SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

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Organization: ______________________________________________________________________ 

Filing as a: DCM SEF DCO SDR Please note - only ONE choice allowed. 

Filing Date (mm/dd/yy): ___________ Filing Description:

SPECIFY FILING TYPE Please note only ONE choice allowed per Submission. 

Organization Rules and Rule Amendments

Certification § 40.6(a)

Approval § 40.5(a)

Notification § 40.6(d)

Advance Notice of SIDCO Rule Change § 40.10(a)

SIDCO Emergency Rule Change § 40.10(h)

 Rule Numbers: ____________________________________________________________________ 

New Product Please note only ONE product per Submission.

Certification § 40.2(a) 

Certification Security Futures § 41.23(a)

Certification Swap Class § 40.2(d)

Approval § 40.3(a)

Approval Security Futures § 41.23(b) 

Novel Derivative Product Notification § 40.12(a)

Swap Submission § 39.5

 Official Product Name: _____________________________________________________________ 

Product Terms and Conditions (product related Rules and Rule Amendments)

Certification § 40.6(a) 

Certification Made Available to Trade Determination § 40.6(a)

Certification Security Futures § 41.24(a)

Delisting (No Open Interest) § 40.6(a) 

Approval § 40.5(a)

Approval Made Available to Trade Determination § 40.5(a)

Approval Security Futures § 41.24(b)

Approval Amendments to enumerated agricultural products § 40.4(a), § 40.5(a)

“Non-Material Agricultural Rule Change” § 40.4(b)(5)

Notification § 40.6(d)

 Official Name(s) of Product(s) Affected: ________________________________________________ 

Rule Numbers: ______________________________________________________________________ 

Equity Index Swaps and Equity Index Variance Swaps 08/29/2014 14-05R ✔

✔

tpSEF Inc.

This filing contains a Weekly Notification of Rule Amendments pursuant to CFTC Regulation 40.6(d) of certain 

non-substantive revisions made to the terms and conditions of Equity Index Swaps and Equity Index Variance Swaps.
August 29, 2014

By Email: submissions@cftc.gov

Secretary of the Commission

Office of the Secretariat

Commodity Futures Trading Commission

Three Lafayette Centre

1155 21st Street, N.W.

Washington, D.C. 20581

Re: tpSEF Inc. – Regulation 40.6(d) Weekly Notification of Rule Amendments (#14-05R)

To Whom It May Concern:

Pursuant to Section 5c(c) of the Commodity Exchange Act and Section 40.6(d) of the regulations 

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

the Commission that it has made non-substantive revisions to the terms and conditions of Equity 

Index Swaps (certified on October 8, 2013, and updated on December 19, 2013, March 25, 2014, 

April 1, 2014, and June 24, 2014) and Equity Index Variance Swaps (certified on 

October 8, 2013, and updated on June 24, 2014) (collectively, the “Contracts”) that have no 

effect on the Contracts’ economic characteristics. The revisions are intended to more completely 

reflect the standard terms used in the market for non-US indices. The Contracts’ amended terms 

and conditions were made effective during the week of August 25, 2014.

Please find the following documents attached:

(i) a clean copy of the Equity Index Swaps’ terms and conditions, as amended, is attached 

as Exhibit A;

(ii) a marked copy of the Equity Index Swaps’ terms and condition to show changes from 

the June 24, 2014 version, is attached as Exhibit B; 

(iii) a clean copy of the Equity Index Variance Swaps terms and conditions, as amended, is 

attached as Exhibit C; and

(iv) a marked copy of the Equity Index Variance Swaps’ terms and condition to show 

changes from the June 24, 2014 version, is attached as Exhibit E.

