlement Date

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual Settlement 

Date is determined by Credit Event Rules.

Settlement Currency USD

“Made Available to 

Trade” Determination 

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01-24:00 Sunday-Friday; Eastern Time

Settlement Procedure As determined by the Clearing House or Bilateral

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
126

RULE 1232.A. CDX North American High Yield (Ex-BB) 

Contract Overview Credit Default Swap. An agreement to buy or sell protection on a basket of high yield North American entities with 

credit ratings higher than BB based upon an agreed upon notional amount.

Ticker CDX HYEXBB CDSI [Series Number] [Tenor]

Index CDX.NA.HY.EXBB: all series

Index Type Corporate; Untranched

Index Version Current version

Index Term Value Same as Tenor

Index Factor Current factor

Notional Currency USD

Quoting Convention Price and/or upfront payment

Minimum Increment As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Buy Protection

Sell = Sell Protection

Swap Tenor Any 

Effective Date Unadjusted date at which obligations under the swap come into effect. 

Maturity/Expiration 

Date

Unadjusted date at which obligations under the swap stop being effective.

Settlement Method Financially settled

Settlement • Contingent payment: Payments related to credit event settlement will be determined pursuant to the 

2009 ISDA Credit Derivatives Determination Committees and Auction Settlement Supplement, (i.e., the 

Big Bang Protocol).

• Fixed quarterly cash payments: Reflected in basis points and paid by the protection buyer to the 

protection seller. 

• Upfront fee payment: The upfront fee is a portion of the payments, expressed in percentage points of the 

notional, which is present valued and paid immediately to the seller.

Final Contractual 

Settlement Date

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual Settlement 

Date is determined by Credit Event Rules.

Settlement Currency USD

“Made Available to 

Trade” Determination 

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01-24:00 Sunday-Friday; Eastern Time

Settlement Procedure As determined by the Clearing House or Bilateral

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
127

RULE 1233.A. iTraxx Asia Ex-Japan IG (Restricted)

Contract Overview Credit Default Swap. An agreement to buy or sell protection on a basket comprised of thirty-eight (38) liquid 

Asian (excluding Japanese or U.S. sanctioned) entities with primarily investment grade credit ratings that trade in 

the CDS market based upon an agreed upon notional amount.

Ticker iTraxx EXJPR IG CDSI [Series Number] [Tenor]

Index iTraxx Asia Ex-Japan IG Restricted; all series

Index Type Corporate; Untranched

Index Version Current version

Index Term Value Same as Tenor

Index Factor Current factor

Notional Currency USD

Quoting Convention Spread and/or upfront payment

Minimum Increment As agreed by counterparties

Minimum Size As agreed by counterparties

Trading Conventions Buy = Buy Protection

Sell = Sell Protection

Swap Tenor Any 

Effective Date Unadjusted date at which obligations under the swap come into effect. 

Maturity/Expiration 

Date

Unadjusted date at which obligations under the swap stop being effective.

Settlement Method Financially settled

Settlement • Contingent payment: Payments related to credit event settlement will be determined pursuant to the 

2009 ISDA Credit Derivatives Determination Committees and Auction Settlement Supplement, (ie the 

Big Bang Protocol).

• Fixed quarterly cash payments: Reflected in basis points and paid by the protection buyer to the 

protection seller. 

• Upfront fee payment: The upfront fee is a portion of the payments, expressed in percentage points of 

the notional, which is present valued and paid immediately to the seller.

Final Contractual 

Settlement Date

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual Settlement 

Date is determined by Credit Event Rules.

Settlement Currency USD

“Made Available to 

Trade” Determination 

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01 -24:00 Sunday-Friday; Eastern Time

Settlement Procedure As determined by the Clearing House or Bilateral

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Level As set forth in CFTC Regulation 15.03
128

CHAPTER 13. RATES CONTRACTS TERMS AND CONDITIONS

RULE 1301. AUD-BBSW Fixed-to-Floating

Contract Overview Interest Rate Swap. 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. 

Ticker AUD SWAP vs [Reference Rate Term Value] [Swap Tenor or Maturity]

Reference Rate Index AUD-BBSW 

AUD-BBR-BBSW 

Reference Rate Term Value 3, 6 months 

Fixed Rate Par; Custom Coupon

Notional Currency AUD

Notional Schedule Constant

Quoting Convention Fixed rate 

Minimum Increment • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Minimum Size • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Trading Conventions • Pay Fixed, Receive Float. 

• Receive Fixed, Pay Float. 

Trade Start Types • Spot: A new swap where the Effective Date is T+1 from the trade date. 

• Non-Spot: Any date where the Effective Date is a date other than the spot date.

Fixing Offset 0 to 10 days

Payment Conventions Fixed Leg 

• Payment Frequency: Semi-Annual, Quarterly 

• Day Count Conventions: ACT/365(Fixed)

• Business Calendar: Sydney

• Business Day Conventions: Modified Following 

Floating Leg 

• Payment/Resets: Semi-Annual, Quarterly 

• Day Count Conventions: ACT/365(Fixed) 

• Business Calendar: Sydney

• Fixing Calendar: Sydney

• Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor 

from 28 days to up to 31 years.

Effective Date Unadjusted date at which obligations under the swap come into effect.

Maturity/Expiration Date Unadjusted date at which the obligations under the swap stop being effective.

Final Contractual Settlement Date Expiration Date

Payment Lag • Fixed Leg: 0 days

• Floating Leg: 0 days

Settlement Method Financially Settled

Settlement Procedure As determined by Clearing House or Bilateral

Settlement Currency AUD

“Made Available to Trade” Determination None

Mandatory Clearing Determination None

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc.; LCH.Clearnet Ltd.

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
129

RULE 1302. [Reserved]
130

RULE 1303. EUR-EURIBOR Fixed-to-Floating 

Contract Overview 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. 

Ticker EUR SWAP vs [Reference Rate Term Value] [Swap Tenor or Maturity]

Reference Rate Index EUR-EURIBOR 

EUR-EURIBOR-Reuters 

Reference Rate Index Term Value 1, 3, 6, 12 months

Fixed Rate Par; Custom Coupon

Notational Currency EUR

Notational Schedule Constant

Quoting Convention Fixed rate 

Minimum Increment • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Minimum Size • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Trading Conventions • Pay Fixed, Receive Float. 

• Receive Fixed, Pay Float. 

Trade Start Types • Spot: A new swap where the Effective Date is T+2 from the trade date.

• Non-Spot: Any date where the Effective Date is a date other than the spot date.

Fixing Offset 0 to 10 days

Payment Conventions Fixed Leg 

• Payment Frequency: Quarterly, Semi-Annual, Annual

• Day Count Conventions: 30/360, ACT/360, 30E/360

• Business Calendar: Target

• Business Day Conventions: Modified Following 

Floating Leg 

• Payment/Resets: Monthly, Quarterly, Semi-Annual, Annual 

• Day Count Conventions: ACT/360, 30/360 

• Business Calendar: Target

• Fixing Calendar: Target

• Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 

28 days to up to 51 years.

Effective Date Unadjusted date at which obligations under the swap come into effect.

Maturity/Expiration Date Unadjusted date at which the obligations under the swap stop being effective.

Final Contractual Settlement Date Expiration Date

Payment Lag • Fixed Leg: 0 days

• Floating Leg: 0 days

Settlement Method Financially Settled

Settlement Procedure As determined by Clearing House or Bilateral

Settlement Currency EUR

“Made Available to Trade” 

Determination

See https://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm > Products > Swaps Made 

Available to Trade

Mandatory Clearing Determination See https://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm > Products > Swaps Made 

Available to Trade

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc.; LCH.Clearnet Ltd; Eurex Clearing Aktiengesellschaft

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
131

RULE 1304. [Reserved]
132

RULE 1305. [Reserved] 

RULE 1306. [Reserved] 

RULE 1307. [Reserved] 
133

RULE 1308. USD Federal Funds OIS Compound Fixed-to-Floating 

Contract Overview Interest Rate Swap. 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. 

Ticker USD SWAP VS [Reference Rate Term Value] [Swap Tenor or Maturity]

OIS FWD 1ST FED

OIS FWD 2ND FED

Reference Rate Index USD-Federal Funds-OIS Compound

USD-Federal Funds-H.15-OIS-COMPOUND

Reference Rate Term 

Value

1 day

Fixed Rate Par; Custom Coupon

Notational Currency USD

Notational Schedule Constant

Quoting Convention Fixed rate 

Minimum Increment • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Minimum Size • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Trading Conventions • Pay Fixed, Receive Float. 

• Receive Fixed, Pay Float. 

Trade Start Types • Spot: A new swap where the Effective Date is T+2 from the trade date. 

• Non-Spot: Any date where the Effective Date is a date other than the spot date.

Fixing Offset 0 to 10 days

Payment Conventions Fixed Leg 

• Payment Frequency: Quarterly, Semi-annual, Annual

• Day Count Conventions: ACT/360, Act/365, 30/360

• Business Calendar: New York

• Business Day Conventions: Modified Following 

Floating Leg 

• Payment/Resets: Quarterly, Annual

• Day Count Conventions: ACT/360 

• Business Calendar: New York

• Fixing Calendar: New York

• Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 7 days to 

up to 51 years.

Effective Date Unadjusted date at which obligations under the swap come into effect.

Maturity/Expiration

Date

Unadjusted date at which the obligations under the swap stop being effective.

Final Contractual 

Settlement Date

Expiration Date

Payment Lag • Fixed Leg: 0 days, or the same number of days as the Floating Leg

• Floating Leg: 2 to 5 days

Settlement Method Financially Settled

Settlement Procedure As determined by Clearing House or Bilateral

Settlement Currency USD

“Made Available to 

Trade” Determination

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time

Clearing House Chicago Mercantile Exchange, Inc.; LCH.Clearnet Ltd.; Eurex Clearing Aktiengesellschaft

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in CFTC Regulation 15.03
134

RULE 1309. [Reserved]

RULE 1310. [Reserved]

RULE 1311. [Reserved]

RULE 1312. [Reserved]

RULE 1313. [Reserved]

RULE 1314. [Reserved]
135

RULE 1315. USD Basis Swap

Contract Overview Interest Rate Swap. An agreement to exchange a stream of cash flows by applying two floating interest rates to a 

specified notional over a term to maturity. 

Ticker USD SWAP [Reference Rate Index 1] V [Reference Rate Index 2] [Swap Tenor or Maturity Date]

Reference Rate 1 Index USD-SOFR-OIS Compound 

USD-SOFR-COMPOUND 

Reference Rate 2 Index USD-Federal Funds-OIS Compound

USD-Federal Funds-H.15-OIS-COMPOUND

Reference Rate 1 Term 

Value

1 day

Reference Rate 2 Term 

Value

1 day

Fixed Rate Par; Custom Coupon

Notational Currency USD

Notational Schedule Constant

Quoting Convention Spread 

Minimum Increment • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Minimum Size • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Trading Conventions • Buy = Pay Spread

• Sell = Receive Spread 

Trade Start Types • Spot: A new swap where the Effective Date is T+2 from the trade date. 

• Non-Spot: Any date where the Effective Date is a date other than the spot date.

Fixing Offset 0 to 10 days

Payment Conventions SOFR Floating Leg

• Payment/Resets Frequency: Monthly, Quarterly, Semi-annual, Annual, At Maturity 

• Day Count Conventions: ACT/360, or as agreed by the counterparties 

• Business Calendar: New York, or as agreed by the counterparties

• Fixing Calendar: US Government Securities

• Business Day Conventions: Modified Following

Fed Funds Floating Leg

• Payment/Resets: Monthly, Quarterly, Semi-annual, Annual, At Maturity 

• Day Count Conventions: ACT/360, or as agreed by the counterparties 

• Business Calendar: New York, or as agreed by the counterparties

• Fixing Calendar: New York

• Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 7 days to up 

to 51 years.

