July 11, 2023

Submitted via CFTC Portal

Mr. Christopher J. Kirkpatrick 

Office of the Secretariat

Commodity Futures Trading Commission

Three Lafayette Centre

1155 21st Street, N.W.

Washington, D.C. 20581

Re: tpSEF Inc. – Regulation 40.2 Certification of Equity Index Swaps -- S&P/TSX 

Capped Energy Index (tpSEF Submission #23-05P)

Dear Mr. Kirkpatrick: 

tpSEF Inc. (“tpSEF”) hereby notifies the Commodity Futures Trading Commission (the 

“Commission”) of its intent to list Equity Index Swaps -- S&P/TSX Capped Energy Index (the 

“Contract”) on tpSEF’s swap execution facility. tpSEF intends to list this Contract on July 13, 

2023.

Pursuant to Commission Regulation 40.2, this submission includes:

i. The intended listing date – July 13, 2023;

ii. A certification by tpSEF that: (a) the Contract complies with the Commodity 

Exchange Act, as amended, and the Commission regulations thereunder; and 

(b) concurrent with this submission, tpSEF posted on its website: (i) a notice of 

pending certification of the Contract, and (ii) a copy of this submission, attached 

as Exhibit A;

iii. The terms and conditions of the Contract, attached as Exhibit B; and

iv. An explanation and analysis of the Contract’s compliance with applicable core 

principles and Commission regulations, attached as Exhibit C.

tpSEF is listing the Contract by virtue of updating the terms and conditions of Equity Index 

Swaps originally submitted to the Commission for self-certification pursuant to Commission 
Mr. Christopher J. Kirkpatrick

July 11, 2023

Page 2

Regulation 40.2 on October 8, 2013 and last updated May 26, 2023. A copy of the terms and 

conditions marked to show changes from the version submitted on May 24, 2023 is attached as 

Exhibit D.

Questions regarding this submission should be directed to Brian Donnelly, Chief Compliance 

Officer, at (201) 984-6956 or by email at bddonnelly@tullettprebon.com.

Very truly yours,

tpSEF Inc.

By: __________________________

Name: Brian D. Donnelly

Title: Chief Compliance Officer

Date: July 11, 2023

Enclosures

cc: CFTC Division of Market Oversight (dmosubmissions@cftc.gov)

Nancy Markowitz, CFTC (nmarkowitz@cftc.gov) 
Mr. Christopher J. Kirkpatrick

July 11, 2023

Page 3

EXHIBIT A

CERTIFICATIONS PURSUANT TO SECTION 5c OF THE COMMODITY EXCHANGE 

ACT, 7 U.S.C. §7A-2 AND COMMODITY FUTURES TRADING COMMISSION 

REGULATION 40.2, 17 C.F.R. §40.2

tpSEF Inc. (“tpSEF”) hereby certifies that: (i) Equity Index Swaps -- S&P/TSX Capped Energy 

Index (the “Contract”) complies with the Commodity Exchange Act, 7 U.S.C. §1 et seq. and 

Commodity Futures Trading Commission (“Commission”) regulations thereunder; and (ii) 

concurrent with this submission, tpSEF posted on its website: (a) a notice of pending certification 

of the Contract with the Commission and (b) a copy of this submission.

tpSEF Inc.

By: __________________________

Name: Brian D. Donnelly

Title: Chief Compliance Officer

Date: July 11, 2023
Mr. Christopher J. Kirkpatrick

July 11, 2023

Page 4

EXHIBIT B

Terms and Conditions

Summary: This covers equity index swaps (each, an “Equity Index 

Swap”).

Limitations on Available Selections and Default 

Settings:

The terms under which an Equity Index Swap may be 

traded are shown below or in the attached tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

For Business Days, the defaults shall be the locations 

specified for the relevant currency, any additional 

locations specified for the relevant Floating Rate 

Options.

The parties may add additional locations from the 

Available Locations and may eliminate some or all of the 

other locations, so long as there is at least one location in 

which payment may be made.

For these purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on which 

the parties will transact. These are shown as “Default ” 

and will apply unless the parties vary them.

It should be noted that these contracts can be traded in a 

variety of currencies. Since each national market has its 

own peculiarities, the “Available Terms” and/or “Default 

Terms” may vary by currency.

In some cases, the same contract might have different 

terms depending on the market in which it is traded (e.g., 

London versus NY). In that case the default settings may 

vary by market.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions

(b) 2002 ISDA Equity Derivatives Definitions (“Equity 

Definitions”)

(c) Annex IS to 2009 Americas Master Equity 

Derivatives Confirmation, to 2007 European Master

Equity Derivatives Confirmation Agreement (for EMEA 

indices, as indicated on the Equity Index Available 

Indices attached) or to Second Revised 2005 AEJ 

Interdealer Master Equity Derivatives Confirmation 

Agreement (for AEJ indices, as indicated on the Equity 

Index Available Indices attached)
Mr. Christopher J. Kirkpatrick

July 11, 2023

Page 5

(d) the Revised ISDA AEJ Reference Price Source 

Matrix (June 25, 2009, or as updated effective prior to 

the Trade Date) (“AEJ Source”)

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Equity

ISDA OTC Base Product: Swap

ISDA OTC Sub-Product: Price Return Basic Performance

ISDA OTC Transaction type: Single Index

Further Limitations: None

Terms:

Trade Date: As agreed by the parties.

Strike Date: For a Forward Starting Transaction, as agreed by the 

parties (only for EMEA Indices).

Forward Starting: As per Annex IS (only for EMEA Indices).

Notional Amount (“notional”): An amount in one of the Available Currencies (see 

below) agreed by the parties.

Effective Date (“effectiveDate”): (i) The date specified by the parties, adjusted in 

accordance with any applicable Business Day 

Convention, or (ii) in the case of AEJ Indices, per Annex 

IS.

Effective Date Business Days: As specified by the parties from among the Available 

Business Days (except for AEJ Indices).

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions (except for AEJ Indices).

Termination Date (“terminationDate”): Per Annex IS, unless otherwise specified by the parties.

Index: As specified by the parties from among the Available 

Indices.

Number of Index Units: As specified by the parties or, if not so specified, 

determined by Annex IS (except for AEJ Indices).

Index Unit: Per Annex IS (except for AEJ Indices and EMEA 

Indices).

Exchange(s): (i) Per Annex IS, unless otherwise specified by the 

parties, or (ii) in the case of AEJ Indices, as specified by 

the parties.

Multiple Exchange Index Annex/Component Security 

Index Annex:

Per Annex IS (EMEA Indices only).

Related Exchanges: (i) Per Annex IS, unless otherwise specified by the 

parties, or (ii) in the case of AEJ Indices, as specified by 

the parties.

Hedging Party: (i) As specified by the parties, or (ii) in the case of AEJ 

Indices, per Annex IS.

Determining Party: (i) As specified by the parties, or (ii) in the case of AEJ 

Indices, per Annex IS.

Equity Amounts:

Equity Amount Payer (“payerPartyReference”): As specified by the parties.

Equity Notional Amount: As specified by the parties.

Equity Notional Reset: As per Annex IS.

Type of Return: (i) As specified by the parties, or (ii) in the case of AEJ 

Indices, per Annex IS unless specified by the parties.

Initial Price Election: As specified by the parties (in the case of an EMEA 

Index only).
Mr. Christopher J. Kirkpatrick

July 11, 2023

Page 6

Initial Price: As specified by the parties and (other than in the case of 

AEJ Indices) adjusted in accordance with Annex IS.

Final Price Election: As specified by the parties (in the case of an EMEA 

Index only).

Final Price: (i) As per Annex IS, or (ii) in the case of AEJ Indices, as 

specified by the parties or, if not so specified, per the 

Equity Definitions.

Valuation Time: (i) As per Annex IS, or (ii) in the case of AEJ Indices, as 

specified by the parties or, if not so specified, per the 

Equity Definitions.

Valuation Dates: As specified by the parties.

Averaging Dates: In the case of AEJ Indices, as and if specified by the 

parties.

Floating Amount:

Floating Rate Payer (“payerPartyReference”): As specified by the parties.

Notional Amount (“notionalAmount”): (i) As per Annex IS, or (ii) in the case of AEJ Indices, as 

specified by the parties or, if not so specified, per the 

Equity Definitions.

Payment Dates: As per Annex IS, unless otherwise specified by the 

parties.

Initial Floating Rate: As specified by the parties.

Floating Rate Option (“floatingRateIndex”): As specified by the parties.

Designated Maturity (“indexTenor”): As specified by the parties.

Linear Interpolation: For the Calculation Periods specified by the parties to the 

extent permitted by Annex IS.

Shorter Designated Maturity for Linear Interpolation: For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties.

Longer Designated Maturity for Linear Interpolation: For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties.

Spread: As specified by the parties.

Day Count Fraction: As specified by the parties.

Reset Dates (“resetDate”): As per Annex IS.

Payment Dates Business Days: As per Annex IS.

Business Days (Other Than Payment Dates): As specified by the parties.

Business Day Convention (Other Than Payment Dates): As per Annex IS, unless otherwise specified by the 

parties.

Compounding: As specified by the parties (EMEA Indices only).

Compounding Dates: As specified by the parties if Compounding is applicable 

(EMEA Indices only).

Futures Price Valuation:

Futures Price Valuation: (i) As per Annex IS, unless otherwise specified by the 

parties, or (ii) in the case of AEJ Indices, as specified by 

the parties or, if not so specified, per the Equity 

Definitions.