Secretary of the Commission

August 29, 2014

Page 3

EXHIBIT A

Amended Terms and Conditions for Equity Index Swaps (Clean)

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:
Secretary of the Commission

August 29, 2014

Page 4

(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)

(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 
Secretary of the Commission

August 29, 2014

Page 5

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 
Secretary of the Commission

August 29, 2014

Page 6

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 For a Calculation Period to which Linear 
Secretary of the Commission

August 29, 2014

Page 7

Interpolation: 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.
Secretary of the Commission

August 29, 2014

Page 8

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.
Secretary of the Commission

August 29, 2014

Page 9

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 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.
Secretary of the Commission

August 29, 2014

Page 10

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
Secretary of the Commission

August 29, 2014

Page 11

Equity Index Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention
Secretary of the Commission

August 29, 2014

Page 12

Equity Index Available Indices

Abbr Name

AEX AEX Index (EMEA)

AMZX Alerian MLP Index Total Return

AMZIXVWA

P

Alerian MLP Infrastructure Index Total Return VWAP

AS51 S&P/ASX 200 (AEJ)

BEL20 BEL20 Index (EMEA)

CAC Cotation Assistée en Continu 40 (EMEA)

DAX Deutscher Aktien Index (EMEA)

DJITR Dow Jones Industrial Average Total Return

DJUSRE Dow Jones U.S. Real Estate Index

FTSEMIB FTSE MIB Index (EMEA)

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

KOSPI Korea Composite Stock Price Index (AEJ)

MDCPSPTR S&P MidCap 400 Total Return

MEXBOL Mexican IPC index (Indice de Precios y Cotizaciones)
Secretary of the Commission

August 29, 2014

Page 13

NDDLCA MSCI Canada Index CAD Total Return (Net Dividends)

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

NDDUUS MSCI US Index Total Return (Net Dividends)

NDEUBRAF MSCI Brazil Index USD 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)

NDUEEGFL MSCI Emerging Markets Latin America USD

NDX NASDAQ-100

NKY Nikkei 225 Index (AEJ)

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

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

SMCPSPTR S&P SmallCap 600 Total Return

SPXT S&P 500 Total Return

SX5E Eurostoxx 50 Index (EMEA)

TSX69 S&P/TSX 60 Index
Secretary of the Commission

August 29, 2014

Page 14

UKX FTSE 100 Index (EMEA)

XNDX NASDAQ-100 Total Return
Secretary of the Commission

August 29, 2014

Page 15

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
Secretary of the Commission

August 29, 2014

Page 16

Equity Index Floating Rate Options and Defaults

Floating Rate 

Option Available Tenors Default Tenor Default Day CountFraction

Additional Business 

Day Locations

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

AUD-AONIA-OISCOMPOUNDSwapMarker

All quoted tenors N/A Per ISDA 2006 N

AUD-BBRAUBBSW All quoted tenors N/A Per ISDA 2006 N

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

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

AUD-LIBORReference 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 BanksAll quoted tenors N/A Per ISDA 2006 N

AUD-Semi-annual 

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

AUD-Semi-Annual 

Swap Rate-ICAPAll quoted tenors N/A Per ISDA 2006 N
Secretary of the Commission

August 29, 2014

Page 17

Floating Rate 

Option Available Tenors Default Tenor Default Day CountFraction

Additional Business 

Day Locations

Reference Banks

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

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

CAD-BA-CDORBloomberg 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-OISCOMPOUND 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-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

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

Both Legs)

CAD-LIBORReference 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
Secretary of the Commission

August 29, 2014

Page 18

Floating Rate 

Option Available Tenors Default Tenor Default Day CountFraction

Additional Business 

Day Locations

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

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

CAD-TBILLTelerate 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

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 MonthAll quoted tenors N/A Per ISDA 2006 N
Secretary of the Commission

August 29, 2014

Page 19

Floating Rate 

Option Available Tenors Default Tenor Default Day CountFraction

Additional Business 

Day Locations

SwapMarker

EUR-Annual Swap 

Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

EUR-EONIAAVERAGE All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS10:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

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

EUR-EONIA-OISCOMPOUNDBloomberg

All quoted tenors N/A Per ISDA 2006 N

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

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

EUR-EURIBORAct/365-Bloomberg All quoted tenors N/A Per ISDA 2006 N

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

EUR-EURIBORReuters All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBOR- All quoted tenors N/A Per ISDA 2006 N
Secretary of the Commission