Effective Date Unadjusted date at which obligations under the swap come into effect.

Maturity/Expiration 

Date

Unadjusted date at which the obligations under the swap stop being effective.

Final Contractual 

Settlement Date

Expiration Date

Payment Lag • Floating Leg (Reference Rate 1): 0-5 days 

• Floating Leg: (Reference Rate 2): 2 days

Settlement Method Financially Settled

Settlement Procedure As determined by Clearing House or Bilateral

Settlement Currency USD

“Made Available to 

Trade” Determination

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01-24:00 Sunday-Friday Eastern Time

Clearing House Chicago Mercantile Exchange, Inc.; LCH.Clearnet Ltd.; Eurex Clearing Aktiengesellschaft

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
136

RULE 1316. [Reserved]
137

RULE 1317. SEK STIBOR SIDE Fixed-to-Floating

Contract Overview Interest Rate Swap. 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. 

Ticker SEK SWAP VS 3M [Reference Rate Term Value] [Swap Tenor or Maturity Date]

Reference Rate Index SEK-STIBOR 

SEK-STIBOR-SIDE 

Reference Rate Term 

Value

3 months

Fixed Rate Par; Custom Coupon

Notional Currency SEK

Notional Schedule Constant

Quoting Convention Fixed rate

Minimum Increment • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Minimum Size • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Trading Conventions • Pay Fixed, Receive Float. 

• Receive Fixed, Pay Float. 

Trade Start Types • Spot: A new swap where the Effective Date is T+2 from the trade date. 

• Non-Spot: Any date where the Effective Date is a date other than the spot date.

Fixing Offset 0 to 10 days

Payment Conventions Fixed Leg 

• Payment Frequency: Quarterly, Semi-Annual, Annual

• Day Count Conventions: 30/360, ACT/360, ACT/365

• Business Calendar: Stockholm

• Business Day Conventions: Modified Following

Floating Leg 

• Payment/Resets: Quarterly, Semi-Annual

• Day Count Conventions: ACT/360 

• Business Calendar: Stockholm

• Fixing Calendar: Stockholm

• Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 28 days to as 

long as 31 years.

Effective Date Unadjusted date at which obligations under the swap come into effect.

Maturity/Expiration 

Date

Unadjusted date at which the obligations under the swap stop being effective.

Final Contractual 

Settlement Date

Expiration Date

Payment Lag • Fixed Leg: 0 days

• Floating Leg: 0 days

Settlement Method Financially Settled

Settlement Procedure As determined by Clearing House or Bilateral

Settlement Currency SEK

“Made Available to 

Trade” Determination

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time

Clearing House Chicago Mercantile Exchange, Inc.; LCH.Clearnet Ltd.

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in CFTC Regulation 15.03
138

RULE 1318.A. USD SOFR OIS Compound Fixed-to-Floating 

Contract Overview Interest Rate Swap. 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. 

Ticker USD VS SOFR [Swap Tenor or Maturity Date]

USD MACRFR [Effective Date] [Maturity Date] 

USD SFR [Payment Frequency] [Effective Month Year] [Maturity Date] 

USD SwapSprd SOFR [Swap Tenor]

Reference Rate Index USD-SOFR-OIS Compound 

USD-SOFR-COMPOUND 

Reference Rate Term 

Value

1 day

Fixed Rate Par; Custom Coupon; the then-current rates for Market Agreed Coupon (“MAC”)

Notational Currency USD

Notational Schedule Constant

Quoting Convention Fixed rate

Minimum Increment • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Minimum Size • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Trading Conventions • Pay Fixed, Receive Float. 

• Receive Fixed, Pay Float. 

Trade Start Types • Spot: A new swap where the Effective Date is T+2 from the trade date. 

• Non-Spot: Any date where the Effective Date is a date other than the spot date.

Fixing Offset 0 to 10 days

Payment Conventions Fixed Leg 

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

• Day Count Conventions: ACT/360, ACT/365.FIXED, ACT/ACT.ISDA, 30/360

• Business Calendars: New York/USNY; selected other calendars supported by a clearing house

• Business Day Conventions: Modified Following, Following, Preceding, None

Floating Leg 

• Payment/Resets: Monthly, Quarterly, Monthly, Semi-Annual, Annual, At Maturity

• Day Count Conventions: ACT/360

• Business Calendar: New York/USNY; selected calendars supported by a clearing house

• Fixing Calendars: U.S Government Securities Business Day 

• Business Day Conventions: Modified Following, Following, Preceding, None

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 7 days to up 

to 51 years.

Effective Date Unadjusted date at which obligations under the swap come into effect.

Maturity/Expiration 

Date

Unadjusted date at which the obligations under the swap stop being effective.

Final Contractual 

Settlement Date

Expiration Date

Payment Lag Fixed Leg: 0 to 2 days

Floating Leg: 2 days

Settlement Method Financially Settled

Settlement Procedure As determined by Clearing House or Bilateral

Settlement Currency USD

“Made Available to 

Trade” Determination

See https://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm > Products > Swaps Made Available to 

Trade

Mandatory Clearing 

Determination 

See https://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm > Products > Swaps Subject to Clearing 

requirements

Trading Hours 00:01 – 24:00 Sunday – Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc.; LCH.Clearnet Ltd.; Eurex Clearing Aktiengesellschaft

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations.

Reportable Levels As set forth in CFTC Regulation 15.03.
139

RULE 1318.B. Option – USD SOFR OIS Compound Fixed-to-Floating

Contract Overview Swaption on Interest Rate Swap. An agreement granting the buyer the right, but not the obligation, to enter into a 

Swap listed for trading on BSEF. 

Ticker SO-USD SWAP VS SOFR [Underlying Swap Tenor] [Expiration Date] [Option Type] [Strike Price]

Underlying Swap USD SOFR OIS Compound Fixed-to-Floating Swap Contract (Rule 1318.A)

Notional Currency USD

Quoting Convention Premium 

Minimum Increment As agreed by counterparties.

Minimum Size As agreed by counterparties.

Option Style European

Option Type • Call: A payer option gives the buyer of the option the right to enter into a swap where they pay the 

fixed leg and receive the floating leg. 

• Put: A receiver option gives the buyer of the option the right to enter into a swap in which they will 

receive the fixed leg and pay the floating leg.

Valuation Method Vanilla

Strike Price Fixed Rate of the underlying Swap. 

Option Premium 

Currency

USD

Effective Date Unadjusted date at which obligations under the swap come into effect.

Expiration Date Unadjusted date at which the obligations under the swap stop being effective.

Final Contractual 

Settlement Date

Unadjusted date by which all transfer of cash or assets should take place and the counterparties should no longer 

have any outstanding obligations to each other under that contract.

Settlement Method Financially Settled or Delivered. If Delivered, the counterparties must submit the underlying Swap for clearing 

to the Clearing House, if required by the Applicable Law.

Settlement Procedure Bilateral

Settlement Currency USD

“Made Available to 

Trade” Determination

None

Mandatory Clearing 

Determination

None

Exercise method The buyer of the option must notify the seller of the option of the buyer’s intent to exercise the option during 

business hours on the expiration date of the option and the manner of the exercise: financial or physical delivery. 

Notice shall be in the form and manner as agreed by the counterparties. 

Trading Hours and 

Venue

00:01 - 24:00 Sunday-Friday; Eastern Time

Clearing House for the 

underlying Swap

Chicago Mercantile Exchange, Inc.; LCH.Clearnet Ltd.; Eurex Clearing AG or Bilateral

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

Speculative Limits Same as for the underlying Swap

Reportable Levels Same as for the underlying Swap
1

RULE 1319. [Reserved] 

RULE 1320. [Reserved]

RULE 1321. [Reserved]

RULE 1322. [Reserved]

RULE 1323. [Reserved] 

RULE 1324. [Reserved] 

RULE 1325. [Reserved]

RULE 1326. [Reserved]
128

RULE 1327. CAD CDOR Fixed-to-Floating 

Contract Overview Interest Rate Swap. 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.

Ticker CAD SWAP 3M [Reference Rate Term Value] [Swap Tenor or Maturity Date]

Reference Rate Index CAD-CDOR

CAD-BA-CDOR

Reference Rate Term 

Value

3 Months

Fixed Rate Par; Custom Coupon

Notional Currency CAD

Notional Schedule Constant

Quoting Convention Fixed rate 

Minimum Increment • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Minimum Size • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Trading Conventions • Pay Fixed, Receive Float. 

• Receive Fixed, Pay Float. 

Trade Start Types • Spot: A new swap where the Effective Date is T+0 from the trade date. 

• Non-Spot: Any date where the effective date is a date other than the spot date.

Fixing Offset 0 to 10 days

Payment Conventions Fixed Leg 

• Payment Frequency: Semi-Annual

• Day Count Conventions: ACT/365F

• Business Calendar: Toronto

• Business Day Conventions: Modified Following 

Floating Leg 

• Payment/Resets: Quarterly, Semi-Annual

• Day Count Conventions: ACT/365F

• Business Calendar: Toronto

• Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 28 days to as 

long as 41 years.

Effective Date Unadjusted date at which obligations under the swap come into effect.

Maturity/Expiration 

Date

Unadjusted date at which the obligations under the swap stop being effective.

Final Contractual 

Settlement Date

Expiration Date

Payment Lag • Fixed Leg: 0 days

• Floating Leg: 0 days

Settlement Method Financially Settled

Settlement Procedure As determined by Clearing House or Bilateral

Settlement Currency CAD

“Made Available to 

Trade” Determination

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time

Clearing House Chicago Mercantile Exchange, Inc.; LCH.Clearnet Ltd.

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
129

RULE 1328. MXN TIIE Banxico Fixed-to-Floating 

Contract Overview Interest Rate Swap. 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.

Ticker MXN SWAP VS 28D [Reference Rate Term Value] [Swap Tenor or Maturity Date]

Reference Rate Index 28 Days Interbank Equilibrium Interest Rate (Tasa de Interes Interbancaria de Equilibrio)

Reference Rate Index MXN-TIIE 

MXN-TIIE-Banxico 

Reference Rate Term 

Value

28 days

Fixed Rate Par; Custom Coupon

Notional Currency MXN

Notional Schedule Constant

Quoting Convention Fixed rate 

Minimum Increment • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Minimum Size • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Trading Conventions • Pay Fixed, Receive Float. 

Receive Fixed, Pay Float.

Trade Start Types • Spot: A new swap where the Effective Date is T+1 from the trade date. 

• Non-Spot: Any date where the effective date is a date other than the spot date.

Fixing Offset 0 to 10 days

Payment Conventions Fixed Leg 

• Payment Frequency: 28 Days

• Day Count Conventions: ACT/360

• Business Calendar: Mexico 

• Business Day Conventions: Modified Following 

Floating Leg 

• Payment/Resets: 28 Days

• Day Count Conventions: ACT/360

• Business Calendar: Mexico 

• Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 28 days to as 

long as 21 years.

Effective Date Unadjusted date at which obligations under the swap come into effect.

Maturity/Expiration 

Date

Unadjusted date at which the obligations under the swap stop being effective.