Exchange-traded Contract: As specified in the Transaction Supplement.

Adjustment to Section 6.8 of the Equity Definitions: As per Annex IS (other than in the case of AEJ Indices).

Settlement Terms:

Cash Settlement: As per Annex IS.

Settlement Currency: (i) As per Annex IS, or (ii) in the case of AEJ Indices, as 

agreed by the parties.

FX Rate: As agreed by the parties or as specified by the parties 

from among the Available FX Rates.

Dividends:
Mr. Christopher J. Kirkpatrick

July 11, 2023

Page 7

Dividend Payment Date(s): If type of return is “Total Return” (i) as per Annex IS 

unless otherwise agreed by the parties, or (ii) in the case 

of AEJ Indices, as agreed by the parties or, absent such 

agreement, per the Equity Definitions.

Dividend Period: If type of return is “Total Return” (i) as per Annex IS, or 

(ii) in the case of AEJ Indices, as agreed by the parties 

or, absent such agreement, per the Equity Definitions.

Dividend Amount: If type of return is “Total Return” (i) as per Annex IS, or 

(ii) in the case of AEJ Indices, as agreed by the parties 

or, absent such agreement, per the Equity Definitions.

Relevant Dividend: If type of return is “Total Return” (i) as per Annex IS, or 

(ii) in the case of AEJ Indices, as agreed by the parties 

or, absent such agreement, per the Equity Definitions.

Reinvestment of Dividends: If type of return is “Total Return” (i) as per Annex IS, or 

(ii) in the case of AEJ Indices, as agreed by the parties.

Dividend Recovery: If type of return is “Total Return” (i) as per Annex IS, or 

(ii) in the case of AEJ Indices, as agreed by the parties 

or, absent such agreement, per the Equity Definitions.

Declared Cash Dividend Percentage: If type of return is “Total Return” (i) as per Annex IS 

unless otherwise agreed by the parties, (ii) in the case of 

AEJ Indices, as and if agreed by the parties, or (iii) in the 

case of EMEA Indices, as agreed by the parties.

Declared Cash Equivalent Dividend Percentage: If type of return is “Total Return” (i) as per Annex IS 

unless otherwise agreed by the parties, or (ii) in the case 

of AEJ Indices, as and if agreed by the parties.

Index Adjustment Events:

Index Cancellation: As per Annex IS.

Index Modification: As per Annex IS.

Index Disruption: As per Annex IS.

Additional Disruption Events:

Change in Law: (i) As agreed by the parties from among the provisions in 

Annex IS, or (ii) in the case of AEJ Indices, as per 

Annex IS unless otherwise agreed by the parties.

Insolvency Filing: (i) As per Annex IS, or (ii) in the case of AEJ Indices, as 

agreed by the parties or, absent such agreement, per the 

Equity Definitions.

Hedging Disruption: (i) As agreed by the parties from among the provisions in 

Annex IS, or (ii) in the case of AEJ Indices, as per 

Annex IS (as applicable to the relevant country of 

underlier) unless otherwise agreed by the parties.

Increased Cost of Hedging: (i) As agreed by the parties from among the provisions in 

Annex IS, or (ii) in the case of AEJ Indices, as agreed by 

the parties or, absent such agreement, per the Equity 

Definition.

Consequences of Hedging Disruption: (i) As agreed by the parties from among the provisions in 

Annex IS, or (ii) in the case of AEJ Indices, as agreed by 

the parties or, absent such agreement, per the Equity 

Definition.

Loss of Stock Borrow: (i) As per Annex IS, unless otherwise specified by the 

parties, or (ii) in the case of AEJ Indices, as agreed by 

the parties or, absent such agreement, per the Equity 

Definition.

Increased Cost of Stock Borrow: (i) As per Annex IS, unless otherwise specified by the 

parties, or (ii) in the case of AEJ Indices, as agreed by 
Mr. Christopher J. Kirkpatrick

July 11, 2023

Page 8

the parties or, absent such agreement, per the Equity 

Definition.

Cancellation Amount: (i) As agreed by the parties from among the provisions in

Annex IS, or (ii) in the case of AEJ Indices, as agreed by 

the parties or, absent such agreement, per the Equity 

Definition.

Non-Reliance: As per Annex IS.

Agreements and Acknowledgements Regarding Hedging 

Activities:

As per Annex IS.

Additional Acknowledgements: As per Annex IS.

Index Disclaimer: As per Annex IS.

Optional Early Termination: (i) As agreed by the parties from among the provisions in 

Annex IS, or (ii) in the case of AEJ Indices, inapplicable.

Break Funding Recovery: If Optional Early Termination is applicable, as specified 

by the parties.

Break Fee: As specified by the parties in the case of EMEA Indices.

Calculation Agent: (i) As agreed by the parties, or (ii) in the case of AEJ 

Indices, per Annex IS unless otherwise agreed by the 

parties.

Equity Index Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

AUD Australian Dollar AUSY

CAD Canadian Dollar CATO

EUR Euro EUTA

GBP Sterling GBLO

HKD Hong Kong Dollar HKHK

JPY Japanese Yen JPTO

KRW Korean Won KRSE

SEK Swedish Krona SEST

USD United States Dollars USNY

Equity Index Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

Equity Index Available Indices

Abbr Name

0000AR S&P/TSX Composite Total Return Index

AEX AEX Index (EMEA)

AMZX Alerian MLP Index Total Return

AMZIXVWAP Alerian MLP Infrastructure Index Total Return VWAP

AS51 S&P/ASX 200 (AEJ)

BEL20 BEL20 Index (EMEA)
Mr. Christopher J. Kirkpatrick

July 11, 2023

Page 9

CAC Cotation Assistée en Continu 40 (EMEA)

DAX Deutscher Aktien Index (EMEA)

DJINETT DJ InternetCompTr

DJITR Dow Jones Industrial Average Total Return

DJUSRE Dow Jones U.S. Real Estate Index

EWTRGSPC REUTERS – REU - S&P EW 500 INDEX

FTSEMIB FTSE MIB Index (EMEA)

GCUDCA MSCI Daily TR Gross Small Cap Canada USD

GCUDUS MSCI Daily Total Return Gross Small Cap USA USD

GDDLCA MSCI Canada Index CAD Total Return (Gross Dividends)

GDDUCA MSCI Canada Index USD Daily Total Return (Gross Dividends)

GDDUEAFE MSCI EAFE Index Total Return (Gross Dividends)

GDDUNA MSCI North American Index USD Total Return (Gross Dividends)

GDDUUS MSCI US Index Total Return (Gross Dividends)

HSCEI Hang Seng China Enterprises Index (AEJ)

HSI Hang Seng Index (AEJ)

IBEX IBEX 35 Index(EMEA)

IBOV BOVESPA Index

IXBTR S&P 500 Material Select Sector Total Return

IXCPR Communication Services Select Sector Index

IXCTR Communication Services Select Sector Index TR

IXETR S&P 500 Energy Select Sector Total Return

IXITR S&P 500 Industrials Select Sector Total Return

IXMTR S&P 500 Financials Select Sector Total Return

IXRTR S&P 500 Consumer Staples Select Sector Total Return

IXTTR S&P 500 Technology Select Sector Total Return

IXUTR S&P 500 Utilities Select Sector Total Return

IXVTR S&P 500 Health Care Select Sector Total Return

IXYTR S&P 500 Consumer Discretionary Select Sector Total Return

KOSPI Korea Composite Stock Price Index (AEJ)

M1CNA MSCI China A Inclusion USD Index (Net)

M8CA0EN MSCI Canada Energy Gross Return Index

M8CA0FN MSCI Canada Financials Gross Return Index

MEXBOL Mexican IPC Index (Indice de Precios y Cotizaciones)

MSLUELAN MSCI Emerging Markets Latin America Small Cap Index (USD) (Net Dividends)

NDDLCA MSCI Canada Index CAD Total Return (Net Dividends)

NDDUEAFE MSCI EAFE Net Total Return USD Index

NDDUNA MSCI North American Index USD Total Return (Net Dividends)

NDDUUS MSCI US Index Total Return (Net Dividends)

NDDUJN MSCI Japan Index Total Return (Net Dividends)

NDEUMXF MSCI Mexico Index USD Total Return (Net Dividends)

NDEUSCH MSCI Chile Index Total Return (Net Dividends)

NDEUSCO MSCI Colombia Index Total Return (Net Dividends)

NDEUSPR MSCI Peru Index Total Return (Net Dividends)

NDUEBRAF MSCI Brazil Index USD Total Return (Net Dividends)

NDUEEGFL MSCI Emerging Markets Latin America USD

NDX NASDAQ-100

NKY Nikkei 225 Index (AEJ)

NQCAPST Capital Strength Total Return Index

NQCAPSTT The Capital Strength Index

NQDVRIST NASDAQ US Rising Dividend Achievers Index TR

NQRSKLT Nasdaq Riskalyze US Large Cap
Mr. Christopher J. Kirkpatrick

July 11, 2023

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NQ96DVUX NASDAQ Technology Dividend TR

OEXT S&P 100 Total Return

OMX OMX Stockholm 30 (EMEA)