August 29, 2014

Page 20

Floating Rate 

Option Available Tenors Default Tenor Default Day CountFraction

Additional Business 

Day Locations

Telerate

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

EUR-ISDAEURIBOR Swap 

Rate-11:00

All quoted tenors N/A Per ISDA 2006 N

EUR-ISDAEURIBOR Swap 

Rate-12:00

All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR 

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

EUR-ISDA-LIBOR 

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

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

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

EUR-LIBORReference 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-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N

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-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N
Secretary of the Commission

August 29, 2014

Page 21

Floating Rate 

Option Available Tenors Default Tenor Default Day CountFraction

Additional Business 

Day Locations

EUR-TEC5-

Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TMM-CDCCOMPOUND 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-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

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

GBP-LIBORReference 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 Rate-11:00-

ICAP

All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

GBP-SONIA-OIS11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-WMBARONIACOMPOUND

All quoted tenors N/A Per ISDA 2006 N

GBP-WMBASONIAAll quoted tenors N/A Per ISDA 2006 N
Secretary of the Commission

August 29, 2014

Page 22

Floating Rate 

Option Available Tenors Default Tenor Default Day CountFraction

Additional Business 

Day Locations

COMPOUND

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

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

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

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

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

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

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

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

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

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

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

HKD-HONIX-OISCOMPOUND 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
Secretary of the Commission

August 29, 2014

Page 23

Floating Rate 

Option Available Tenors Default Tenor Default Day CountFraction

Additional Business 

Day Locations

HKD-QuarterlyAnnual Swap Rate11:00-BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

HKD-QuarterlyAnnual Swap Rate4:00-BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

HKD-QuarterlyAnnual Swap RateReference Banks

All quoted tenors N/A Per ISDA 2006 N

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

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

Both Legs)

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

Both Legs)

JPY-MUTANCALLTONAR All quoted tenors N/A Per ISDA 2006 N
Secretary of the Commission

August 29, 2014

Page 24

Floating Rate 

Option Available Tenors Default Tenor Default Day CountFraction

Additional Business 

Day Locations

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-TIBMReference Banks All quoted tenors N/A Per ISDA 2006 N

JPY-TIBORZTIBOR All quoted tenors N/A Per ISDA 2006 N

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

JPY-TSR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reuters10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reuters15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Telerate10:00 All quoted tenors N/A Per ISDA 2006 N
Secretary of the Commission

August 29, 2014

Page 25

Floating Rate 

Option Available Tenors Default Tenor Default Day CountFraction

Additional Business 

Day Locations

JPY-TSR-Telerate15:00 All quoted tenors N/A Per ISDA 2006 N

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

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

KRW-Quarterly 

Annual Swap Rate3:30-ICAP3M 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-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

SEK-STIBORBloomberg All quoted tenors N/A Per ISDA 2006 N

SEK-STIBORReference 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 All quoted tenors N/A Per ISDA 2006 N
Secretary of the Commission

August 29, 2014

Page 26

Floating Rate 

Option Available Tenors Default Tenor Default Day CountFraction

Additional Business 

Day Locations

Dealers

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-CMSReference Banks All quoted tenors N/A Per ISDA 2006 N

USD-CMSReference 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 FundsH.15 All quoted tenors N/A Per ISDA 2006 N
Secretary of the Commission

August 29, 2014

Page 27

Floating Rate 

Option Available Tenors Default Tenor Default Day CountFraction

Additional Business 

Day Locations

USD-Federal FundsH.15-Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15-OISCOMPOUND

All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsReference 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-BBABloomberg 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)

USD-LIBORReference 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
Secretary of the Commission

August 29, 2014

Page 28

Floating Rate 

Option Available Tenors Default Tenor Default Day CountFraction

Additional Business 

Day Locations

USD-OIS-11:00-

LON-ICAP All quoted tenors N/A Per ISDA 2006 N

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

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

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

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

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

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

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

USD-TIBORReference Banks All quoted tenors N/A Per ISDA 2006 N
Secretary of the Commission