Final Contractual 

Settlement Date

Expiration Date

Payment Lag • Fixed Leg: 0 days

• Floating Leg: 0 days

Settlement Method Financially Settled

Settlement Procedure As determined by Clearing House or Bilateral

Settlement Currency MXN

“Made Available to 

Trade” Determination

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time

Clearing House Chicago Mercantile Exchange, Inc

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
130

RULE 1329. [Reserved] 

RULE 1330. [Reserved]
131

RULE 1331. AUD AONIA OIS Compound Fixed-to-Floating

Contract Overview Interest Rate Swap. 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. 

Ticker AUD OIS SWAP [Reference Rate Term Value] [Swap Tenor or Maturity Date]

Reference Rate Index AUD-AONIA-OIS Compound

AUD-AONIA-OIS-COMPOUND

Reference Rate Term 

Value

1 day

Fixed Rate Par; Custom Coupon

Notional Currency AUD

Notional Schedule Constant

Quoting Convention Fixed rate 

Minimum Increment • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Minimum Size • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Trading Conventions • Pay Fixed, Receive Float. 

• Receive Fixed, Pay Float.

Trade Start Types • Spot: A new swap where the Effective Date is T+1 from the trade date. 

• Non-Spot: Any date where the effective date is a date other than the spot date.

Fixing Offset 0 to 10 days

Payment Conventions Fixed Leg 

• Payment Frequency: Annual

• Day Count Conventions: ACT/365 

• Business Calendar: Sydney

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

Floating Leg 

• Payment/Resets: Annual

• Day Count Conventions: ACT/365

• Business Calendar: Sydney

• Fixing Calendar: Sydney

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

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 1 month to 30 

years.

Effective Date Unadjusted date at which obligations under the swap come into effect.

Maturity/Expiration 

Date

Unadjusted date at which the obligations under the swap stop being effective.

Final Contractual 

Settlement Date

Expiration Date

Payment Lag • Fixed Leg: 0 days, or the same number of days as the Floating Leg.

• Floating Leg: 2 to 5 days

Settlement Method Financially Settled

Settlement Procedure As determined by Clearing House or Bilateral

Settlement Currency AUD

“Made Available to 

Trade” Determination

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time

Clearing House Chicago Mercantile Exchange, Inc.; LCH.Clearnet Ltd. 

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in CFTC Regulation 15.03
132

RULE 1332. [Reserved]
133

RULE 1333. GBP SONIA OIS Compound Fixed-to-Floating

Contract Overview Interest Rate Swap. 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. 

Ticker GBP SWAP VS SON [Reference Rate Term Value] [Swap Tenor or Maturity Date]

Reference Rate Index GBP-SONIA-OIS Compound

GBP-SONIA-COMPOUND 

Reference Rate Term 

Value

1 day

Fixed Rate Par; Custom Coupon

Notional Currency GBP

Notional Schedule Constant

Quoting Convention Fixed rate 

Minimum Increment • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Minimum Size • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Trading Conventions • Pay Fixed, Receive Float. 

• Receive Fixed, Pay Float. 

Trade Start Types • Spot: A new swap where the Effective Date is T+0 from the trade date. 

• Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Fixing Offset 0 to 10 days

Payment Conventions Fixed Leg 

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

• Day Count Conventions: ACT/360, ACT/365.FIXED, ACT/ACT.ISDA, 30/360

• Business Calendars: London/GBLO; selected other calendars supported by a clearing house

• Business Day Conventions: Modified Following, Following, Preceding, None

Floating Leg 

• Payment/Resets: Monthly, Quarterly, Semi-Annual, Annual

• Day Count Conventions: ACT/365.FIXED

• Business Calendar: London/GBLO; selected other calendars supported by a clearing house

• Fixing Calendar: London/GBLO

• Business Day Conventions: Modified Following, Following, Preceding, None

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 7 days to up to 

51 years.

Effective Date Unadjusted date at which obligations under the swap come into effect.

Maturity/Expiration 

Date

Unadjusted date at which obligations under the swap come into effect.

Final Contractual 

Settlement Date

Expiration Date

Payment Lag • Fixed Leg: 0 days, or the same number of days as the Floating Leg.

• Floating Leg: 0 to 5 days

Settlement Method Financially Settled

Settlement Procedure As determined by Clearing House or Bilateral

Settlement Currency GBP

“Made Available to 

Trade” Determination

See https://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm > Products > Swaps Made Available to 

Trade

Mandatory Clearing 

Determination 

See https://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm > Products > Swaps Subject to Clearing 

requirements

Trading Hours 00:01 – 24:00 Sunday – Friday Eastern Time

Clearing House Chicago Mercantile Exchange, Inc.; LCH.Clearnet Ltd.; Eurex Clearing Aktiengesellschaft

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

Speculative Limits As set in Part 150 of the CFTC Regulations.

Reportable Levels As set in CFTC Regulation 15.03.
134

RULE 1334. [Reserved]
135

RULE 1335. NOK NIBOR Fixed-to-Floating 

Contract Overview Interest Rate Swap. 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. 

Ticker NOK SWAP VS [Reference Rate Term Value] [Swap Tenor or Maturity Date]

Reference Rate Index NOK-NIBOR 

NOK-NIBOR-OIBOR

Reference Rate Index 

Term Value

3, 6 months 

Fixed Rate Par; Custom Coupon

Notational Currency NOK

Notional Schedule Constant

Quoting Convention Fixed rate 

Minimum Increment • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Minimum Size • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Trading Conventions • Pay Fixed, Receive Float. 

• Receive Fixed, Pay Float. 

Trade Start Types • Spot: A new swap where the Effective Date is T+2 from the trade date. 

• Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Fixing Offset 0 to 10 days

Payment Conventions Fixed Leg 

• Payment Frequency: Annual

• Day Count Conventions: 30/360

• Business Calendar: Oslo

• Business Day Conventions: Modified Following

Floating Leg

• Payment/Resets: Semi-Annual/ Semi-Annual

• Day Count Conventions: ACT/360

• Business Calendar: Oslo

• Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 28 days to up 

to 31 years.

Effective Date Unadjusted date at which obligations under the swap come into effect.

Maturity/Expiration 

Date

Unadjusted date at which the obligations under the swap stop being effective.

Final Contractual 

Settlement Date

Expiration Date

Payment Lag • Fixed Leg: 0 days

• Floating Leg: 0 days

Settlement Method Financially Settled

Settlement Procedure As determined by Clearing House or Bilateral

Settlement Currency NOK

“Made Available to 

Trade” Determination

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc.; LCH.Clearnet Ltd.

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
136

RULE 1336. DKK CIBOR2 Fixed-to-Floating

Contract Overview Interest Rate Swap. 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. 

Ticker DKK SWAP VS [Reference Rate Term Value] [Swap Tenor or Maturity Date]

Reference Rate Index DKK-CIBOR2 

DKK-CIBOR2-DKNA13

Reference Rate Index 

Term Value

3, 6 months

Fixed Rate Par; Custom Coupon

Notional Currency DKK

Notional Schedule Constant

Quoting Convention Fixed rate 

Minimum Increment • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Minimum Size • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Trading Conventions • Pay Fixed, Receive Float. 

• Receive Fixed, Pay Float. 

Trade Start Types • Spot: A new swap where the Effective Date is T+2 from the trade date. 

• Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Fixing Offset 0 to 10 days

Payment Conventions Fixed Leg 

• Payment Frequency: Annual

• Day Count Conventions: 30/360

• Business Calendar: Copenhagen

• Business Day Conventions: Modified Following

Floating Leg

• Payment/Resets: Semi-Annual/Semi-Annual

• Day Count Conventions: ACT/360

• Business Calendar: Copenhagen

• Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 28 days to up 

to 31 years.

Effective Date Unadjusted date at which obligations under the swap come into effect.

Maturity/Expiration 

Date

Unadjusted date at which the obligations under the swap stop being effective.

Final Contractual 

Settlement Date

Expiration Date

Payment Lag • Fixed Leg: 0 days

• Floating Leg: 0 days

Settlement Method Financially Settled

Settlement Procedure As determined by Clearing House or Bilateral

Settlement Currency DKK

“Made Available to 

Trade” Determination

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc.; LCH.Clearnet Ltd.

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
137

RULE 1337. HKD HIBOR Fixed-to-Floating 

Contract Overview Interest Rate Swap. 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. 

Ticker HKD SWAP VS [Reference Rate Term Value] [Swap Tenor or Maturity Date]

Reference Rate Index HKD-HIBOR 

HKD-HIBOR-HKAB

Reference Rate Index 

Term Value 

3 months

Fixed Rate Par; Custom Coupon

Notational Currency HKD

Notional Schedule Constant

Quoting Convention Fixed rate

Minimum Increment • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Minimum Size • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Trading Conventions • Pay Fixed, Receive Float. 

• Receive Fixed, Pay Float. 

Trade Start Types • Spot: A new swap where the Effective Date is T+2 from the trade date. 

• Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Fixing Offset 0 to 10 days

Payment Conventions Fixed Leg 

• Payment Frequency: Quarterly

• Day Count Conventions: ACT/365

• Business Calendar: Hong Kong

• Business Day Conventions: Modified Following

Floating Leg

• Payment/Resets: Quarterly/ Quarterly

• Day Count Conventions: ACT/365

• Business Calendar: Hong Kong

• Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 28 days to up 

to 15.5 years.

Effective Date Unadjusted date at which obligations under the swap come into effect.

Maturity/Expiration 

Date

Unadjusted date at which the obligations under the swap stop being effective.

Final Contractual 

Settlement Date

Expiration Date

Payment Lag • Fixed Leg: 0 days

• Floating Leg: 0 days

Settlement Method Financially Settled

Settlement Procedure As determined by Clearing House or Bilateral

Settlement Currency HKD

“Made Available to 

Trade” Determination

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Clearing Venue Chicago Mercantile Exchange, Inc.; LCH.Clearnet Ltd.

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
138

RULE 1338. PLN WIBOR Fixed-to-Floating 

Contract Overview Interest Rate Swap. 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. 

Ticker PLN SWAP VS [Reference Rate Term Value] [Swap Tenor or Maturity Date]

Reference Rate Index PLN-WIBOR

PLN-WIBOR-WIBO

Reference Rate Index 

Term Value

6 months

Fixed Rate Par; Custom Coupon

Notational Currency PLN

Notional Schedule Constant

Quoting Convention As agreed by the counterparties 

Minimum Increment • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Minimum Size • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Trading Conventions • Pay Fixed, Receive Float. 

• Receive Fixed, Pay Float. 

Trade Start Types • Spot: A new swap where the Effective Date is T+2 from the trade date. 

• Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Fixing Offset 0 to 10 days

Payment Conventions Fixed Leg 

• Payment Frequency: Annual

• Day Count Conventions: ACT/ACT

• Business Calendar: Warsaw

• Business Day Conventions: Modified Following

Floating Leg

• Payment/Resets: Semi-Annual/Semi-Annual

• Day Count Conventions: ACT/365

• Business Calendar: Warsaw

• Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 28 days to up 

to 16 years.

Effective Date Unadjusted date at which obligations under the swap come into effect.

Maturity/Expiration 

Date

Unadjusted date at which the obligations under the swap stop being effective.

Final Contractual 

Settlement Date

Expiration Date

Payment Lag • Fixed Leg: 0 days

• Floating Leg: 0 days

Settlement Method Financially Settled

Settlement Procedure As determined by Clearing House or Bilateral

Settlement Currency PLN

“Made Available to 

Trade” Determination

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc.; LCH.Clearnet Ltd.

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
139

RULE 1339. ZAR JIBAR Fixed-to-Floating 

Contract Overview Interest Rate Swap. 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. 