RGUSFL Russell 1000 Financial 

RU10GRTR Russell 1000 Growth Total Return

RU10INTR Russell 1000 Total Return

RU10VATR Russell 1000 Value Total Return

RU20GRTR Russell 2000 Growth Total Return

RU20INTR Russell 2000 Total Return

RU20VATR Russell 2000 Value Total Return

RUMCGRTR Russell Midcap Growth Index Total Return

SOLCABTR Solactive Canada Bank TR Index

SP5LVIT S&P 500 Low Volatility Total Return Index

SPDAUDT S&P 500 Dividend Aristocrats Total Return Index

SPSIBITR S&P Biotechnology Select Industry Total Return Index

SPSIOP S&P Oil & Gas Exploration & Production Select Industry Index

SPTRCOND S&P 500 Consumer Discretionary Sector Total Return Index

SPTRCONS S&P 500 Consumer Staples Sector Total Return Index

SPTRENRS S&P 500 Energy Sector Total Return Index

SPTRFINL S&P 500 Financials Sector Total Return Index

SPTRHLTH S&P 500 Health Care Sector Total Return Index

SPTRINDU S&P 500 Industrials Sector Total Return Index

SPTRINFT S&P 500 Information Technology Sector Total Return Index

SPTRMATR S&P 500 Materials Sector Total Return Index

SPTRMDCP S&P MidCap 400 Total Return

SPTRRLST S&P 500 Real Estate Sector Total Return Index

SPTRSMCP S&P SmallCap 600 Total Return

SPTRSVX S&P 500 Value Total Return Index

SPTRTELS S&P 500 Communication Services Sector Total Return Index 

SPTRUTIL S&P 500 Utilities Sector Total Return Index

SPTSEN S&P/TSX Capped Energy Index

SPXT S&P 500 Total Return

STBANKXR S&P/TSX Composite Banks GICS Level Industry Group Total Return Index

STCHEMR S&P/TSX Composite Index Chemicals GICS Industry Total Return

STDBNKR S&P/TSX Diversified Banks Total Return Index

STELUTXR S&P/TSX Composite Index Electric Utilities GICS Industry Total Return Index

STENRS S&P/TSX Composite Energy Sector GICS Level 1 Index

STENRSR S&P/TSX Composite Energy Index Total Return Swap

STFINLR S&P/TSX Composite Financials GICS Level Sector Total Return Index

STINSUR S&P/TSX Composite Insurance GICS Industry Group Total Return Index

STIOILR S&P/TSX Composite Index Integrated Oil & Gas GICS Sub Industry Total Return

STLIFER S&P/TSX Composite Life & Health Insurance Total Return Index

STMATRR S&P/TSX Composite Materials GICS Level Sector Total Return Index

STOGSTR S&P/TSX Oil & Gas Sector Total Return Index

STOGSTR S&P/TSX Oil & Gas Storage Total Return Index

STOILPR S&P/TSX Composite Oil & Gas Exploration Total Return Index

STMEDAR S&P/TSX Composite Media GICS Industry Group Total Return Index

STMUTIXR S&P/TSX Multiple Utilities & Energy Power Total Return Index

STREITSR S&P/TSX REIT Total Return Index

STTELSR S&P/TSX Composite Telecom Services GICS Level Sector Total Return Index

STTELSXR S&P/TSX Composite Telecom Services GSI Total Return Index

STUTILR S&P/TSX Composite Utilities GICS Level Sector Total Return Index
Mr. Christopher J. Kirkpatrick

July 11, 2023

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SX5E Eurostoxx 50 Index (EMEA)

TSX69 S&P/TSX 60 Index

TX60AR S&P/TSX 60 Total Return Index

TTENAR S&P/TSX Capped Energy Total Return Index

TTUTAR S&P/TSX Capped Utilities Total Return Index

UKX FTSE 100 Index (EMEA)

XNDX NASDAQ-100 Total Return

XSOX PHLX Semiconductor Sector Index Total Return

Equity Index Available FX Rates

Currency Pair Available FX Rates

KRW/USD BB: The rate implied by sourcing the Index on 

Bloomberg via “KOSPI>USD>GO”

ISDA: The rate determined in accordance with the AEJ 

Source

Equity Index Available Day Count Fractions

ISDA Name

1/1

30/360, 360/360, Bond Basis

Actual/360

Actual/365 (Fixed), Act/365 (Fixed), A/365 (Fixed), A/365F

Actual/Actual, Actual/Actual (ISDA), Act/Act, Act/Act (ISDA)

Actual/Actual (ICMA), Act/Act, Act/Act (ICMA)

Equity Index Earliest and Latest Effective and Termination Dates

Currency Earliest Effective 

Date

Latest Effective Date Earliest Termination 

Date

Latest Termination 

Date

N/A N/A N/A N/A N/A

Equity Index Notional Amounts

Currency Minimum Increment Maximum Default

USD 10,000,000 1,000,000 N/A N/A

Equity Index Floating Rate Options and Defaults

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional 

Business Day 

Locations

AUD-AONIA-OIS-COMPOUND All quoted tenors N/A Per ISDA 2006 N

AUD-AONIA-OIS-COMPOUNDSwapMarker All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-AUBBSW All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSW All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSW-Bloomberg All quoted tenors N/A Per ISDA 2006 N
Mr. Christopher J. Kirkpatrick

July 11, 2023

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Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional 

Business Day 

Locations

AUD-BBR-BBSY (BID) All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-ISDC All quoted tenors N/A Per ISDA 2006 N

AUD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

AUD-LIBOR-BBA-Bloomberg All quoted tenors N/A Per ISDA 2006 N

AUD-LIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

AUD-Quarterly Swap Rate-ICAP All quoted tenors N/A Per ISDA 2006 N

AUD-Quarterly Swap Rate-ICAPReference Banks All quoted tenors N/A Per ISDA 2006 N

AUD-Semi-annual Swap RateICAP All quoted tenors N/A Per ISDA 2006 N

AUD-Semi-Annual Swap RateICAP-Reference Banks All quoted tenors N/A Per ISDA 2006 N

AUD-Swap Rate-Reuters All quoted tenors N/A Per ISDA 2006 N

CAD-BA-CDOR All quoted tenors N/A Per ISDA 2006 N

CAD-BA-CDOR-Bloomberg All quoted tenors N/A Per ISDA 2006 N

CAD-BA-ISDD All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Reference Banks All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Reuters All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Telerate All quoted tenors N/A Per ISDA 2006 N

CAD-CORRA-OIS-COMPOUND All quoted tenors N/A Per ISDA 2006 N

CAD-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

CAD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

CAD-LIBOR-BBA-Bloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

CAD-LIBOR-BBA-SwapMarker All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

CAD-LIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

CAD-REPO-CORRA All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-ISDD All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-Reference Banks All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-Reuters All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-Telerate All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-10:00-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-10:00-

ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-10:00-

SwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N
Mr. Christopher J. Kirkpatrick

July 11, 2023

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Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional 

Business Day 

Locations

EUR-Annual Swap Rate-11:00-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-11:00-

ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-11:00-

SwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-3 Month All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-3 MonthSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap RateReference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-AVERAGE All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS-10:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS-10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS-COMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS-COMPOUNDBloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-Swap-Index All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBOR-Act/365 All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBOR-Act/365-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBOR-Reuters All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBOR-Telerate All quoted tenors N/A Per ISDA 2006 N

EUR-EURONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-EURIBOR Swap 

Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-EURIBOR Swap 

Rate-12:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR Swap Rate10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR Swap Rate11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBA-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TAM-CDC All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNO-SwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-Reference Banks All quoted tenors N/A Per ISDA 2006 N
Mr. Christopher J. Kirkpatrick

July 11, 2023

Page 14

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional 

Business Day 

Locations

EUR-TEC5-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNO-SwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TMM-CDC-COMPOUND All quoted tenors N/A Per ISDA 2006 N

GBP USD-Basis Swaps-11:00-

ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBA-Bloomberg All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual Swap Rate All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual Swap Rate11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual Swap RateReference Banks All quoted tenors N/A Per ISDA 2006 N

GBP-SONIA-OIS-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-WMBA-RONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N

GBP-WMBA-SONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N

GRD-ATHIBOR-ATHIBOR All quoted tenors N/A Per ISDA 2006 N

GRD-ATHIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

GRD-ATHIBOR-Telerate All quoted tenors N/A Per ISDA 2006 N

GRD-ATHIMID-Reference Banks All quoted tenors N/A Per ISDA 2006 N

GRD-ATHIMID-Reuters All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-HIBOR-Bloomberg All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-HIBOR= All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-HKAB All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-HKAB-Bloomberg All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-ISDC All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

HKD-HONIX-OIS-COMPOUND All quoted tenors N/A Per ISDA 2006 N

HKD-ISDA-Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

HKD-ISDA-Swap Rate-4:00 All quoted tenors N/A Per ISDA 2006 N

HKD-Quarterly-Annual Swap 

Rate-11:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N

HKD-Quarterly-Annual Swap 

Rate-4:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N

HKD-Quarterly-Annual Swap 

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N
Mr. Christopher J. Kirkpatrick

July 11, 2023

Page 15

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional 

Business Day 

Locations

JPY-BBSF-Bloomberg-10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-BBSF-Bloomberg-15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-ISDA-Swap Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-ISDA-Swap Rate-15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

JPY-LIBOR-BBA-Bloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

JPY-LIBOR-FRASETT All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

JPY-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

JPY-LIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

JPY-MUTANCALL-TONAR All quoted tenors N/A Per ISDA 2006 N

JPY-OIS-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-17096 All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-17097 All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (10 Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (5 Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (All Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (All Banks)-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-ZTIBOR All quoted tenors N/A Per ISDA 2006 N