August 29, 2014

Page 29

Floating Rate 

Option Available Tenors Default Tenor Default Day CountFraction

Additional Business 

Day Locations

USD-Treasury RateICAP 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 RateT19901 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateT500 All quoted tenors N/A Per ISDA 2006 N
Secretary of the Commission

August 29, 2014

Page 30

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
Secretary of the Commission

August 29, 2014

Page 31

EXHIBIT B

Amended Terms and Conditions for Equity Index Swaps (Marked)

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.
Secretary of the Commission

August 29, 2014

Page 32

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)

(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.
Secretary of the Commission

August 29, 2014

Page 33

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.
Secretary of the Commission

August 29, 2014

Page 34

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).

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.
Secretary of the Commission

August 29, 2014

Page 35

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).
Secretary of the Commission

August 29, 2014

Page 36

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:

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.
Secretary of the Commission

August 29, 2014

Page 37

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.
Secretary of the Commission

August 29, 2014

Page 38

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 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.
Secretary of the Commission

August 29, 2014

Page 39

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
Secretary of the Commission

August 29, 2014

Page 40

No Adjustment

Preceding

FRN Convention/Eurodollar Convention
Secretary of the Commission

August 29, 2014

Page 41

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

Equity Index Available Indices

Abbr Name

AEX AEX Index (EMEA)

AMZX Alerian MLP Index Total Return

AMZIXVWA

P

Alerian MLP Infrastructure Index Total Return VWAP

AS51 S&P/ASX 200 (AEJ)

BEL20 BEL20 Index (EMEA)

CAC Cotation Assistée en Continu 40 (EMEA)

DAX Deutscher Aktien Index (EMEA)

DJITR Dow Jones Industrial Average Total Return

DJUSRE Dow Jones U.S. Real Estate Index

FTSEMIB FTSE MIB Index (EMEA)

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)
Secretary of the Commission

August 29, 2014

Page 42

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

KOSPI Korea Composite Stock Price Index (AEJ)

MDCPSPTR S&P MidCap 400 Total Return

MEXBOL Mexican IPC index (Indice de Precios y Cotizaciones)

NDDLCA MSCI Canada Index CAD Total Return (Net Dividends)

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

NDDUUS MSCI US Index Total Return (Net Dividends)

NDEUBRAF MSCI Brazil Index USD 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)

NDUEEGFL MSCI Emerging Markets Latin America USD

NDX NASDAQ-100

NKY Nikkei 225 Index (AEJ)

OEXT S&P 100 Total Return

OMX OMX Stockholm 30 (EMEA)

RGUSFL Russell 1000 Financial 
Secretary of the Commission

August 29, 2014

Page 43

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

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

SMCPSPTR S&P SmallCap 600 Total Return

SPXT S&P 500 Total Return

SX5E Eurostoxx 50 Index (EMEA)

TSX69 S&P/TSX 60 Index

UKX FTSE 100 Index (EMEA)

XNDX NASDAQ-100 Total Return
Secretary of the Commission

August 29, 2014

Page 44

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
Secretary of the Commission

August 29, 2014

Page 45

USD 10,000,000 1,000,000 N/A N/A
Secretary of the Commission

August 29, 2014

Page 46

Equity Index Floating Rate Options and Defaults

Floating Rate 

Option Available Tenors Default Tenor Default Day Count Fraction

Additional Business 

Day Locations

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

AUD-AONIA-OISCOMPOUNDSwapMarker

All quoted tenors N/A Per ISDA 2006 N

AUD-BBRAUBBSW All quoted tenors N/A Per ISDA 2006 N

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

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

AUD-LIBORReference 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 BanksAll quoted tenors N/A Per ISDA 2006 N

AUD-Semi-annual All quoted tenors N/A Per ISDA 2006 N
Secretary of the Commission

August 29, 2014

Page 47

Floating Rate 

Option Available Tenors Default Tenor Default Day Count Fraction

Additional Business 

Day Locations

Swap Rate-ICAP

AUD-Semi-Annual 

Swap Rate-ICAPReference BanksAll quoted tenors N/A Per ISDA 2006 N

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

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

CAD-BA-CDORBloomberg 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-OISCOMPOUND 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-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