Ticker ZAR SWAP VS [Reference Rate Term Value] [Swap Tenor or Maturity Date]

Reference Rate Index ZAR-JIBAR

ZAR-JIBAR-SAFEX

Reference Rate Index 

Term Value 

3 months

Fixed Rate Par; Custom Coupon

Notational Currency ZAR

Notional Schedule Constant

Quoting Convention As agreed by the counterparties 

Minimum Increment • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Minimum Size • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Trading Conventions • Pay Fixed, Receive Float. 

• Receive Fixed, Pay Float. 

Trade Start Types • Spot: A new swap where the Effective Date is T+0 from the trade date. 

• Non-Spot: Any date where the Effective Date is a date other than the spot date.

Fixing Offset 0 to 10 days

Payment Conventions Fixed Leg 

• Payment: Quarterly

• Day Count Conventions: ACT/365

• Holiday Calendar: Johannesburg

• Business Day Conventions: Modified Following

Floating Leg

• Payment/Resets: Quarterly/Quarterly 

• Day Count Conventions: ACT/365

• Holiday Calendar: Johannesburg

• Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 28 days to up 

to 31 years.

Effective Date Unadjusted date at which obligations under the swap come into effect.

Maturity/Expiration 

Date

Unadjusted date at which the obligations under the swap stop being effective.

Final Contractual 

Settlement Date

Expiration Date

Payment Lag • Fixed Leg: 0 days

• Floating Leg: 0 days

Settlement Method Financially Settled

Settlement Procedure As determined by Clearing House or Bilateral

Settlement Currency ZAR

“Made Available to 

Trade” Determination

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc.; LCH.Clearnet Ltd.

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
140

RULE 1340. [Reserved]
141

RULE 1341. HUF BUBOR Fixed-to-Floating 

Contract Overview Interest Rate Swap. 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. 

Ticker HUF SWAP VS [Reference Rate Term Value] [Swap Tenor or Maturity Date]

Reference Rate Index HUF-BUBOR

HUF-BUBOR-Reuters

Reference Rate Index 

Term Value

6 months

Fixed Rate Par; Custom Coupon

Notional Currency HUF

Notional Schedule Constant

Quoting Convention As agreed by the counterparties 

Minimum Increment • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Minimum Size • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Trading Conventions • Pay Fixed, Receive Float. 

• Receive Fixed, Pay Float. 

Trade Start Types • Spot: A new swap where the Effective Date is T+2 from the trade date. 

• Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Fixing Offset 0 to 10 days

Payment Conventions Fixed Leg 

• Payment Frequency: Annual

• Day Count Conventions: ACT/365

• Business Calendar: Budapest

• Business Day Conventions: Modified Following

Floating Leg

• Payment/Resets: Semi-Annual/Semi-Annual

• Day Count Conventions: ACT/360

• Business Calendar: Budapest

• Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 28 days to up 

to 21 years.

Effective Date Unadjusted date at which obligations under the swap come into effect.

Maturity/Expiration 

Date

Unadjusted date at which the obligations under the swap stop being effective.

Final Contractual 

Settlement Date

Expiration Date

Payment Lag • Fixed Leg: 0 days

• Floating Leg: 0 days

Settlement Method Financially Settled

Settlement Procedure As determined by Clearing House or Bilateral

Settlement Currency HUF

“Made Available to 

Trade” Determination

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc.; LCH.Clearnet Ltd.

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
142

RULE 1342. KRW CD 91D Fixed-to-Floating 

Contract Overview Interest Rate Swap. 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. 

Ticker KRW SWAP VS [Reference Rate Term Value] [Swap Tenor or Maturity Date]

Reference Rate Index KRW-CD 91D

KRW-CD-KSDA-Bloomberg

Reference Rate Index 

Term Value

3 months

Fixed Rate Par; Custom Coupon

Notional Currency KRW

Notional Schedule Constant

Quoting Convention As agreed by the counterparties 

Minimum Increment • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Minimum Size • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Trading Conventions • Pay Fixed, Receive Float. 

• Receive Fixed, Pay Float. 

Trade Start Types • Spot: A new swap where the Effective Date is T+1 from the trade date. 

• Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Fixing Offset 0 to 10 days

Payment Conventions Fixed Leg 

• Payment Frequency: Quarterly

• Day Count Conventions: ACT/365

• Business Calendar: Seoul/New York

• Business Day Conventions: Modified Following

Floating Leg

• Payment/Resets: Quarterly/Quarterly

• Day Count Conventions: ACT/365

• Business Calendar: Seoul/New York

• Business Day Conventions: Modified Following 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 28 days to up 

to 21 years.

Effective Date Unadjusted date at which obligations under the swap come into effect.

Maturity/Expiration 

Date

Unadjusted date at which the obligations under the swap stop being effective.

Final Contractual 

Settlement Date

Expiration Date

Payment Lag • Fixed Leg: 0 days

• Floating Leg: 0 days

Settlement Method Financially Settled

Settlement Procedure As determined by Clearing House or Bilateral

Settlement Currency USD

“Made Available to 

Trade” Determination

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd.

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
143

RULE 1343. CZK PRIBOR Fixed-to-Floating 

Contract Overview Interest Rate Swap. 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. 

Ticker CZK SWAP VS [Reference Rate Term Value] [Swap Tenor or Maturity Date]]

Reference Rate Index CZK-PRIBOR

CZK-PRIBOR-PRBO

Reference Rate Index 

Term Value

6 months

Fixed Rate Par; Custom Coupon

Notational Currency CZK

Notional Schedule Constant

Quoting Convention As agreed by the counterparties 

Minimum Increment • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Minimum Size • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Trading Conventions • Pay Fixed, Receive Float. 

• Receive Fixed, Pay Float. 

Trade Start Types • Spot: A new swap where the Effective Date is T+2 from the trade date. 

• Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Fixing Offset 0 to 10 days

Payment Conventions Fixed Leg 

• Payment Frequency: Annual

• Day Count Conventions: ACT/360

• Business Calendar: Prague

• Business Day Conventions: Modified Following

Floating Leg

• Payment/Resets: Semi-Annual/ Semi-Annual

• Day Count Conventions: ACT/360

• Business Calendar: Prague

• Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 28 days to up 

to 16 years.

Effective Date Unadjusted date at which obligations under the swap come into effect.

Maturity/Expiration 

Date

Unadjusted date at which the obligations under the swap stop being effective.

Final Contractual 

Settlement Date

Expiration Date

Payment Lag • Fixed Leg: 0 days

• Floating Leg: 0 days

Settlement Method Financially Settled

Settlement Procedure As determined by Clearing House or Bilateral

Settlement Currency CZK

“Made Available to 

Trade” Determination

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd.

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
144

RULE 1344. CLP ICP Fixed-to-Floating 

Contract Overview Interest Rate Swap. 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. 

Ticker CLP SWAP VS [Reference Rate Term Value] [Swap Tenor or Maturity Date]

Reference Rate Index CLP-ICP 

CLP-TNA

Reference Rate Index 

Term Value

1 day

Fixed Rate Par; Custom Coupon

Notational Currency CLP

Notional Schedule Constant

Quoting Convention Fixed rate 

Minimum Increment • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Minimum Size • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Trading Conventions • Pay Fixed, Receive Float. 

• Receive Fixed, Pay Float. 

Trade Start Types • Spot: A new swap where the Effective Date is T+2 from the trade date. 

• Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Fixing Offset 0 days

Payment Conventions Fixed Leg 

• Payment Frequency: Semi-Annual

• Day Count Conventions: ACT/360

• Business Calendar: Santiago

• Business Day Conventions: Modified Following

Floating Leg

• Payment/Resets: Semi-Annual/Semi-Annual

• Day Count Conventions: ACT/360

• Business Calendar: Santiago

• Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 28 days to 

up to 15.5 years.

Effective Date Unadjusted date at which obligations under the swap come into effect.

Maturity/Expiration Date Unadjusted date at which the obligations under the swap stop being effective.

Final Contractual 

Settlement Date

Expiration Date

Payment Lag • Fixed Leg: 0 days

• Floating Leg: 0 days

Settlement Method Financially Settled

Settlement Procedure As determined by Clearing House or Bilateral

Settlement Currency USD

“Made Available to 

Trade” Determination

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd.

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
145

RULE 1345. MYR KLIBOR Fixed-to-Floating 

Contract Overview Interest Rate Swap. 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. 

Ticker MYR SWAP VS [Reference Rate Term Value] [Swap Tenor or Maturity Date]

Reference Rate Index MYR-KLIBOR 

MYR-KLIBOR-BNM

Reference Rate Index 

Term Value

3 months

Fixed Rate Par; Custom Coupon

Notational Currency MYR

Notional Schedule Constant

Quoting Convention Fixed rate 

Minimum Increment • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Minimum Size • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Trading Conventions • Pay Fixed, Receive Float. 

• Receive Fixed, Pay Float. 

Trade Start Types • Spot: A new swap where the Effective Date is T+0 from the trade date. 

• Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Fixing Offset 0 to 10 days

Payment Conventions Fixed Leg 

• Payment Frequency: Quarterly

• Day Count Conventions: ACT/365

• Business Calendar: Kuala Lumpur/New York

• Business Day Conventions: Modified Following

Floating Leg

• Payment/Resets: Quarterly/Quarterly

• Day Count Conventions: ACT/365

• Business Calendar: Kuala Lumpur/New York

• Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 28 days to up 

to 50 years.

Effective Date Unadjusted date at which obligations under the swap come into effect.

Maturity/Expiration 

Date

Unadjusted date at which the obligations under the swap stop being effective.

Final Contractual 

Settlement Date

Expiration Date

Payment Lag • Fixed Leg: 0 to 2 days

• Floating Leg: 2 days

Settlement Method Financially Settled

Settlement Procedure Bilateral

Settlement Currency USD

“Made Available to 

Trade” Determination

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time)

Clearing House Bilateral

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
146

RULE 1346. TWD TAIBOR Fixed-to-Floating 

Contract Overview Interest Rate Swap. 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. 

Ticker TWD SWAP VS [Reference Rate Term Value] [Swap Tenor or Maturity Date]

Reference Rate Index TWD-TAIBOR 

TWD-TAIBOR-Reuters

Reference Rate Index 

Term Value

3 months

Fixed Rate Par; Custom Coupon

Notational Currency TWD

Notional Schedule Constant

Quoting Convention Fixed rate 

Minimum Increment • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Minimum Size • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Trading Conventions • Pay Fixed, Receive Float. 

• Receive Fixed, Pay Float. 

Trade Start Types • Spot: A new swap where the Effective Date is T+2 from the trade date. 

• Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Fixing Offset 0 to 10 days

Payment Conventions Fixed Leg 

• Payment Frequency: Quarterly

• Day Count Conventions: ACT/365

• Business Calendar: Taipei/New York

• Business Day Conventions: Modified Following

Floating Leg

• Payment/Resets: Quarterly/Quarterly

• Day Count Conventions: ACT/365

• Business Calendar: Taipei/New York

• Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 28 days to up 

to 11 years.

Effective Date Unadjusted date at which obligations under the swap come into effect.

Maturity/Expiration 

Date

Unadjusted date at which the obligations under the swap stop being effective.

Final Contractual 

Settlement Date

Expiration Date

Payment Lag • Fixed Leg: 0 days

• Floating Leg: 0 days

Settlement Method Financially Settled

Settlement Procedure As determined by Clearing House or Bilateral

Settlement Currency USD

“Made Available to 

Trade” Determination

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time)

Clearing House LCH.Clearnet Ltd.

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
147

RULE 1347. INR MIBOR OIS Compound Fixed-to-Floating

Contract Overview Interest Rate Swap. 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. 