JPY-TONA-OIS-COMPOUND All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reuters-10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reuters-15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Telerate-10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Telerate-15:00 All quoted tenors N/A Per ISDA 2006 N

KRW-CD-3220 All quoted tenors N/A Per ISDA 2006 N

KRW-CD-KSDA-Bloomberg All quoted tenors N/A Per ISDA 2006 N

KRW-Quarterly Annual Swap 

Rate-3:30-ICAP 3M N/A Per ISDA 2006 N

KRW-Bond-3222 3M N/A Per ISDA 2006 N

SEK-Annual Swap Rate All quoted tenors N/A Per ISDA 2006 N

SEK-Annual Swap Rate-SESWFI All quoted tenors N/A Per ISDA 2006 N

SEK-SIOR-OIS-COMPOUND All quoted tenors N/A Per ISDA 2006 N

SEK-STIBOR-Bloomberg All quoted tenors N/A Per ISDA 2006 N
Mr. Christopher J. Kirkpatrick

July 11, 2023

Page 16

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional 

Business Day 

Locations

SEK-STIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

SEK-STIBOR-SIDE All quoted tenors N/A Per ISDA 2006 N

SEK-Annual Swap Rate All quoted tenors N/A Per ISDA 2006 N

USD-Annual Swap Rate-11:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-BA-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-BA-Reference Dealers All quoted tenors N/A Per ISDA 2006 N

USD-BMA Municipal Swap Index All quoted tenors N/A Per ISDA 2006 N

USD-CD-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CD-Reference Dealers All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference Banks All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference BanksICAP SwapPX All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7051 All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7052 All quoted tenors N/A Per ISDA 2006 N

USD-COF11-FHLBSF All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CP-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CP-Reference Dealers All quoted tenors N/A Per ISDA 2006 N

USD-Federal Funds-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-Federal Funds-H.15-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-Federal Funds-H.15-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

USD-Federal Funds-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-FFCB-DISCO All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap Rate-3:00 All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-Swap Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-Swap Rate-3:00 All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBA-Bloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

USD-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

USD-LIBOR-LIBO All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)
Mr. Christopher J. Kirkpatrick

July 11, 2023

Page 17

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional 

Business Day 

Locations

USD-LIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

USD-OIS-11:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-LON-ICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-NY-ICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-NY-ICAP All quoted tenors N/A Per ISDA 2006 N

USD-Prime-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-Prime-Reference Banks All quoted tenors N/A Per ISDA 2006 N

USD-S&P Index-High Grade All quoted tenors N/A Per ISDA 2006 N

USD-SIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

USD-SIBOR-SIBO All quoted tenors N/A Per ISDA 2006 N

USD-SOFR-Compound N/A N/A N/A N

USD-SIFMA Municipal Swap 

Index All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-H.15-Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-Secondary Market All quoted tenors N/A Per ISDA 2006 N

USD-TIBOR-ISDC All quoted tenors N/A Per ISDA 2006 N

USD-TIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

USD-Treasury Rate-ICAP 

BrokerTec All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker100 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker99 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury Rate-T19901 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury Rate-T500 All quoted tenors N/A Per ISDA 2006 N

Equity Index Requirements and Defaults

Date Requirement Default

Effective Date Business Day 

Convention

No Adjustment

Designated Maturities for Linear 

Interpolation

Tenors quoted next shorter and 

longer than the actual Calculation 

Period length
Mr. Christopher J. Kirkpatrick

July 11, 2023

Page 18

EXHIBIT C

EXPLANATION AND ANALYSIS OF THE CONTRACTS’ COMPLIANCE WITH 

APPLICABLE CORE PRINCIPLES AND COMMISSION REGULATIONS

As required by Commodity Futures Trading Commission (“Commission”) Regulation 40.2(a), the 

following analysis, in narrative form, demonstrates that Equity Index Swaps (the “Contracts”) are 

consistent with the requirements of the Commodity Exchange Act, as amended (the “Act”), and the 

Commission regulations and guidance thereunder (in particular, Appendix B to Part 37 and Appendix C 

to Part 38).

Appendix B to Part 37

CORE PRINCIPLE 3 OF SECTION 5H OF THE ACT—SWAPS NOT READILY SUSCEPTIBLE TO 

MANIPULATION; CORE PRINCIPLE 4 OF SECTION 5H OF THE ACT—MONITORING OF TRADING AND 

TRADE PROCESSING 

The swap execution facility shall permit trading only in swaps that are not readily susceptible to 

manipulation.

(a) Guidance. 

(1) In general, a swap contract is an agreement to exchange a series of cash flows over a period of 

time based on some reference price, which could be a single price, such as an absolute level or a 

differential, or a price index calculated based on multiple observations. Moreover, such a reference 

price may be reported by the swap execution facility itself or by an independent third party. When 

listing a swap for trading, a swap execution facility shall ensure a swap’s compliance with Core 

Principle 3, paying special attention to the reference price used to determine the cash flow 

exchanges. Specifically, Core Principle 3 requires that the reference price used by a swap not be 

readily susceptible to manipulation. As a result, when identifying a reference price, a swap 

execution facility should either: Calculate its own reference price using suitable and wellestablished acceptable methods or carefully select a reliable third-party index.

(2) The importance of the reference price’s suitability for a given swap is similar to that of the final 

settlement price for a cash-settled futures contract. If the final settlement price is manipulated, then 

the futures contract does not serve its intended price discovery and risk management functions. 

Similarly, inappropriate reference prices cause the cash flows between the buyer and seller to differ 

from the proper amounts, thus benefitting one party and disadvantaging the other. Thus, careful 

consideration should be given to the potential for manipulation or distortion of the reference price.

The reference price for the equity leg of the Contracts is the level of the relevant index. The indices are 

broad-based and are maintained by third parties. The stock underlying the indices are numerous and are 

broadly traded and liquid. In addition, the indices may have futures and exchange traded fund instruments 

tied to them which make the market for the index itself deep and liquid.

The reference for the dividend leg of the Contracts is the dividends paid on the shares comprised in the 

index. These dividend payments are the result of decisions made, on a firm-by-firm basis, by the boards 

of directors of the issuers of the component shares.
Mr. Christopher J. Kirkpatrick

July 11, 2023

Page 19

The reference rate for the floating rate of the Contracts is one of several widely used benchmarks such as 

USD-LIBOR-BBA-CDOR. These rates are administered and calculated by third-party providers using 

specific guidelines. Many of these providers are regulated in their home jurisdictions.

The Contracts are not susceptible to manipulation for a number of reasons. First, the stocks underlying the 

indices are numerous and are broadly traded and liquid, and the indices may have futures and exchange 

traded fund instruments tied to them which make the market for the index itself deep and liquid. Second, 

tpSEF has established rules and an enforcement infrastructure to prevent manipulation. tpSEF staff 

conduct real-time market surveillance and the National Futures Association (“NFA”) provides regulatory 

services on a T+1 basis. NFA’s services include comprehensive trade practice and market surveillance 

services (the scope of which can be found in the Regulatory Services Agreement between NFA and tpSEF 

submitted to the Commission as part of tpSEF’s swap execution facility application) (note that this also

demonstrates compliance with Core Principle 4).

(3) For swaps that are settled by physical delivery or by cash settlement refer to the guidance in 

Appendix C to Part 38 of this chapter—Demonstration of Compliance that a Contract is not 

Readily Susceptible to Manipulation, section b(2) and section c(4), respectively. 

Please see below.

Appendix C to Part 38 - Demonstration of Compliance That a Contract Is Not Readily Susceptible 

to Manipulation 

(c) Futures Contracts Settled by Cash Settlement. (1) Cash settlement is a method of settling certain 

futures or option contracts whereby, at contract expiration, the contract is settled by cash payment 

in lieu of physical delivery of the commodity or instrument underlying the contract. An acceptable 

specification of the cash settlement price for commodity futures and option contracts would include 

rules that fully describe the essential economic characteristics of the underlying commodity (e.g., 

grade, quality, weight, class, growth, issuer, maturity, source, rating, description of the underlying 

index and index's calculation methodology, etc.), as well as how the final settlement price is 

calculated. In addition, the rules should clearly specify the trading months and hours of trading, the 

last trading day, contract size, minimum price change (tick size) and any limitations on price 

movements (e.g., price limits or trading halts). 

Essential Economic Characteristics of the Contract Terms

The terms and conditions of the Contracts match the terms of equity index swaps that are commonly 

offered in the market and are listed in Exhibit B.

Calculation of Cash Settlement Price

The cash settlement price will be calculated in the following manner: 

The equity amount payer will pay (i) any appreciation in the level of the index (expressed as a percentage) 

times the notional amount plus (ii) the dividends paid on the shares in the index. (Note that the dividend 

leg is not uniformly used, but is discussed in this submission for completeness.)