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

Both Legs)
Secretary of the Commission

August 29, 2014

Page 48

Floating Rate 

Option Available Tenors Default Tenor Default Day Count Fraction

Additional Business 

Day Locations

CAD-LIBORReference 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-TBILLReference Banks All quoted tenors N/A Per ISDA 2006 N

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

CAD-TBILLTelerate 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

EUR-Annual Swap 

Rate-11:00-

Bloomberg

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap All quoted tenors N/A Per ISDA 2006 N
Secretary of the Commission

August 29, 2014

Page 49

Floating Rate 

Option Available Tenors Default Tenor Default Day Count Fraction

Additional Business 

Day Locations

Rate-11:00-ICAP

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 MonthSwapMarkerAll quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

EUR-EONIAAVERAGE All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS10:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

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

EUR-EONIA-OISCOMPOUNDBloomberg

All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-Swap- All quoted tenors N/A Per ISDA 2006 N
Secretary of the Commission

August 29, 2014

Page 50

Floating Rate 

Option Available Tenors Default Tenor Default Day Count Fraction

Additional Business 

Day Locations

Index

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

EUR-EURIBORAct/365-Bloomberg All quoted tenors N/A Per ISDA 2006 N

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

EUR-EURIBORReuters All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORTelerate All quoted tenors N/A Per ISDA 2006 N

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

EUR-ISDAEURIBOR Swap 

Rate-11:00

All quoted tenors N/A Per ISDA 2006 N

EUR-ISDAEURIBOR Swap 

Rate-12:00

All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR 

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

EUR-ISDA-LIBOR 

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

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

EUR-LIBOR-BBA- All quoted tenors N/A Per ISDA 2006 N
Secretary of the Commission

August 29, 2014

Page 51

Floating Rate 

Option Available Tenors Default Tenor Default Day Count Fraction

Additional Business 

Day Locations

Bloomberg

EUR-LIBORReference 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-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N

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-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-

Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TMM-CDCCOMPOUND 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-BBABloomberg All quoted tenors N/A Per ISDA 2006 N
Secretary of the Commission

August 29, 2014

Page 52

Floating Rate 

Option Available Tenors Default Tenor Default Day Count Fraction

Additional Business 

Day Locations

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

GBP-LIBORReference 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 Rate-11:00-

ICAP

All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

GBP-SONIA-OIS11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-WMBARONIACOMPOUND

All quoted tenors N/A Per ISDA 2006 N

GBP-WMBASONIACOMPOUND

All quoted tenors N/A Per ISDA 2006 N

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

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

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

GRD-ATHIMID- All quoted tenors N/A Per ISDA 2006 N
Secretary of the Commission

August 29, 2014

Page 53

Floating Rate 

Option Available Tenors Default Tenor Default Day Count Fraction

Additional Business 

Day Locations

Reference Banks

GRD-ATHIMIDReuters

All quoted tenors N/A Per ISDA 2006 N

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

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

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

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

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

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

HKD-HONIX-OISCOMPOUND 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-QuarterlyAnnual Swap Rate11:00-BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

HKD-QuarterlyAnnual Swap Rate4:00-BGCANTOR

All quoted tenors N/A Per ISDA 2006 N
Secretary of the Commission

August 29, 2014

Page 54

Floating Rate 

Option Available Tenors Default Tenor Default Day Count Fraction

Additional Business 

Day Locations

HKD-QuarterlyAnnual Swap RateReference Banks

All quoted tenors N/A Per ISDA 2006 N

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

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

Both Legs)

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

Both Legs)

JPY-MUTANCALLTONAR All quoted tenors N/A Per ISDA 2006 N

JPY-OIS-11:00-

ICAP All quoted tenors N/A Per ISDA 2006 N
Secretary of the Commission

August 29, 2014

Page 55

Floating Rate 

Option Available Tenors Default Tenor Default Day Count Fraction

Additional Business 

Day Locations

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-TIBMReference Banks All quoted tenors N/A Per ISDA 2006 N