Ticker INR SWAP VS [Floating Index Maturity]

Reference Rate Index INR-MIBOR-OIS Compound

INR-FBIL-MIBOR-OIS-COMPOUND 

Reference Rate Index 

Term Value

1 day

Fixed Rate Par; Custom Coupon

Notational Currency INR

Notional Schedule Constant

Quoting Convention Fixed rate 

Minimum Increment • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Minimum Size • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Trading Conventions • Pay Fixed, Receive Float. 

• Receive Fixed, Pay Float. 

Trade Start Types • Spot: A new swap where the Effective Date is T+1 from the trade date. 

• Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Fixing Offset 0 days

Payment Conventions Fixed Leg 

• Payment Frequency: Annual

• Day Count Conventions: ACT/365

• Business Calendar: Mumbai/New York

• Business Day Conventions: Modified Following

Floating Leg

• Payment/Resets: Annual/Daily

• Day Count Conventions: ACT/365

• Business Calendar: Mumbai/New York

• Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 28 days to up 

to 11 years.

Effective Date Unadjusted date at which obligations under the swap come into effect.

Maturity/Expiration 

Date

Unadjusted date at which the obligations under the swap stop being effective.

Final Contractual 

Settlement Date

Expiration Date

Payment Lag • Fixed Leg: 0 days

• Floating Leg: 0 days

Settlement Method Financially Settled

Settlement Procedure As determined by Clearing House or Bilateral

Settlement Currency USD

“Made Available to 

Trade” Determination

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd.

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
148

RULE 1348. BRL CDI Zero Coupon Fixed-to-Floating 

Contract Overview Interest Rate Swap. 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. 

Ticker BRL SWAP VS [Reference Rate Term Value] [Swap Tenor or Maturity Date]

Reference Rate Index BRL-CDI

Reference Rate Index 

Term Value

1 day

Fixed Rate Par; Custom Coupon

Notational Currency BRL

Notional Schedule Constant

Quoting Convention Fixed rate 

Minimum Increment • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Minimum Size • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Trading Conventions • Pay Fixed, Receive Float. 

• Receive Fixed, Pay Float. 

Trade Start Types • Spot: A new swap where the Effective Date is T+0 from the trade date. 

• Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Fixing Offset 0 days

Payment Conventions Fixed Leg 

• Payment Frequency: At Maturity

• Day Count Conventions: DU/252

• Business Calendar: Brazil/New York

• Business Day Conventions: Following

Floating Leg

• Payment/Resets: At maturity/daily

• Day Count Conventions: DU/252

• Business Calendar: Brazil/New York

• Business Day Conventions: Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 28 days to up 

to 11 years.

Effective Date Unadjusted date at which obligations under the swap come into effect.

Maturity/Expiration 

Date

Unadjusted date at which the obligations under the swap stop being effective.

Final Contractual 

Settlement Date

Expiration Date

Payment Lag • Fixed Leg: 1 day

• Floating Leg: 1 day

Settlement Method Financially Settled

Settlement Procedure As determined by Clearing House or Bilateral

Settlement Currency USD

“Made Available to 

Trade” Determination

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc.

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
149

RULE 1349. [Reserved]
150

RULE 1350. CNY Fixing Repo Rate Fixed-to-Floating

Contract Overview Interest Rate Swap. 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. 

Ticker CNY SWAP VS [Reference Rate Term Value] [Swap Tenor or Maturity Date]

CNY NDS [Reference Rate Term Value] [Effective Date] [Swap Tenor or Maturity Date]

Reference Rate Index CNY-Fixing Repo Rate

CNY-CNREPOFIX=CFXS-Reuters 

Reference Rate Index 

Term Value

7 days

Fixed Rate Par; Custom Coupon

Notational Currency CNY

Notional Schedule Constant

Quoting Convention Fixed rate 

Minimum Increment • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Minimum Size • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Trading Conventions • Pay Fixed, Receive Float. 

• Receive Fixed, Pay Float. 

Trade Start Types • Spot: A new swap where the Effective Date is T+1 from the trade date. 

• Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Fixing Offset 1 day

Payment Conventions Fixed Leg 

• Payment Frequency: Weekly, Monthly, Quarterly, Semi-Annually, Annually 

• Day Count Conventions: ACT/365, or as otherwise agreed by the counterparties

• Business Calendar: Beijing/New York

• Business Day Conventions: Modified Following

Floating Leg

• Payment/Resets: Weekly, Monthly, Quarterly, Semi-Annually, Annually

• Day Count Conventions: ACT/365, or as otherwise agreed by the counterparties

• Business Calendar: Beijing/New York

• Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 28 days to up 

to 5.5 years.

Effective Date Unadjusted date at which obligations under the swap come into effect.

Maturity/Expiration 

Date

Unadjusted date at which the obligations under the swap stop being effective.

Final Contractual 

Settlement Date

Expiration Date

Payment Lag • Fixed Leg: 0 days

• Floating Leg: 0 days

Settlement Method Financially Settled

Settlement Procedure As determined by Clearing House or Bilateral

Settlement Currency USD

“Made Available to 

Trade” Determination

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc.; LCH.Clearnet Ltd.

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
151

RULE 1351. NZD BKBM FRA Fixed-to-Floating 

Contract Overview Interest Rate Swap. 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. 

Ticker NZD [Reference Rate Term Value] [Swap Tenor or Maturity Date] SWAP

Reference Rate Index NZD-BKBM FRA

NZD-BBR-FRA 

Reference Rate Index 

Term Value

3 months

Fixed Rate Par; Custom Coupon

Notational Currency NZD

Notional Schedule Constant

Quoting Convention Fixed rate 

Minimum Increment • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Minimum Size • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Trading Conventions • Pay Fixed, Receive Float. 

• Receive Fixed, Pay Float. 

Trade Start Types • Spot: A new swap where the Effective Date is T+2 from the trade date. 

• Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Fixing Offset 0 to 10 days

Payment Conventions Fixed Leg 

• Payment Frequency: Monthly, Quarterly, Semi-Annual, Annual, At Maturity 

• Day Count Conventions: ACT/365.FIXED or as agreed by the counterparties.

• Business Calendars: Auckland, Wellington

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

Floating Leg 

• Payment/Resets: Quarterly 

• Day Count Conventions: ACT/365.FIXED, or as agreed by the counterparties

• Business Calendars: Auckland, Wellington

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

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 28 days to up to 16

years.

Effective Date Unadjusted date at which obligations under the swap come into effect.

Maturity/Expiration 

Date

Unadjusted date at which the obligations under the swap stop being effective.

Final Contractual 

Settlement Date

Expiration Date

Payment Lag • Fixed Leg: 0 days

• Floating Leg: 0 days

Settlement Method Financially Settled

Settlement Procedure As determined by Clearing House or Bilateral

Settlement Currency NZD

“Made Available to 

Trade” Determination

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd.

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
152

RULE 1352. CHF SARON OIS Compound Fixed-to-Floating 

Contract Overview Interest Rate Swap. 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. 

Ticker CHF SWAP OIS [Tenor]

CHF SWAP VS SARON [Maturity Date]

CHF SWAP VS SRN [Tenor]

CHF SRN [Payment Frequency] [Effective Date] [Maturity Date]

Reference Rate Index CHF-SARON-OIS Compound

CHF-SARON-OIS-COMPOUND 

Reference Rate Index 

Term Value

1 day

Fixed Rate Par; Custom Coupon

Notational Currency CHF

Notional Schedule Constant

Quoting Convention Fixed rate 

Minimum Increment • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Minimum Size • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Trading Conventions • Pay Fixed, Receive Float. 

• Receive Fixed, Pay Float. 

Trade Start Types • Spot: A new swap where the Effective Date is T+2 from the trade date. 

• Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Fixing Offset 0 to 10 days

Payment Conventions Fixed Leg 

• Payment Frequency: Annual, at Maturity 

• Day Count Conventions: ACT/360 or as agreed by the counterparties.

• Business Calendar: Zurich

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

Floating Leg 

• Payment/Resets: Annual, at Maturity

• Day Count Conventions: ACT/360 or as agreed by the counterparties

• Business Calendar: Zurich

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

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 7 days to up to 31

years.

Effective Date Unadjusted date at which obligations under the swap come into effect.

Maturity/Expiration 

Date

Unadjusted date at which the obligations under the swap stop being effective.

Final Contractual 

Settlement Date

Expiration Date

Payment Lag • Fixed Leg: 0 days, or the same number of days as the Floating Leg

• Floating Leg: 2 to 5 days

Settlement Method Financially Settled

Settlement Procedure As determined by Clearing House or Bilateral

Settlement Currency CHF

“Made Available to 

Trade” Determination

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
153

RULE 1353. EUR EuroSTR OIS Compound Fixed-to-Floating

Contract Overview Interest Rate Swap. 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. 

Ticker EUR SWAP VS ESTR [Swap Tenor or Maturity Date] 

Reference Rate Index EUR-EuroSTR-OIS Compound

EUR-EuroSTR-COMPOUND 

Reference Rate Index 

Term Value

1 day

Fixed Rate Par; Custom Coupon

Notational Currency EUR

Notional Schedule Constant

Quoting Convention Fixed rate 

Minimum Increment • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Minimum Size • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Trading Conventions • Pay Fixed, Receive Float. 

• Receive Fixed, Pay Float. 

Trade Start Types • Spot: A new swap where the Effective Date is T+2 from the trade date. 

• Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Fixing Offset 0 to 10 days

Payment Conventions Fixed Leg 

• Payment Frequency: Annual 

• Day Count Conventions: ACT/360 or as agreed by the counterparties.

• Business Calendars: Target

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

Floating Leg 

• Payment/Resets: Daily, Annual 

• Day Count Conventions: ACT/360, or as agreed by the counterparties

• Business Calendars: Target 

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

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 7 days to up 

to 70 years.

Effective Date Unadjusted date at which obligations under the swap come into effect.

Maturity/Expiration 

Date

Unadjusted date at which the obligations under the swap stop being effective.

Final Contractual 

Settlement Date

Expiration Date

Payment Lag • Fixed Leg: 0 days, or the same number of days as the Floating Leg

• Floating Leg: 1 to 5 days

Settlement Method Financially Settled

Settlement Procedure As determined by Clearing House or Bilateral 

Settlement Currency EUR

“Made Available to 

Trade” Determination

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time)

Clearing Venue Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
154

RULE 1354. JPY TONA OIS Compound Fixed-to-Floating 

Contract Overview Interest Rate Swap. 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. 

Ticker JPY OIS SWAP [Tenor] 

JPY SWAP VS TONAR [Maturity Date]

Reference Rate Index JPY-TONA-OIS Compound

JPY-TONA-OIS-COMPOUND 

Reference Rate Index 

Term Value

1 day

Fixed Rate Par; Custom Coupon

Notational Currency JPY

Notional Schedule Constant

Quoting Convention Fixed rate 

Minimum Increment • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Minimum Size • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Trading Conventions • Pay Fixed, Receive Float. 

• Receive Fixed, Pay Float. 

Trade Start Types • Spot: A new swap where the Effective Date is T+2 from the trade date. 

• Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Fixing Offset 0 to 10 days

Payment Conventions Fixed Leg 

• Payment Frequency: Annual, Semi-Annual, Quarterly 

• Day Count Conventions: ACT/365, ACT/360, 30/360

• Business Calendars: Tokyo

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

Floating Leg 

• Payment/Resets: Annual, Semi-Annual, Quarterly 

• Day Count Conventions: ACT/365, or as agreed by the counterparties

• Business Calendars: Tokyo

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

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 7 days to up 

to 41 years.

Effective Date Unadjusted date at which obligations under the swap come into effect.