The equity amount receiver will pay (i) any depreciation in the level of the index (expressed as a 

percentage) times the notional amount plus (ii) the product of a fixed or floating rate and spread times the 

notional amount times the day count fraction.
Mr. Christopher J. Kirkpatrick

July 11, 2023

Page 20

(2) Cash settled contracts may be susceptible to manipulation or price distortion. In evaluating the 

susceptibility of a cash-settled contract to manipulation, a designated contract market should 

consider the size and liquidity of the cash market that underlies the listed contract in a manner that 

follows the determination of deliverable supply as noted above in (b)(1). In particular, situations 

susceptible to manipulation include those in which the volume of cash market transactions and/or 

the number of participants contacted in determining the cash-settlement price are very low. Cashsettled contracts may create an incentive to manipulate or artificially influence the data from which 

the cash-settlement price is derived or to exert undue influence on the cash-settlement price's 

computation in order to profit on a futures position in that commodity. The utility of a cash-settled 

contract for risk management and price discovery would be significantly impaired if the cash 

settlement price is not a reliable or robust indicator of the value of the underlying commodity or 

instrument. Accordingly, careful consideration should be given to the potential for manipulation or 

distortion of the cash settlement price, as well as the reliability of that price as an indicator of cash 

market values. Appropriate consideration also should be given to the commercial acceptability, 

public availability, and timeliness of the price series that is used to calculate the cash settlement 

price. Documentation demonstrating that the settlement price index is a reliable indicator of 

market values and conditions and is commonly used as a reference index by industry/market agents 

should be provided. Such documentation may take on various forms, including carefully 

documented interview results with knowledgeable agents.

The Contracts operate in a very liquid market with numerous participants. Also, the cash settlement price 

is not easily susceptible to manipulation or distortion since, as to the index-based component, the 

composition of the index is announced by the index sponsor, as to the dividend leg, the dividends paid are 

announced by the issuer, and, in the case of the fixed or floating rate leg, the method of determining the 

price is based on factors that are fixed at the start of a Contract (i.e., payment frequency, day count 

conventions, fixed interest rate, floating reset dates) and the applicable reference rate. Each of the 

available underlying indices, dividend payments and reference rates is widely accepted by market 

participants and data is readily accessible through numerous news outlets.

(3) Where an independent, private-sector third party calculates the cash settlement price series, a 

designated contract market should consider the need for a licensing agreement that will ensure the 

designated contract market's rights to the use of the price series to settle the listed contract. 

(i) Where an independent, private-sector third party calculates the cash settlement price series, the 

designated contract market should verify that the third party utilizes business practices that 

minimize the opportunity or incentive to manipulate the cash-settlement price series. Such 

safeguards may include lock-downs, prohibitions against derivatives trading by employees, or 

public dissemination of the names of sources and the price quotes they provide. Because a cashsettled contract may create an incentive to manipulate or artificially influence the underlying 

market from which the cash-settlement price is derived or to exert undue influence on the cashsettlement computation in order to profit on a futures position in that commodity, a designated 

contract market should, whenever practicable, enter into an information-sharing agreement with 

the third-party provider which would enable the designated contract market to better detect and 

prevent manipulative behavior.

As described above, the cash settlement price is calculated through a cash settlement method that

is not easily susceptible to manipulation.

(ii) Where a designated contract market itself generates the cash settlement price series, the 
Mr. Christopher J. Kirkpatrick

July 11, 2023

Page 21

designated contract market should establish calculation procedures that safeguard against potential 

attempts to artificially influence the price. For example, if the cash settlement price is derived by 

the designated contract market based on a survey of cash market sources, the designated contract 

market should maintain a list of such entities which all should be reputable sources with knowledge 

of the cash market. In addition, the sample of sources polled should be representative of the cash 

market, and the poll should be conducted at a time when trading in the cash market is active.

Please see above.

(iii) The cash-settlement calculation should involve computational procedures that eliminate or 

reduce the impact of potentially unrepresentative data. 

(iv) The cash settlement price should be an accurate and reliable indicator of prices in the 

underlying cash market. The cash settlement price also should be acceptable to commercial users of 

the commodity contract. The registered entity should fully document that the settlement price is 

accurate, reliable, highly regarded by industry/market agents, and fully reflects the economic and 

commercial conditions of the relevant designated contract market.

Please see above.

(v) To the extent possible, the cash settlement price should be based on cash price series that are 

publicly available and available on a timely basis for purposes of calculating the cash settlement 

price at the expiration of a commodity contract. A designated contract market should make the 

final cash settlement price and any other supporting information that is appropriate for release to 

the public, available to the public when cash settlement is accomplished by the derivatives clearing 

organization. If the cash settlement price is based on cash prices that are obtained from non-public 

sources (e.g., cash market surveys conducted by the designated contract market or by third parties 

on behalf of the designated contract market), a designated contract market should make available 

to the public as soon as possible after a contract month's expiration the final cash settlement price 

as well as any other supporting information that is appropriate or feasible to make available to the 

public.

The various index levels, dividend payments and reference rates are readily available via a number of 

sources.

(4) Contract terms and conditions requirements for futures contracts settled by cash settlement. 

(i) An acceptable specification of the terms and conditions of a cash-settled commodity contract will 

also set forth the trading months, last trading day, contract size, minimum price change (tick size) 

and daily price limits, if any.

Please see Exhibit B for the Contracts’ terms and conditions.

(A) Commodity Characteristics: The terms and conditions of a commodity contract should describe 

the commodity underlying the contract. 

The available underlying indices are included in the terms and conditions set forth in Exhibit B. These are 

well-established, publicly available third-party equity index market benchmarks and are the timeliest, 

recognized and reliable benchmarks for equity prices in their respective markets. The index levels are 

readily available and commercially acceptable as benchmarks for investors, portfolio managers and public 
Mr. Christopher J. Kirkpatrick

July 11, 2023

Page 22

policy makers. 

(B) Contract Size and Trading Unit: An acceptable specification of the trading unit would be a 

contract size that is consistent with customary transactions in the cash market. A designated 

contract market may opt to set the contract size smaller than that of standard cash market 

transactions. 

The size of each Contract is consistent with customary transaction sizes in the market.

(C) Cash Settlement Procedure: The cash settlement price should be reliable, acceptable, publicly 

available, and reported in a timely manner as described in paragraphs (c)(3)(iv) and (c)(3)(v) of this 

appendix C. 

The cash settlement procedure and an explanation of how, in the context of these Contracts, it is not 

readily susceptible to manipulation, is described above.

(D) Pricing Basis and Minimum Price Fluctuation (Minimum Tick): The minimum price increment 

(tick) should be set a level that is equal to, or less than, the minimum price increment commonly 

observed in cash market transactions for the underlying commodity. Specifying a futures’ 

minimum tick that is greater than the minimum price increment in the cash market can undermine 

the risk management utility of the futures contract by preventing hedgers from efficiently 

establishing and liquidating futures positions that are used to hedge anticipated cash market 

transactions or cash market positions. 

As agreed between counterparties.

(E) Maximum Price Fluctuation Limits: Designated contract markets may adopt price limits to: (1) 

Reduce or constrain price movements in a trading day that may not be reflective of true market 

conditions but might be caused by traders overreacting to news; (2) Allow additional time for the 

collection of margins in times of large price movements; and (3) Provide a “cooling-off” period for 

futures market participants to respond to bona fide changes in market supply and demand 

fundamentals that would lead to large cash and futures price changes. If price-limit provisions are 

adopted, the limits should be set at levels that are not overly restrictive in relation to price 

movements in the cash market for the commodity underlying the futures contract. For broad-based 

stock index futures contracts, rules should be adopted that coordinate with New York Stock 

Exchange (“NYSE”) declared Circuit Breaker Trading Halts (or other market coordinated Circuit 

Breaker mechanism) and would recommence trading in the futures contract only after trading in 

the majority of the stocks underlying the index has recommenced.

As agreed between counterparties.

(F) Last Trading Day: Specification of the last trading day for expiring contracts should be 

established such that it occurs before publication of the underlying third-party price index or 

determination of the final settlement price. If the designated contract market chooses to allow 

trading to occur through the determination of the final settlement price, then the designated 

contract market should show that futures trading would not distort the final settlement price 

calculation.

The last trading day will be the maturity date of each Contract, which is set by the individual 

counterparties.
Mr. Christopher J. Kirkpatrick

July 11, 2023

Page 23

(G) Trading Months: Trading months should be established based on the risk management needs of 

commercial entities as well as the availability of price and other data needed to calculate the cash 

settlement price in the specified months. Specification of the last trading day should take into 

consideration whether the volume of transactions underlying the cash settlement price would be 

unduly limited by occurrence of holidays or traditional holiday periods in the cash market. 

Moreover, a contract should not be listed past the date for which the designated contract market 

has access to use a proprietary price index for cash settlement. 

Payments are settled in accordance with the payment frequency of the particular Contract, which is a 

flexible term.

(H) Speculative Limits: Specific rules and policies for speculative position limits are set forth in part 

150 and/or part 151, as applicable, of the Commission's regulations.

None required by Parts 150 or 151.

(I) Reportable Levels: Refer to § 15.03 of the Commission's regulations. 

tpSEF will adhere to the applicable reporting levels set forth in § 15.03 of the Commission’s regulations.

(J) Trading Hours: Should be set by the designated contract market to delineate each trading day. 

Each Contract is traded twenty-three hours a day from Sunday to Friday. The Contracts are not traded 

between 5:30 p.m. and 6:30 p.m. Eastern Time.
Mr. Christopher J. Kirkpatrick

July 11, 2023

Page 24

EXHIBIT D

Terms and Conditions

(Marked Against May 24, 2023 Version)

Summary: This covers equity index swaps (each, an “Equity Index 

Swap”).