JPY-TIBORZTIBOR All quoted tenors N/A Per ISDA 2006 N

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

JPY-TSR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reuters10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reuters15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Telerate10:00 All quoted tenors N/A Per ISDA 2006 N
Secretary of the Commission

August 29, 2014

Page 56

Floating Rate 

Option Available Tenors Default Tenor Default Day Count Fraction

Additional Business 

Day Locations

JPY-TSR-Telerate15:00 All quoted tenors N/A Per ISDA 2006 N

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

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

KRW-Quarterly 

Annual Swap Rate3:30-ICAP3M 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-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

SEK-STIBORBloomberg All quoted tenors N/A Per ISDA 2006 N

SEK-STIBORReference 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
Secretary of the Commission

August 29, 2014

Page 57

Floating Rate 

Option Available Tenors Default Tenor Default Day Count Fraction

Additional Business 

Day Locations

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-CMSReference Banks All quoted tenors N/A Per ISDA 2006 N

USD-CMSReference 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
Secretary of the Commission

August 29, 2014

Page 58

Floating Rate 

Option Available Tenors Default Tenor Default Day Count Fraction

Additional Business 

Day Locations

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 FundsH.15 All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15-Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15-OISCOMPOUND

All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsReference 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-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)
Secretary of the Commission

August 29, 2014

Page 59

Floating Rate 

Option Available Tenors Default Tenor Default Day Count Fraction

Additional Business 

Day Locations

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)

USD-LIBORReference 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-NYICAP 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-NYICAP All quoted tenors N/A Per ISDA 2006 N

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

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

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

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

USD-SIBOR-SIBO All quoted tenors N/A Per ISDA 2006 N
Secretary of the Commission

August 29, 2014

Page 60

Floating Rate 

Option Available Tenors Default Tenor Default Day Count Fraction

Additional Business 

Day Locations

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-TBILLSecondary Market All quoted tenors N/A Per ISDA 2006 N

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

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

USD-Treasury RateICAP 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 RateT19901 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateT500 All quoted tenors N/A Per ISDA 2006 N
Secretary of the Commission

August 29, 2014

Page 61

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
Secretary of the Commission

August 29, 2014

Page 62

EXHIBIT C

Amended Terms and Conditions for Equity Index Variance Swaps (Clean)

Summary: This covers equity index variance swaps (each, an 

“Equity Index Variance Swap”).

Limitations on Available Selections and Default 

Settings:

The terms under which an Equity Index Variance 

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:
Secretary of the Commission

August 29, 2014

Page 63

(a) 2006 ISDA Definitions

(b) 2002 ISDA Equity Derivatives Definitions

(c) Annex IVS to 2007 Americas Master Variance 

Swap Confirmation Agreement, to the Revised 

2007 AEJ Master Variance Swap Confirmation 

Agreement for AEJ indices or to the 2007 European 

Variance Swap Master Confirmation Agreement (as 

indicated on the Equity Index Available Indices 

attached)

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: Parameter Return Variance

ISDA OTC Transaction type: Single Index

Further Limitations: None

Terms:

Trade Date: As agreed by the parties.

Effective Date (“effectiveDate”): As per Annex IVS

Termination Date (“terminationDate”): As per Annex IVS

Exchanges: As specified by the parties.

Related Exchanges: As per Annex IVS

Variance Buyer: As specified by the parties (other than for an AEJ 

or EMEA Index).

Variance Seller: As specified by the parties (other than for an AEJ 

or EMEA Index).
Secretary of the Commission

August 29, 2014

Page 64

Equity Amounts:

Equity Amount Payer (“payerPartyReference”): As per Annex IVS

Equity Notional Amount: As specified by the parties (other than for an 

EMEA Index).

Variance Amount: As specified by the parties (for an EMEA Index)

Equity Notional Reset: As per Annex IVS

Type of Return: As per Annex IVS

Initial Price: As per Annex IVS

Final Price: As per Annex IVS

Valuation Time: As per Annex IVS

Observation Start Date: As specified by the parties or otherwise as per 

Annex IVS.