Maturity/Expiration 

Date

Unadjusted date at which the obligations under the swap stop being effective.

Final Contractual 

Settlement Date

Expiration Date

Payment Lag • Fixed Leg: 0 days, or the same number of days as the Floating Leg

• Floating Leg: 2 to 5 days

Settlement Method Financially Settled

Settlement Procedure As determined by Clearing House or Bilateral

Settlement Currency JPY

“Made Available to 

Trade” Determination

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time)

Clearing House Japan Securities Clearing Corporation, LCH.Clearnet Ltd.; Chicago Mercantile Exchange, Inc.; Eurex Clearing 

Aktiengesellschaft

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
155

RULE 1355. [Reserved]
156

RULE 1356. SGD SORA OIS Compound Fixed-to-Floating 

Contract Overview Interest Rate Swap. 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. 

Ticker SGD SWAP VS SORA [Swap Tenor]

Reference Rate Index SGD-SORA-OIS Compound 

SGD-SORA-COMPOUND 

Reference Rate Index 

Term Value

1 day

Fixed Rate Par; Custom Coupon

Notational Currency SGD

Notional Schedule Constant

Quoting Convention Fixed rate 

Minimum Increment • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Minimum Size • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Trading Conventions • Pay Fixed, Receive Float. 

• Receive Fixed, Pay Float. 

Trade Start Types • Spot: A new swap where the Effective Date is T+2 from the trade date. 

• Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Fixing Offset 0 to 10 days

Payment Conventions Fixed Leg 

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

• Day Count Conventions: ACT/365 or as agreed by the counterparties

• Business Calendar: Singapore

• Business Day Conventions: Modified Following

Floating Leg

• Payment/Resets: Monthly, Quarterly, Semi-Annual, Annual

• Day Count Conventions: ACT/365 or as agreed by the counterparties

• Business Calendar: Singapore

• Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 28 days to up 

to 31 years.

Effective Date Unadjusted date at which obligations under the swap come into effect.

Maturity/Expiration 

Date

Unadjusted date at which the obligations under the swap stop being effective.

Final Contractual 

Settlement Date

Expiration Date

Payment Lag • Fixed Leg: 0 days, or the same number of days as the Floating Leg

• Floating Leg: 2-5 days

Settlement Method Financially Settled

Settlement Procedure As determined by Clearing House or Bilateral

Settlement Currency SGD

“Made Available to 

Trade” Determination

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Clearing House LCH.Clearnet Ltd.

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
157

RULE 1357. CAD CORRA OIS Compound Fixed-to-Floating 

Contract Overview Interest Rate Swap. 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. 

Ticker CAD SWAP VS CORRA [Reference Rate Term Value] [Swap Tenor or Maturity Date]

CAD SWAP OIS [Reference Rate Term Value] [Swap Tenor or Maturity Date]

Reference Rate Index CAD-CORRA-OIS Compound

CAD-CORRA-OIS-COMPOUND 

Reference Rate Index 

Term Value

1 day

Fixed Rate Par; Custom Coupon

Notational Currency CAD

Notional Schedule Constant

Quoting Convention Fixed rate 

Minimum Increment • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Minimum Size • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Trading Conventions • Pay Fixed, Receive Float. 

• Receive Fixed, Pay Float. 

Trade Start Types • Spot: A new swap where the Effective Date is T+1 from the trade date. 

• Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Fixing Offset 0 to 10 days

Payment Conventions Fixed Leg 

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

• Day Count Conventions: ACT/365 or as agreed by the counterparties

• Business Calendar: Toronto

• Business Day Conventions: Modified Following

Floating Leg

• Payment/Resets: Monthly, Quarterly, Semi-Annual, Annual

• Day Count Conventions: ACT/365 or as agreed by the counterparties

• Business Calendar: Toronto

• Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 28 days to up 

to 41 years.

Effective Date Unadjusted date at which obligations under the swap come into effect.

Maturity/Expiration 

Date

Unadjusted date at which the obligations under the swap stop being effective.

Final Contractual 

Settlement Date

Expiration Date

Payment Lag • Fixed Leg: 0 days, or the same number of days as the Floating Leg

• Floating Leg: 1 to 5 days

Settlement Method Financially Settled

Settlement Procedure As determined by Clearing House or Bilateral

Settlement Currency CAD

“Made Available to 

Trade” Determination

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd.

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
158

RULE 1358. USA CPI U Zero Coupon Fixed-to-Floating 

Contract Overview Inflation Rate Swap. An agreement to transfer inflation risk from one party to another through an exchange of 

cash flows. In a zero-coupon inflation swap, only one payment is due at maturity where one party pays a fixed rate 

on a notional principal amount and the other party pays a floating rate linked to an inflation index.

Ticker USD [ZC Inflation] SWAP VS CPURNSA [Swap Tenor or Maturity Date] 

Reference Rate Index USA-CPI-U

Reference Rate Index 

Term Value

1 day

Fixed Rate Par; Custom Coupon

Notational Currency USD

Notional Schedule Constant

Quoting Convention Fixed rate 

Minimum Increment • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Minimum Size • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Trading Conventions • Pay Fixed, Receive Float. 

• Receive Fixed, Pay Float. 

Trade Start Types • Spot: A new swap where the Effective Date is T+2 from the trade date. 

• Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Inflation Lag 3 to 12 months 

Payment Conventions Fixed Leg 

• Payment Frequency: At maturity 

• Compounding: Annual

• Day Count Conventions: 1/1

• Business Calendars: New York, London

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

Inflation Leg 

• Payment/Resets: At maturity/At maturity

• Day Count Conventions: 1/1

• Business Calendars: New York, London

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

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 1 year to up to 

30 years.

Effective Date Unadjusted date at which obligations under the swap come into effect.

Maturity/Expiration 

Date

Unadjusted date at which the obligations under the swap stop being effective.

Final Contractual 

Settlement Date

Expiration Date

Payment Lag • Fixed Leg: 0 days

• Floating Leg: 0 days

Settlement Method Financially Settled

Settlement Procedure As determined by Clearing House or Bilateral

Settlement Currency USD

“Made Available to 

Trade” Determination

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Clearing House LCH.Clearnet Ltd

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

Speculative Limits As set forth in Part 150 of CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
159

RULE 1359. EUR EXT CPI Zero Coupon Fixed-to-Floating 

Contract Overview Inflation Rate Swap. An agreement to transfer inflation risk from one party to another through an exchange of 

cash flows. In a zero-coupon inflation swap, only one payment is due at maturity where one party pays a fixed rate 

on a notional principal amount and the other party pays a floating rate linked to an inflation index.

Ticker EUR ZC INFLATION SWAP VS CPTFEMU [Swap Tenor or Maturity Date]

Reference Rate Index EUR-EXT-CPI

Reference Rate Index 

Term Value

1 day

Fixed Rate Par; Custom Coupon

Notational Currency EUR

Notional Schedule Constant

Quoting Convention Fixed rate 

Minimum Increment • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Minimum Size • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Trading Conventions • Pay Fixed, Receive Float. 

• Receive Fixed, Pay Float. 

Trade Start Types • Spot: A new swap where the Effective Date is 15th of the month of the trade date.

• Non-Spot: Any 15th of a month, as long as the Initial Fixing Index is known.

Inflation Lag 3 to 12 months 

Payment Conventions Fixed Leg 

• Payment Frequency: At maturity

• Compounding: Annual 

• Day Count Conventions: 1/1

• Business Calendars: Target

• Business Day Conventions: Modified Following with adjustment to period end dates. 

Inflation Leg 

• Payment: At maturity

• Resets: 3 Months before Effective Date and 3 Months before Maturity Date 

• Day Count Conventions: 1/1

• Business Calendars: Target

• Business Day Conventions: Modified Following with adjustment to period end dates.

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 1 year to up to 

50 years.

Effective Date Unadjusted date at which obligations under the swap come into effect.

Maturity/Expiration 

Date

Unadjusted date at which the obligations under the swap stop being effective.

Final Contractual 

Settlement Date

Expiration Date

Payment Lag • Fixed Leg: 0 days

• Floating Leg: 0 days

Settlement Method Financially Settled

Settlement Procedure As determined by Clearing House or Bilateral

Settlement Currency EUR

“Made Available to 

Trade” Determination

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Clearing Venue LCH.Clearnet Ltd, Eurex Clearing AG

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

Speculative Limits As set forth in Part 150 of CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
160

RULE 1360. UK RPI Zero Coupon Fixed-to-Floating

Contract Overview Inflation Rate Swap. An agreement to transfer inflation risk from one party to another through an exchange of 

cash flows. In a zero-coupon inflation swap, only one payment is due at maturity where one party pays a fixed rate 

on a notional principal amount and the other party pays a floating rate linked to an inflation index. 

Ticker GBP ZC Inflation Swap vs UKRPI [Swap Tenor or Maturity Date]

Reference Rate Index UK-RPI

Reference Rate Index 

Term Value

1 day

Fixed Rate Par; Custom Coupon

Notational Currency GBP

Notional Schedule Constant

Quoting Convention Fixed rate 

Minimum Increment • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Minimum Size • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Trading Conventions • Pay Fixed, Receive Float. 

• Receive Fixed, Pay Float. 

Trade Start Types • Spot: A new swap where the Effective Date is 15th of the month of the trade date.

• Non-Spot: Any 15th of a month, as long as the Initial Fixing Index is known.

Inflation Lag • Non-linear: 2 months for Non-linear

• Linear: 3 months-12 months

Payment Conventions Fixed Leg 

• Payment Frequency: At maturity

• Compounding: Annual 

• Day Count Conventions: 1/1

• Business Calendar: London

• Business Day Conventions: Modified Following with adjustment to period end dates. 

Inflation Leg 

• Payment: At Maturity

• Resets: 2 Months before Effective Date and 2 Months before Maturity Date 

• Day Count Conventions: 1/1

• Business Calendar: London

• Business Day Conventions: Modified Following with adjustment to period end dates.

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 1 year to up to 

50 years.

Effective Date Unadjusted date at which obligations under the swap come into effect.

Maturity/Expiration 

Date

Unadjusted date at which the obligations under the swap stop being effective.

Final Contractual 

Settlement Date

Expiration Date

Payment Lag • Fixed Leg: 0 days

• Floating Leg: 0 days

Settlement Method Financially Settled

Settlement Procedure As determined by Clearing House or Bilateral

Settlement Currency GBP

“Made Available to 

Trade” Determination

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time)

Clearing House LCH.Clearnet Ltd, Eurex Clearing AG

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

Speculative Limits As set forth in Part 150 of CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
161

RULE 1361. FRC EXT CPI Zero Coupon Fixed-to-Floating 

Contract Overview Inflation Rate Swap. An agreement to transfer inflation risk from one party to another through an exchange of 

cash flows. In a zero-coupon inflation swap, only one payment is due at maturity where one party pays a fixed rate 

on a notional principal amount and the other party pays a floating rate linked to an inflation index.

Ticker EUR ZC INFLATION SWAP VS FRCPXTOB [Swap Tenor or Maturity Date]

Reference Rate Index FRC-EXT-CPI

Reference Rate Index 

Term Value

1 day

Fixed Rate Par; Custom Coupon

Notational Currency EUR

Notional Schedule Constant

Quoting Convention Fixed rate 

Minimum Increment • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Minimum Size • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Trading Conventions • Pay Fixed, Receive Float. 

• Receive Fixed, Pay Float. 

Trade Start Types • Spot: A new swap where the Effective Date is 15th of the month of the trade date.

• Non-Spot: Any 15th of a month, as long as the Initial Fixing Index is known.