Limitations on Available Selections and Default 

Settings:

The terms under which an Equity Index Swap may be 

traded are shown below or in the attached tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

For Business Days, the defaults shall be the locations 

specified for the relevant currency, any additional 

locations specified for the relevant Floating Rate 

Options.

The parties may add additional locations from the 

Available Locations and may eliminate some or all of the 

other locations, so long as there is at least one location in 

which payment may be made.

For these purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on which 

the parties will transact. These are shown as “Default ” 

and will apply unless the parties vary them.

It should be noted that these contracts can be traded in a 

variety of currencies. Since each national market has its 

own peculiarities, the “Available Terms” and/or “Default 

Terms” may vary by currency.

In some cases, the same contract might have different 

terms depending on the market in which it is traded (e.g., 

London versus NY). In that case the default settings may 

vary by market.

Incorporated Standards: This contract description incorporates by reference the

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions

(b) 2002 ISDA Equity Derivatives Definitions (“Equity 

Definitions”)

(c) Annex IS to 2009 Americas Master Equity 

Derivatives Confirmation, to 2007 European Master 

Equity Derivatives Confirmation Agreement (for EMEA 

indices, as indicated on the Equity Index Available 

Indices attached) or to Second Revised 2005 AEJ 
Mr. Christopher J. Kirkpatrick

July 11, 2023

Page 25

Interdealer Master Equity Derivatives Confirmation 

Agreement (for AEJ indices, as indicated on the Equity 

Index Available Indices attached)

(d) the Revised ISDA AEJ Reference Price Source 

Matrix (June 25, 2009, or as updated effective prior to 

the Trade Date) (“AEJ Source”)

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Equity

ISDA OTC Base Product: Swap

ISDA OTC Sub-Product: Price Return Basic Performance

ISDA OTC Transaction type: Single Index

Further Limitations: None

Terms:

Trade Date: As agreed by the parties.

Strike Date: For a Forward Starting Transaction, as agreed by the 

parties (only for EMEA Indices).

Forward Starting: As per Annex IS (only for EMEA Indices).

Notional Amount (“notional”): An amount in one of the Available Currencies (see 

below) agreed by the parties.

Effective Date (“effectiveDate”): (i) The date specified by the parties, adjusted in 

accordance with any applicable Business Day 

Convention, or (ii) in the case of AEJ Indices, per Annex 

IS.

Effective Date Business Days: As specified by the parties from among the Available 

Business Days (except for AEJ Indices).

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions (except for AEJ Indices).

Termination Date (“terminationDate”): Per Annex IS, unless otherwise specified by the parties.

Index: As specified by the parties from among the Available 

Indices.

Number of Index Units: As specified by the parties or, if not so specified, 

determined by Annex IS (except for AEJ Indices).

Index Unit: Per Annex IS (except for AEJ Indices and EMEA 

Indices).

Exchange(s): (i) Per Annex IS, unless otherwise specified by the 

parties, or (ii) in the case of AEJ Indices, as specified by 

the parties.

Multiple Exchange Index Annex/Component Security 

Index Annex:

Per Annex IS (EMEA Indices only).

Related Exchanges: (i) Per Annex IS, unless otherwise specified by the 

parties, or (ii) in the case of AEJ Indices, as specified by 

the parties.

Hedging Party: (i) As specified by the parties, or (ii) in the case of AEJ 

Indices, per Annex IS.

Determining Party: (i) As specified by the parties, or (ii) in the case of AEJ 

Indices, per Annex IS.

Equity Amounts:

Equity Amount Payer (“payerPartyReference”): As specified by the parties.

Equity Notional Amount: As specified by the parties.

Equity Notional Reset: As per Annex IS.

Type of Return: (i) As specified by the parties, or (ii) in the case of AEJ 
Mr. Christopher J. Kirkpatrick

July 11, 2023

Page 26

Indices, per Annex IS unless specified by the parties.

Initial Price Election: As specified by the parties (in the case of an EMEA 

Index only).

Initial Price: As specified by the parties and (other than in the case of 

AEJ Indices) adjusted in accordance with Annex IS.

Final Price Election: As specified by the parties (in the case of an EMEA 

Index only).

Final Price: (i) As per Annex IS, or (ii) in the case of AEJ Indices, as 

specified by the parties or, if not so specified, per the 

Equity Definitions.

Valuation Time: (i) As per Annex IS, or (ii) in the case of AEJ Indices, as 

specified by the parties or, if not so specified, per the 

Equity Definitions.

Valuation Dates: As specified by the parties.

Averaging Dates: In the case of AEJ Indices, as and if specified by the 

parties.

Floating Amount:

Floating Rate Payer (“payerPartyReference”): As specified by the parties.

Notional Amount (“notionalAmount”): (i) As per Annex IS, or (ii) in the case of AEJ Indices, as 

specified by the parties or, if not so specified, per the 

Equity Definitions.

Payment Dates: As per Annex IS, unless otherwise specified by the 

parties.

Initial Floating Rate: As specified by the parties.

Floating Rate Option (“floatingRateIndex”): As specified by the parties.

Designated Maturity (“indexTenor”): As specified by the parties.

Linear Interpolation: For the Calculation Periods specified by the parties to the 

extent permitted by Annex IS.

Shorter Designated Maturity for Linear Interpolation: For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties.

Longer Designated Maturity for Linear Interpolation: For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties.

Spread: As specified by the parties.

Day Count Fraction: As specified by the parties.

Reset Dates (“resetDate”): As per Annex IS.

Payment Dates Business Days: As per Annex IS.

Business Days (Other Than Payment Dates): As specified by the parties.

Business Day Convention (Other Than Payment Dates): As per Annex IS, unless otherwise specified by the 

parties.

Compounding: As specified by the parties (EMEA Indices only).

Compounding Dates: As specified by the parties if Compounding is applicable 

(EMEA Indices only).

Futures Price Valuation:

Futures Price Valuation: (i) As per Annex IS, unless otherwise specified by the 

parties, or (ii) in the case of AEJ Indices, as specified by 

the parties or, if not so specified, per the Equity 

Definitions.

Exchange-traded Contract: As specified in the Transaction Supplement.

Adjustment to Section 6.8 of the Equity Definitions: As per Annex IS (other than in the case of AEJ Indices).

Settlement Terms:

Cash Settlement: As per Annex IS.

Settlement Currency: (i) As per Annex IS, or (ii) in the case of AEJ Indices, as 

agreed by the parties.
Mr. Christopher J. Kirkpatrick

July 11, 2023

Page 27

FX Rate: As agreed by the parties or as specified by the parties 

from among the Available FX Rates.

Dividends:

Dividend Payment Date(s): If type of return is “Total Return” (i) as per Annex IS 

unless otherwise agreed by the parties, or (ii) in the case 

of AEJ Indices, as agreed by the parties or, absent such 

agreement, per the Equity Definitions.

Dividend Period: If type of return is “Total Return” (i) as per Annex IS, or 

(ii) in the case of AEJ Indices, as agreed by the parties 

or, absent such agreement, per the Equity Definitions.

Dividend Amount: If type of return is “Total Return” (i) as per Annex IS, or 

(ii) in the case of AEJ Indices, as agreed by the parties 

or, absent such agreement, per the Equity Definitions.

Relevant Dividend: If type of return is “Total Return” (i) as per Annex IS, or 

(ii) in the case of AEJ Indices, as agreed by the parties 

or, absent such agreement, per the Equity Definitions.

Reinvestment of Dividends: If type of return is “Total Return” (i) as per Annex IS, or 

(ii) in the case of AEJ Indices, as agreed by the parties.

Dividend Recovery: If type of return is “Total Return” (i) as per Annex IS, or 

(ii) in the case of AEJ Indices, as agreed by the parties 

or, absent such agreement, per the Equity Definitions.

Declared Cash Dividend Percentage: If type of return is “Total Return” (i) as per Annex IS 

unless otherwise agreed by the parties, (ii) in the case of 

AEJ Indices, as and if agreed by the parties, or (iii) in the 

case of EMEA Indices, as agreed by the parties.

Declared Cash Equivalent Dividend Percentage: If type of return is “Total Return” (i) as per Annex IS 

unless otherwise agreed by the parties, or (ii) in the case 

of AEJ Indices, as and if agreed by the parties.

Index Adjustment Events:

Index Cancellation: As per Annex IS.

Index Modification: As per Annex IS.

Index Disruption: As per Annex IS.

Additional Disruption Events:

Change in Law: (i) As agreed by the parties from among the provisions in 

Annex IS, or (ii) in the case of AEJ Indices, as per 

Annex IS unless otherwise agreed by the parties.

Insolvency Filing: (i) As per Annex IS, or (ii) in the case of AEJ Indices, as 

agreed by the parties or, absent such agreement, per the 

Equity Definitions.

Hedging Disruption: (i) As agreed by the parties from among the provisions in 

Annex IS, or (ii) in the case of AEJ Indices, as per 

Annex IS (as applicable to the relevant country of 

underlier) unless otherwise agreed by the parties.

Increased Cost of Hedging: (i) As agreed by the parties from among the provisions in 

Annex IS, or (ii) in the case of AEJ Indices, as agreed by 

the parties or, absent such agreement, per the Equity 

Definition.

Consequences of Hedging Disruption: (i) As agreed by the parties from among the provisions in 

Annex IS, or (ii) in the case of AEJ Indices, as agreed by 

the parties or, absent such agreement, per the Equity 

Definition.