Inflation Lag 3 months, but up to 12 months is permissible

Payment Conventions Fixed Leg 

• Payment Frequency: At maturity

• Compounding: Annual 

• Day Count Conventions: 1/1

• Business Calendars: Target

• Business Day Conventions: Modified Following with adjustment to period end dates. 

Inflation Leg 

• Payment: At Maturity

• Resets: 3 Months before Effective Date and 3 Months before Maturity Date 

• Day Count Conventions: 1/1

• Business Calendars: Target

• Business Day Conventions: Modified Following with adjustment to period end dates.

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 1 year to up to 

30 years.

Effective Date Unadjusted date at which obligations under the swap come into effect.

Maturity/Expiration 

Date

Unadjusted date at which the obligations under the swap stop being effective.

Final Contractual 

Settlement Date

Expiration Date

Payment Lag • Fixed Leg: 0 days

• Floating Leg: 0 days

Settlement Method Financially Settled

Settlement Procedure As determined by Clearing House or Bilateral

Settlement Currency EUR

“Made Available to 

Trade” Determination

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time)

Clearing Venue LCH.Clearnet Ltd, Eurex Clearing AG

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

Speculative Limits As set forth in Part 150 of CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
162

RULE 1362. COP IBR OIS Compound Fixed-to-Floating 

Contract Overview Interest Rate Swap. 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. 

Ticker COP Swap NDOIS [Swap Tenor]

Reference Rate Index COP-IBR-OIS Compound

COP-IBR-OIS-COMPOUND 

Reference Rate Index 

Term Value

1 day

Fixed Rate Par; Custom Coupon

Notational Currency COP

Notional Schedule Constant

Quoting Convention Fixed rate 

Minimum Increment • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Minimum Size • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Trading Conventions • Pay Fixed, Receive Float. 

• Receive Fixed, Pay Float. 

Trade Start Types • Spot: A new swap where the Effective Date is T+2 from the trade date. 

• Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Fixing Offset 0 days

Payment Conventions Fixed Leg 

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

• Day Count Conventions: ACT/360 or as agreed by the counterparties

• Business Calendar: Bogota, New York

• Business Day Conventions: Modified Following

Floating Leg

• Payment/Resets: Monthly, Quarterly, Semi-Annual, Annual

• Day Count Conventions: ACT/360 or as agreed by the counterparties

• Business Calendar: Bogota, New York

• Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 28 days to up 

to 15.5 years.

Effective Date Unadjusted date at which obligations under the swap come into effect.

Maturity/Expiration 

Date

Unadjusted date at which the obligations under the swap stop being effective.

Final Contractual 

Settlement Date

Expiration Date

Payment Lag • Fixed Leg: 0 days

• Floating Leg: 0 days

Settlement Method Financially Settled

Settlement Procedure As determined by Clearing House or Bilateral

Settlement Currency USD

“Made Available to 

Trade” Determination

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc, LCH.Clearnet Ltd.

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
163

RULE 1363. ILS TELBOR Fixed-to-Floating 

Contract Overview Interest Rate Swap. 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. 

Ticker ILS SWAP VS 3MO [Swap Tenor] 

Reference Rate Index ILS-TELBOR

ILS-TELBOR01-Reuters

Reference Rate Term 

Value

3 months

Fixed Rate Par; Custom Coupon

Notational Currency ILS

Notional Schedule Constant

Quoting Convention Fixed rate 

Minimum Increment • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Minimum Size • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Trading Conventions • Pay Fixed, Receive Float. 

• Receive Fixed, Pay Float. 

Trade Start Types • Spot: A new swap where the Effective Date is T+2 from the trade date. 

• Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Fixing Offset 0 to 10 days

Payment Conventions Fixed Leg 

• Payment Frequency: Annual 

• Day Count Conventions: ACT/365 or as agreed by the counterparties.

• Business Calendars: Tel Aviv

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

Floating Leg 

• Payment/Resets: Quarterly, Annual 

• Day Count Conventions: ACT/365, or as agreed by the counterparties

• Business Calendars: Tel Aviv

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

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 28 days to up 

to 11 years.

Effective Date Unadjusted date at which obligations under the swap come into effect.

Maturity/Expiration Date Unadjusted date at which the obligations under the swap stop being effective.

Final Contractual 

Settlement Date

Expiration Date

Payment Lag • Fixed Leg: 0 days

• Floating Leg: 0 days

Settlement Method Financially Settled

Settlement Procedure As determined by Clearing House or Bilateral

Settlement Currency ILS

“Made Available to 

Trade” Determination

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time)

Clearing House LCH.Clearnet Ltd

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
164

RULE 1364. NZD NZIONA OIS Compound Fixed-to-Floating 

Contract Overview Interest Rate Swap. 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. 

Ticker NZD SWAP VS OCR

Reference Rate Index NZD-NZIONA-OIS Compound

NZD-NZIONA-OIS-COMPOUND 

Reference Rate Index 

Term Value

1 day

Fixed Rate Par; Custom Coupon

Notational Currency NZD

Notional Schedule Constant

Quoting Convention Fixed rate 

Minimum Increment • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Minimum Size • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Trading Conventions • Pay Fixed, Receive Float. 

• Receive Fixed, Pay Float. 

Trade Start Types • Spot: A new swap where the Effective Date is T+2 from the trade date. 

• Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Fixing Offset 0 to 10 days

Payment Conventions Fixed Leg 

• Payment Frequency: Monthly, Quarterly, Semi-Annual, Annual or At Maturity

• Day Count Conventions: ACT/365

• Business Calendar: Auckland, Wellington

• Business Day Conventions: Modified Following

Floating Leg

• Payment/Resets: Monthly, Quarterly, Semi-Annual, Annual or At Maturity

• Day Count Conventions: ACT/365

• Business Calendar: Auckland, Wellington

• Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 7 days to 

up to 11 years.

Effective Date Unadjusted date at which obligations under the swap come into effect.

Maturity/Expiration 

Date

Unadjusted date at which the obligations under the swap stop being effective.

Final Contractual 

Settlement Date

Expiration Date

Payment Lag • Fixed Leg: 0 days, or the same number of days as the Floating Leg

• Floating Leg: 2 to 5 days

Settlement Method Financially Settled

Settlement Procedure As determined by Clearing House or Bilateral

Settlement Currency NZD

“Made Available to 

Trade” Determination

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Clearing House LCH.Clearnet Ltd.

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
165

RULE 1365. [Reserved] 
166

RULE 1366. THB THOR OIS Compound Fixed-to-Floating 

Contract Overview Interest Rate Swap. 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. 

Ticker THB NDOIS VS THOR

Reference Rate Index THB-THOR-OIS Compound

THB-THOR-COMPOUND 

Reference Rate Index 

Term Value

1 day

Fixed Rate Par; Custom Coupon

Notational Currency THB

Notional Schedule Constant

Quoting Convention Fixed rate 

Minimum Increment • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Minimum Size • CLOB: 100,000

• Trading Protocols other than CLOB: 0.01

Trading Conventions • Pay Fixed, Receive Float. 

• Receive Fixed, Pay Float. 

Trade Start Types • Spot: A new swap where the Effective Date is T+2 from the trade date. 

• Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Fixing Offset 0 days

Payment Conventions Fixed Leg 

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

• Day Count Conventions: ACT/365

• Business Calendar: Bangkok, New York

• Business Day Conventions: Modified Following

Floating Leg

• Payment/Resets: Monthly, Quarterly, Semi-Annual, Annual

• Day Count Conventions: ACT/365

• Business Calendar: Bangkok, New York

• Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 28 days to up to 

11 years.

Effective Date Unadjusted date at which obligations under the swap come into effect.

Maturity/Expiration Date Unadjusted date at which the obligations under the swap stop being effective.

Final Contractual 

Settlement Date

Expiration Date

Payment Lag • Fixed Leg: 0 days

• Floating Leg: 0 days

Settlement Method Financially Settled

Settlement Procedure As determined by Clearing House or Bilateral

Settlement Currency USD 

“Made Available to 

Trade” Determination

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Clearing House LCH.Clearnet Ltd.

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
167

RULE 1367. [Reserved]

RULE 1368. [Reserved]
168

CHAPTER 14. FOREIGN EXCHANGE CONTRACTS TERMS AND CONDITIONS

RULE 1400. Reference Currency List

The below currencies are available Reference Currencies for Chapter 14 contracts. 

• AOA Angolan Kwanza

• ARS Argentine Peso 

• AZN Azerbaijani Manat

• BRL Brazilian Real 

• CLP Chilean Peso

• CNY Chinese Renminbi

• COP Colombian Peso

• CRC Costa Rican Colon

• DOP Dominican Republic Peso

• EGP Egyptian Pound

• ETB Ethiopian Birr

• EUR Euro

• GEL Georgian Lari

• GHS Ghanaian Cedi

• GTQ Guatemalan Quetzal

• HNL Honduran Lempira

• IDR Indonesian Rupiah

• INR Indian Rupee

• KES Kenyan Shilling

• KRW South Korean Won 

• KZT Kazakh Tenge

• MYR Malaysian Ringgit (See Notice 

to Participants 2017-3 on BSEF’s 

website)

• MZN Mozambican Metical

• NGN Nigerian Naira

• NPR Nepalese Rupee

• PEN Peruvian Nuevo sol

• PHP Philippine Peso

• PKR Pakistani Rupee

• PYG Paraguayan Guarani

• RUB Russian Ruble

• RWF Rwandan Franc

• SLE Sierra Leonean Leone

• TWD Taiwan Dollar

• TZS Tanzanian Shilling

• UAH Ukrainian Hryvnia

• UGX Ugandan Shilling

• UYU Uruguayan Peso

• VND Vietnamese Dong

• XAF Central African Franc

• XOF West African Franc

• ZAR South African Rand

• ZMW Zambian Kwacha
169

RULE 1401. Non-Deliverable Forward

Contract Overview A non-deliverable forward (NDF) is a forward contract which counterparties settle by exchanging in Settlement 

Currency the difference between the Forward Rate and the Fixing Rate on the Fixing Date on an agreed notional 

amount. Forward Rate means the rate of exchange from converting the unit currency into the quoted currency 

determined at the inception of the contract. Fixing Rate means the rate of exchange from converting the unit 

currency into the quoted currency determined on the Fixing Date.

Ticker [NDF] [Currency Pair] [Settlement Currency] [Expiration Date]

Reference Currency Any currency listed in Rule 1400.

Reference Currency 

Rate Source

• Any source described in Section 4.5A of ANNEX A to the 1998 FX and Currency Option Definitions

published by International Swaps and Derivatives Association, Inc and Trade Association for the 

Emerging Markets; or

• “Bloomberg MID” or “BFX03” as described in Section 4.5B of ANNEX A to the 1998 FX and 

Currency Option Definitions published by International Swaps and Derivatives Association, Inc and 

Trade Association for the Emerging Markets; or

• “WM/RefinitivMID” or “WMR03” as described in Section 4.5B of ANNEX A to the 1998 FX and 

Currency Option Definitions published by International Swaps and Derivatives Association, Inc and 

Trade Association for the Emerging Markets.

Settlement 

Currency

Any ISO 4217 Currency or CNH. For CNH, the settlement location is Hong Kong.

Quoting 

Convention 

Forward Rate

Minimum 

Increment

Any value greater than zero.

Minimum Size Any value greater than zero.

Notional Currency Currency in which contract size is expressed in, as agreed by counterparties.

Trading 

Conventions

Buy or Sell

Effective Date The unadjusted date at which obligations come into effect.

Fixing/Expiration 

Date

The date that the difference between the Forward Rate and the Fixing Rate is calculated and unadjusted date at 

which obligations stopped being effective.