Loss of Stock Borrow: (i) As per Annex IS, unless otherwise specified by the 

parties, or (ii) in the case of AEJ Indices, as agreed by 

the parties or, absent such agreement, per the Equity 
Mr. Christopher J. Kirkpatrick

July 11, 2023

Page 28

Definition.

Increased Cost of Stock Borrow: (i) As per Annex IS, unless otherwise specified by the 

parties, or (ii) in the case of AEJ Indices, as agreed by 

the parties or, absent such agreement, per the Equity 

Definition.

Cancellation Amount: (i) As agreed by the parties from among the provisions in

Annex IS, or (ii) in the case of AEJ Indices, as agreed by 

the parties or, absent such agreement, per the Equity 

Definition.

Non-Reliance: As per Annex IS.

Agreements and Acknowledgements Regarding Hedging 

Activities:

As per Annex IS.

Additional Acknowledgements: As per Annex IS.

Index Disclaimer: As per Annex IS.

Optional Early Termination: (i) As agreed by the parties from among the provisions in 

Annex IS, or (ii) in the case of AEJ Indices, inapplicable.

Break Funding Recovery: If Optional Early Termination is applicable, as specified 

by the parties.

Break Fee: As specified by the parties in the case of EMEA Indices.

Calculation Agent: (i) As agreed by the parties, or (ii) in the case of AEJ 

Indices, per Annex IS unless otherwise agreed by the 

parties.

Equity Index Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

AUD Australian Dollar AUSY

CAD Canadian Dollar CATO

EUR Euro EUTA

GBP Sterling GBLO

HKD Hong Kong Dollar HKHK

JPY Japanese Yen JPTO

KRW Korean Won KRSE

SEK Swedish Krona SEST

USD United States Dollars USNY

Equity Index Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

Equity Index Available Indices

Abbr Name

0000AR S&P/TSX Composite Total Return Index

AEX AEX Index (EMEA)

AMZX Alerian MLP Index Total Return

AMZIXVWAP Alerian MLP Infrastructure Index Total Return VWAP
Mr. Christopher J. Kirkpatrick

July 11, 2023

Page 29

AS51 S&P/ASX 200 (AEJ)

BEL20 BEL20 Index (EMEA)

CAC Cotation Assistée en Continu 40 (EMEA)

DAX Deutscher Aktien Index (EMEA)

DJINETT DJ InternetCompTr

DJITR Dow Jones Industrial Average Total Return

DJUSRE Dow Jones U.S. Real Estate Index

EWTRGSPC REUTERS – REU - S&P EW 500 INDEX

FTSEMIB FTSE MIB Index (EMEA)

GCUDCA MSCI Daily TR Gross Small Cap Canada USD

GCUDUS MSCI Daily Total Return Gross Small Cap USA USD

GDDLCA MSCI Canada Index CAD Total Return (Gross Dividends)

GDDUCA MSCI Canada Index USD Daily Total Return (Gross Dividends)

GDDUEAFE MSCI EAFE Index Total Return (Gross Dividends)

GDDUNA MSCI North American Index USD Total Return (Gross Dividends)

GDDUUS MSCI US Index Total Return (Gross Dividends)

HSCEI Hang Seng China Enterprises Index (AEJ)

HSI Hang Seng Index (AEJ)

IBEX IBEX 35 Index(EMEA)

IBOV BOVESPA Index

IXBTR S&P 500 Material Select Sector Total Return

IXCPR Communication Services Select Sector Index

IXCTR Communication Services Select Sector Index TR

IXETR S&P 500 Energy Select Sector Total Return

IXITR S&P 500 Industrials Select Sector Total Return

IXMTR S&P 500 Financials Select Sector Total Return

IXRTR S&P 500 Consumer Staples Select Sector Total Return

IXTTR S&P 500 Technology Select Sector Total Return

IXUTR S&P 500 Utilities Select Sector Total Return

IXVTR S&P 500 Health Care Select Sector Total Return

IXYTR S&P 500 Consumer Discretionary Select Sector Total Return

KOSPI Korea Composite Stock Price Index (AEJ)

M1CNA MSCI China A Inclusion USD Index (Net)

M8CA0EN MSCI Canada Energy Gross Return Index

M8CA0FN MSCI Canada Financials Gross Return Index

MEXBOL Mexican IPC Index (Indice de Precios y Cotizaciones)

MSLUELAN MSCI Emerging Markets Latin America Small Cap Index (USD) (Net Dividends)

NDDLCA MSCI Canada Index CAD Total Return (Net Dividends)

NDDUEAFE MSCI EAFE Net Total Return USD Index

NDDUNA MSCI North American Index USD Total Return (Net Dividends)

NDDUUS MSCI US Index Total Return (Net Dividends)

NDDUJN MSCI Japan Index Total Return (Net Dividends)

NDEUMXF MSCI Mexico Index USD Total Return (Net Dividends)

NDEUSCH MSCI Chile Index Total Return (Net Dividends)

NDEUSCO MSCI Colombia Index Total Return (Net Dividends)

NDEUSPR MSCI Peru Index Total Return (Net Dividends)

NDUEBRAF MSCI Brazil Index USD Total Return (Net Dividends)

NDUEEGFL MSCI Emerging Markets Latin America USD

NDX NASDAQ-100

NKY Nikkei 225 Index (AEJ)

NQCAPST Capital Strength Total Return Index

NQCAPSTT The Capital Strength Index
Mr. Christopher J. Kirkpatrick

July 11, 2023

Page 30

NQDVRIST NASDAQ US Rising Dividend Achievers Index TR

NQRSKLT Nasdaq Riskalyze US Large Cap

NQ96DVUX NASDAQ Technology Dividend TR

OEXT S&P 100 Total Return

OMX OMX Stockholm 30 (EMEA)

RGUSFL Russell 1000 Financial 

RU10GRTR Russell 1000 Growth Total Return

RU10INTR Russell 1000 Total Return

RU10VATR Russell 1000 Value Total Return

RU20GRTR Russell 2000 Growth Total Return

RU20INTR Russell 2000 Total Return

RU20VATR Russell 2000 Value Total Return

RUMCGRTR Russell Midcap Growth Index Total Return

SOLCABTR Solactive Canada Bank TR Index

SP5LVIT S&P 500 Low Volatility Total Return Index

SPDAUDT S&P 500 Dividend Aristocrats Total Return Index

SPSIBITR S&P Biotechnology Select Industry Total Return Index

SPSIOP S&P Oil & Gas Exploration & Production Select Industry Index

SPTRCOND S&P 500 Consumer Discretionary Sector Total Return Index

SPTRCONS S&P 500 Consumer Staples Sector Total Return Index

SPTRENRS S&P 500 Energy Sector Total Return Index

SPTRFINL S&P 500 Financials Sector Total Return Index

SPTRHLTH S&P 500 Health Care Sector Total Return Index

SPTRINDU S&P 500 Industrials Sector Total Return Index

SPTRINFT S&P 500 Information Technology Sector Total Return Index

SPTRMATR S&P 500 Materials Sector Total Return Index

SPTRMDCP S&P MidCap 400 Total Return

SPTRRLST S&P 500 Real Estate Sector Total Return Index

SPTRSMCP S&P SmallCap 600 Total Return

SPTRSVX S&P 500 Value Total Return Index

SPTRTELS S&P 500 Communication Services Sector Total Return Index 

SPTRUTIL S&P 500 Utilities Sector Total Return Index

SPTSEN S&P/TSX Capped Energy Index

SPXT S&P 500 Total Return

STBANKXR S&P/TSX Composite Banks GICS Level Industry Group Total Return Index

STCHEMR S&P/TSX Composite Index Chemicals GICS Industry Total Return

STDBNKR S&P/TSX Diversified Banks Total Return Index

STELUTXR S&P/TSX Composite Index Electric Utilities GICS Industry Total Return Index

STENRS S&P/TSX Composite Energy Sector GICS Level 1 Index

STENRSR S&P/TSX Composite Energy Index Total Return Swap

STFINLR S&P/TSX Composite Financials GICS Level Sector Total Return Index

STINSUR S&P/TSX Composite Insurance GICS Industry Group Total Return Index

STIOILR S&P/TSX Composite Index Integrated Oil & Gas GICS Sub Industry Total Return

STLIFER S&P/TSX Composite Life & Health Insurance Total Return Index

STMATRR S&P/TSX Composite Materials GICS Level Sector Total Return Index

STOGSTR S&P/TSX Oil & Gas Sector Total Return Index

STOGSTR S&P/TSX Oil & Gas Storage Total Return Index

STOILPR S&P/TSX Composite Oil & Gas Exploration Total Return Index

STMEDAR S&P/TSX Composite Media GICS Industry Group Total Return Index

STMUTIXR S&P/TSX Multiple Utilities & Energy Power Total Return Index

STREITSR S&P/TSX REIT Total Return Index

STTELSR S&P/TSX Composite Telecom Services GICS Level Sector Total Return Index
Mr. Christopher J. Kirkpatrick

July 11, 2023

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STTELSXR S&P/TSX Composite Telecom Services GSI Total Return Index

STUTILR S&P/TSX Composite Utilities GICS Level Sector Total Return Index

SX5E Eurostoxx 50 Index (EMEA)

TSX69 S&P/TSX 60 Index

TX60AR S&P/TSX 60 Total Return Index

TTENAR S&P/TSX Capped Energy Total Return Index

TTUTAR S&P/TSX Capped Utilities Total Return Index

UKX FTSE 100 Index (EMEA)

XNDX NASDAQ-100 Total Return

XSOX PHLX Semiconductor Sector Index Total Return

Equity Index Available FX Rates

Currency Pair Available FX Rates

KRW/USD BB: The rate implied by sourcing the Index on 

Bloomberg via “KOSPI>USD>GO”

ISDA: The rate determined in accordance with the AEJ 

Source

Equity Index Available Day Count Fractions

ISDA Name

1/1

30/360, 360/360, Bond Basis

Actual/360

Actual/365 (Fixed), Act/365 (Fixed), A/365 (Fixed), A/365F

Actual/Actual, Actual/Actual (ISDA), Act/Act, Act/Act (ISDA)

Actual/Actual (ICMA), Act/Act, Act/Act (ICMA)

Equity Index Earliest and Latest Effective and Termination Dates

Currency Earliest Effective 

Date

Latest Effective Date Earliest Termination 

Date

Latest Termination 

Date

N/A N/A N/A N/A N/A

Equity Index Notional Amounts

Currency Minimum Increment Maximum Default

USD 10,000,000 1,000,000 N/A N/A

Equity Index Floating Rate Options and Defaults

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional 

Business Day 

Locations

AUD-AONIA-OIS-COMPOUND All quoted tenors N/A Per ISDA 2006 N

AUD-AONIA-OIS-COMPOUNDSwapMarker All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-AUBBSW All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSW All quoted tenors N/A Per ISDA 2006 N
Mr. Christopher J. Kirkpatrick

July 11, 2023

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Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional 

Business Day 

Locations

AUD-BBR-BBSW-Bloomberg All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSY (BID) All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-ISDC All quoted tenors N/A Per ISDA 2006 N

AUD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

AUD-LIBOR-BBA-Bloomberg All quoted tenors N/A Per ISDA 2006 N

AUD-LIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

AUD-Quarterly Swap Rate-ICAP All quoted tenors N/A Per ISDA 2006 N

AUD-Quarterly Swap Rate-ICAPReference Banks All quoted tenors N/A Per ISDA 2006 N

AUD-Semi-annual Swap RateICAP All quoted tenors N/A Per ISDA 2006 N

AUD-Semi-Annual Swap RateICAP-Reference Banks All quoted tenors N/A Per ISDA 2006 N

AUD-Swap Rate-Reuters All quoted tenors N/A Per ISDA 2006 N

CAD-BA-CDOR All quoted tenors N/A Per ISDA 2006 N

CAD-BA-CDOR-Bloomberg All quoted tenors N/A Per ISDA 2006 N

CAD-BA-ISDD All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Reference Banks All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Reuters All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Telerate All quoted tenors N/A Per ISDA 2006 N

CAD-CORRA-OIS-COMPOUND All quoted tenors N/A Per ISDA 2006 N

CAD-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

CAD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

CAD-LIBOR-BBA-Bloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

CAD-LIBOR-BBA-SwapMarker All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

CAD-LIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

CAD-REPO-CORRA All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-ISDD All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-Reference Banks All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-Reuters All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-Telerate All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-10:00-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-10:00-

ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-10:00-

SwapMarker All quoted tenors N/A Per ISDA 2006 N
Mr. Christopher J. Kirkpatrick

July 11, 2023

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Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional 

Business Day 

Locations

EUR-Annual Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-11:00-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-11:00-

ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-11:00-

SwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-3 Month All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-3 MonthSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap RateReference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-AVERAGE All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS-10:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS-10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS-COMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS-COMPOUNDBloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-Swap-Index All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBOR-Act/365 All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBOR-Act/365-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBOR-Reuters All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBOR-Telerate All quoted tenors N/A Per ISDA 2006 N

EUR-EURONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-EURIBOR Swap 

Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-EURIBOR Swap 

Rate-12:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR Swap Rate10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR Swap Rate11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBA-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TAM-CDC All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNO-SwapMarker All quoted tenors N/A Per ISDA 2006 N
Mr. Christopher J. Kirkpatrick

July 11, 2023

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Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional 

Business Day 

Locations

EUR-TEC10-Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNO-SwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TMM-CDC-COMPOUND All quoted tenors N/A Per ISDA 2006 N

GBP USD-Basis Swaps-11:00-

ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBA-Bloomberg All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual Swap Rate All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual Swap Rate11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual Swap RateReference Banks All quoted tenors N/A Per ISDA 2006 N

GBP-SONIA-OIS-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-WMBA-RONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N

GBP-WMBA-SONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N

GRD-ATHIBOR-ATHIBOR All quoted tenors N/A Per ISDA 2006 N

GRD-ATHIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

GRD-ATHIBOR-Telerate All quoted tenors N/A Per ISDA 2006 N

GRD-ATHIMID-Reference Banks All quoted tenors N/A Per ISDA 2006 N

GRD-ATHIMID-Reuters All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-HIBOR-Bloomberg All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-HIBOR= All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-HKAB All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-HKAB-Bloomberg All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-ISDC All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

HKD-HONIX-OIS-COMPOUND All quoted tenors N/A Per ISDA 2006 N

HKD-ISDA-Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

HKD-ISDA-Swap Rate-4:00 All quoted tenors N/A Per ISDA 2006 N

HKD-Quarterly-Annual Swap 

Rate-11:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N

HKD-Quarterly-Annual Swap 

Rate-4:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N

HKD-Quarterly-Annual Swap All quoted tenors N/A Per ISDA 2006 N
Mr. Christopher J. Kirkpatrick

July 11, 2023

Page 35

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional 

Business Day 

Locations

Rate-Reference Banks

JPY-BBSF-Bloomberg-10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-BBSF-Bloomberg-15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-ISDA-Swap Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-ISDA-Swap Rate-15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

JPY-LIBOR-BBA-Bloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

JPY-LIBOR-FRASETT All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

JPY-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

JPY-LIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

JPY-MUTANCALL-TONAR All quoted tenors N/A Per ISDA 2006 N

JPY-OIS-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-17096 All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-17097 All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (10 Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (5 Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (All Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (All Banks)-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-ZTIBOR All quoted tenors N/A Per ISDA 2006 N

JPY-TONA-OIS-COMPOUND All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reuters-10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reuters-15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Telerate-10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Telerate-15:00 All quoted tenors N/A Per ISDA 2006 N

KRW-CD-3220 All quoted tenors N/A Per ISDA 2006 N

KRW-CD-KSDA-Bloomberg All quoted tenors N/A Per ISDA 2006 N

KRW-Quarterly Annual Swap 

Rate-3:30-ICAP 3M N/A Per ISDA 2006 N

KRW-Bond-3222 3M N/A Per ISDA 2006 N

SEK-Annual Swap Rate All quoted tenors N/A Per ISDA 2006 N

SEK-Annual Swap Rate-SESWFI All quoted tenors N/A Per ISDA 2006 N

SEK-SIOR-OIS-COMPOUND All quoted tenors N/A Per ISDA 2006 N
Mr. Christopher J. Kirkpatrick

July 11, 2023

Page 36

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional 

Business Day 

Locations

SEK-STIBOR-Bloomberg All quoted tenors N/A Per ISDA 2006 N

SEK-STIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

SEK-STIBOR-SIDE All quoted tenors N/A Per ISDA 2006 N

SEK-Annual Swap Rate All quoted tenors N/A Per ISDA 2006 N

USD-Annual Swap Rate-11:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-BA-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-BA-Reference Dealers All quoted tenors N/A Per ISDA 2006 N

USD-BMA Municipal Swap Index All quoted tenors N/A Per ISDA 2006 N

USD-CD-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CD-Reference Dealers All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference Banks All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference BanksICAP SwapPX All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7051 All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7052 All quoted tenors N/A Per ISDA 2006 N

USD-COF11-FHLBSF All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CP-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CP-Reference Dealers All quoted tenors N/A Per ISDA 2006 N

USD-Federal Funds-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-Federal Funds-H.15-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-Federal Funds-H.15-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

USD-Federal Funds-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-FFCB-DISCO All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap Rate-3:00 All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-Swap Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-Swap Rate-3:00 All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBA-Bloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

USD-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

USD-LIBOR-LIBO All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 
Mr. Christopher J. Kirkpatrick

July 11, 2023

Page 37

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional 

Business Day 

Locations

Both Legs)

USD-LIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

USD-OIS-11:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-LON-ICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-NY-ICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-NY-ICAP All quoted tenors N/A Per ISDA 2006 N

USD-Prime-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-Prime-Reference Banks All quoted tenors N/A Per ISDA 2006 N

USD-S&P Index-High Grade All quoted tenors N/A Per ISDA 2006 N

USD-SIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

USD-SIBOR-SIBO All quoted tenors N/A Per ISDA 2006 N

USD-SOFR-Compound N/A N/A N/A N

USD-SIFMA Municipal Swap 

Index All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-H.15-Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-Secondary Market All quoted tenors N/A Per ISDA 2006 N

USD-TIBOR-ISDC All quoted tenors N/A Per ISDA 2006 N

USD-TIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

USD-Treasury Rate-ICAP 

BrokerTec All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker100 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker99 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury Rate-T19901 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury Rate-T500 All quoted tenors N/A Per ISDA 2006 N

Equity Index Requirements and Defaults

Date Requirement Default

Effective Date Business Day 

Convention

No Adjustment

Designated Maturities for Linear 

Interpolation

Tenors quoted next shorter and 

longer than the actual Calculation 

Period length