Final Contractual 

Settlement Date

Unadjusted date by which all transfer of cash should take place and the counterparties no longer trade any 

outstanding obligations under the contract, as agreed by counterparties.

Settlement Method Financially settled

Settlement 

Procedure 

Bilateral settlement performed in settlement currency. 

Clearing House None

Trading Hours 14:00 Sunday to 17:00 Friday Eastern Time.

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

Speculative Limits As set in Part 150 of the CFTC Regulations.

Reportable Levels As set in CFTC Regulation 15.03.
170

RULE 1402. Vanilla FX Option

Contract Overview Option on a spot foreign exchange contract. An agreement granting the owner the right, but not the 

obligation, to exchange the notional amount of the reference currency and the settlement currency at the 

Forward Rate on the exercise date. Forward Rate means the rate of exchange from converting the unit 

currency into the quoted currency determined at the inception of the contract. 

Ticker [CUO] [VAN] [Currency Pair] [Settlement Currency] [Expiration Date] [Option Type] [Strike Price] 

Reference Currency Any currency listed in Rule 1400.

Reference Currency Rate 

Source

• Any source described in Section 4.5A of ANNEX A to the 1998 FX and Currency Option 

Definitions published by International Swaps and Derivatives Association, Inc and Trade 

Association for the Emerging Markets; or

• “Bloomberg MID” or “BFX03” as described in Section 4.5B of ANNEX A to the 1998 FX and 

Currency Option Definitions published by International Swaps and Derivatives Association, Inc 

and Trade Association for the Emerging Markets; or

• “WM/RefinitivMID” or “WMR03” as described in Section 4.5B of ANNEX A to the 1998 FX 

and Currency Option Definitions published by International Swaps and Derivatives Association, 

Inc and Trade Association for the Emerging Markets.

Settlement Currency Any ISO 4217 Currency or CNH. For CNH, the settlement location is Hong Kong.

Strike Price Forward Rate

Option Premium 

Currency

Settlement Currency

Quoting Convention Premium

Minimum Increment Any value greater than zero.

Minimum Size Any value grater then zero.

Notional Currency A put or a call currency, as applicable

Option Style • Physical settlement: American or European

• Financial settlement: European

Option Type • Put: Gives the buyer of the option the right to sell the reference currency.

• Call: Gives to the buyer of the option the right to buy the reference currency

Valuation method Vanilla

Effective Date Unadjusted date at which obligations under the swap come into effect

Expiration Date/Fixing 

Date

Unadjusted date at which obligations stopped being effective. For financially settled options the Expiration 

Date is the same as the Fixing Date. The Fixing Date is the date on which the difference between the 

Forward Rate and the Fixing Rate is calculated. 

Final Contractual 

Settlement Date

Unadjusted date by which all transfer of cash should take place and the counterparties no longer trade any 

outstanding obligations under the contract, as agreed by counterparties.

Settlement Method • Physically settled: The settlement performed by exchange of the full amount of Reference 

Currency and the Settlement Currency.

• Financially Settled: The settlement performed by exchanging in the Settlement Currency the 

difference between the Forward Rate and the Fixing Rate on the Fixing Date applied on the

agreed put or call amount. Fixing Rate means the rate of exchange from converting the unit 

currency into the quoted currency determined on the Fixing Date based on the spot rate 

published by Reference Currency Rate Sources

“Made Available to 

Trade” Determination

None

Mandatory Clearing 

Determination

None

Trading Hours 14:00 Sunday to 17:00 Friday Eastern Time

Settlement Procedure Bilateral; partial exercise is permitted. 

Clearing House None

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in CFTC Regulation 15.03
171

RULE 1403. Barrier Option

Contract 

Overview

Option on a spot foreign exchange contract. An agreement granting the buyer of the option the right, but not the obligation, 

to exchange the notional amount of the Reference Currency and the Settlement Currency at the Forward Rate on the 

exercise date if the Reference Currency spot rate reaches a specified rate (“Barrier Rate”) during the term of the 

agreement. Forward Rate means the rate of exchange from converting the unit currency into the quoted currency 

determined at the inception of the contract.

Ticker [CUO] [BARR] [Currency Pair] [Settlement Currency] [Expiration Date] [Option Type] [Strike Price]

Reference 

Currency

Any currency listed in Rule 1400.

Reference 

Currency Rate 

Source

• Any source described in Section 4.5A of ANNEX A to the 1998 FX and Currency Option Definitions published 

by International Swaps and Derivatives Association, Inc and Trade Association for the Emerging Markets; or

• “Bloomberg MID” or “BFX03” as described in Section 4.5B of ANNEX A to the 1998 FX and Currency 

Option Definitions published by International Swaps and Derivatives Association, Inc and Trade Association 

for the Emerging Markets; or

• “WM/RefinitivMID” or “WMR03” as described in Section 4.5B of ANNEX A to the 1998 FX and Currency 

Option Definitions published by International Swaps and Derivatives Association, Inc and Trade Association 

for the Emerging Markets.

Settlement 

Currency

Any ISO 4217 Currency or CNH. For CNH, the settlement location is Hong Kong.

Strike Price Forward Rate

Barrier Rate Reference Currency exchange rate that either springs the option into existence or extinguishes an already existing option.

Barrier Style • American: Barrier is breached at any time before the Expiration Date

• European: Barrier breached only at the Expiration Date.

Barrier 

Direction/Style

• Up-and-out: The option exists at the inception of the contract. The Reference Currency spot price starts below 

the Barrier Rate at the inception of the contract and must move up for the option to become null and void.

• Down-and-out: The option exists at the inception of the contract. The reference Currency spot price starts 

above the Barrier Rate at the inception of the contract and has to move down for the option to become null and 

void.

• Up-and-in: No option exists at the inception of the contract. The Reference Currency spot price starts below 

the Barrier Rate at the inception of the contract and must move up for the option to come into existence.

• Down-and-in: No option exists at the inception of the contract. The Reference Currency spot price starts above 

the Barrier Rate and must move down for the option to come into existence.

Option 

Premium 

Currency

Settlement Currency

Quoting 

Convention 

Premium

Minimum 

Increment

Any value greater than zero.

Minimum Size Any value grater then zero.

Notional 

Currency

A put or a call currency, as applicable

Option Style • Physically settled: American or European

• Financially settled: European

Option Type • Put: gives the buyer of the option the right to sell the Reference Currency.

• Call: gives to the buyer of the option the right to buy the Reference Currency

Valuation 

method

Barrier

Effective Date Unadjusted date at which obligations under the swap come into effect

Expiration 

Date/Fixing 

Date

Unadjusted date at which obligations stopped being effective. For financially settled options the Expiration Date is the

same as the Fixing Date. The Fixing Date is the date on which the difference between the Forward Rate and the Fixing 

Rate is calculated.

Final 

Contractual 

Settlement 

Date

Unadjusted date by which all transfer of cash should take place and the counterparties no longer trade any outstanding 

obligations under the contract, as agreed by counterparties.

Settlement 

Method

• Physically settled: The settlement performed by exchange of the full amount of Reference Currency and the 

Settlement Currency.

• Financially Settled: The settlement performed by exchanging in the Settlement Currency the difference 

between the Forward Rate and the Fixing Rate on the Fixing Date applied on the agreed put or call amount. 
172

Fixing Rate means the rate of exchange from converting the unit currency into the quoted currency determined 

on the Fixing Date based on the spot rate published by Reference Currency Rate Sources

“Made 

Available to 

Trade” 

Determination

None

Mandatory 

Clearing 

Determination

None

Trading 

Hours 

14:00 Sunday to 17:00 Friday Eastern Time

Settlement 

Procedure 

Bilateral. Partial exercise is permitted.

Clearing 

House

None

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

Speculative 

Limits

As set in Part 150 of the CFTC Regulations

Reportable 

Levels

As set in CFTC Regulation 15.03
173

RULE 1404. [Reserved]
174

RULE 1405. Average Rate Forward

Contract Overview An average rate forward (ARF) is a forward contract which counterparties settle by exchanging in Settlement 

Currency the difference between the Forward Rate and the Fixing Rate. Forward Rate means the rate of exchange 

from converting the unit currency into the quoted currency determined at the inception of the contract. Fixing Rate 

means the rate of exchange from converting the unit currency into the quoted currency as determined on the Fixing 

Date by averaging spot rates taken at specified point during the Observation Period. 

Ticker [ARF] [Currency Pair] [Settlement Currency] [Fixing Date]

Reference 

Currency

Any currency listed in Rule 1400

Reference 

Currency Rate 

Source

• Any source described in Section 4.5A of ANNEX A to the 1998 FX and Currency Option Definitions

published by International Swaps and Derivatives Association, Inc and Trade Association for the 

Emerging Markets; or

• “Bloomberg MID” or “BFX03” as described in Section 4.5B of ANNEX A to the 1998 FX and Currency 

Option Definitions published by International Swaps and Derivatives Association, Inc and Trade 

Association for the Emerging Markets; or

• “WM/RefinitivMID” or “WMR03” as described in Section 4.5B of ANNEX A to the 1998 FX and 

Currency Option Definitions published by International Swaps and Derivatives Association, Inc and Trade 

Association for the Emerging Markets.

Settlement 

Currency

Any ISO 4217 Currency or CNH. For CNH, the settlement location is Hong Kong.

Quoting 

Convention

Forward Rate

Minimum 

Increment

Any value greater than zero.

Minimum Size Any value greater than zero.

Notional Currency Currency in which contract size is expressed in, as agreed by counterparties.

Trading 

Conventions

Buy or Sell

Observation Period As agreed by counterparties.

Observation Period 

Point Schedule

As agreed by counterparties.

Effective Date The unadjusted date at which obligations come into effect.

Final Contractual 

Settlement Date

Unadjusted date by which all transfer of cash should take place and the counterparties no longer trade any outstanding 

obligations under the contract, as agreed by counterparties.

Settlement Method Financially Settled

Fixing 

Date/Expiration 

Date

The date that the difference between the Forward Rate and the Fixing Rate is calculated and unadjusted date at which 

obligations stopped being effective.

Settlement 

Procedure 

Bilateral settlement performed in the settlement currency

Trading Hours 14:00 Sunday to 17:00 Friday Eastern Time 

Clearing House None

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
RULE 1406. [Reserved]

RULE 1407. [Reserved]

RULE 1408. [Reserved]

RULE 1409. [Reserved]
Annex A

Excerpt from ISDA Dodd Frank Act – Swap Transaction Reporting Party Requirements

Product Attribute Determination

RP Tiebreaker Logic ‐ Rates

Trade Type Explanation Reporting Party

Cap/ Floor When a single Fixed Rate Payer

exists

Fixed Rate Payer. Otherwise, Reverse ASCII sort, first LEI/Entity

ID

Debt Option All Option Buyer

Exotic All Reverse ASCII sort, first LEI/Entity ID

FRA All Fixed Rate Payer

IRS Basis All Reverse ASCII sort, first LEI/Entity ID

IRS Fix‐Fix All Reverse ASCII sort, first LEI/Entity ID

IRS Fix‐Float All Fixed Rate Payer

IRSwap: Inflation When a single Fixed Rate Payer

exists

Fixed Rate Payer. Otherwise, Reverse ASCII sort, first LEI/Entity

ID

IRSwap: OIS All Fixed Rate Payer

Swaption All Option Buyer

XCCY Basis All Reverse ASCII sort, first LEI/Entity ID

XCCY Fix‐Fix All Reverse ASCII sort, first LEI/Entity ID

XCCY Fix‐Float All Fixed Rate Payer