Observation End Date: As per Annex IVS

Observation Day: As per Annex IVS

Non-Disrupted Observation Day: As per Annex IVS

Observation Period: As per Annex IVS

Futures Price Valuation: As specified by the parties or determined in 

accordance with Annex IVS.

Default Exchange-traded Contract: As per Annex IVS

Equity Amount: As per Annex IVS

Variance Strike Price: As specified by the parties and calculated in 

accordance with Annex IVS.

Variance Cap: As specified by the parties, or otherwise as per 

Annex IVS.

Final Realized Volatility: As per Annex IVS

Initial Index Level: As specified by the parties.
Secretary of the Commission

August 29, 2014

Page 65

Closing Index Level: If specified by the parties, and determined per 

Annex IVS.

Expiring Contract Level: If specified by the parties or as determined per 

Annex IVS.

Variance Amount: As specified by the parties.

Volatility Strike Price: As specified by the parties if Variance Strike Price 

is not specified.

Variance Strike Price: As specified by the parties if Volatility Strike Price 

is not specified, or calculated in accordance with 

Annex IVS.

Variance Cap Amount: As specified by the parties or otherwise per Annex 

IVS.

Final Realized Volatility (“FRV”): Per Annex IVS

N: As specified by the parties or otherwise per Annex 

IVS (other than for an AEJ Index).

ExpectedN: As specified by the parties or otherwise per Annex 

IVS (only for an AEJ Index).

Market Disruption Event: As per Annex IVS

Floating Amount:

Floating Amount: As per Annex IVS

Settlement Terms:

Cash Settlement: As per Annex IVS

Settlement Currency: As per Annex IVS

Cash Settlement Payment Date: As per Annex IVS

Index Adjustment Events:

Index Cancellation: As per Annex IVS

Index Modification: As per Annex IVS

Index Disruption: As per Annex IVS
Secretary of the Commission

August 29, 2014

Page 66

IVS Cancellation and Payment: As per Annex IVS

Additional Disruption Events:

Change in Law: As per Annex IVS

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

Calculation Agent: As agreed by the parties.
Secretary of the Commission

August 29, 2014

Page 67

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)

USD United States Dollars USNY

CAD Canadian Dollars CATO

EUR Euro EUTA

GBP Pound Sterling GBLO
Secretary of the Commission

August 29, 2014

Page 68

Equity Index Available Indices

Abbr Name

DAX Deutscher Aktien Index (EMEA)

DJITR Dow Jones Industrial Average Total Return

DJUSRE Dow Jones U.S. Real Estate Index

GDDLCA MSCI Canada Index CAD 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)

IBOV BOVESPA Index

KOSPI Korea Composite Stock Price Index (AEJ)

MDCPSPTR S&P MidCap 400 Total Return

MEXBOL Mexican IPC index (Indice de Precios y Cotizaciones)

NDDLCA MSCI Canada Index CAD Total Return (Net Dividends)

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

NDDUUS MSCI US Index Total Return (Net Dividends)

NDEUBRAF MSCI Brazil Index USD Total Return (Net Dividends)

NDEUMXF MSCI Mexico Index USD Total Return (Net Dividends)

NDEUSCH MSCI Chile Index Total Return (Net Dividends)

NDEUSCO MSIC Colombia Index Total Return (Net Dividends)

NDUEEGFL MSCI Emerging Markets Latin America USD

NDX NASDAQ-100
Secretary of the Commission

August 29, 2014

Page 69

OEXT S&P 100 Total Return

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

SMCPSPTR S&P SmallCap 600 Total Return

SPXT S&P 500 Total Return

SX5E Eurostoxx 50 Index (EMEA)

UKX FTSE 100 Index (EMEA)
Secretary of the Commission

August 29, 2014

Page 70

EXHIBIT D

Amended Terms and Conditions for Equity Index Variance Swaps (Marked)

Summary: This covers equity index variance swaps (each, an 

“Equity Index Variance Swap”).

Limitations on Available Selections and Default 

Settings:

The terms under which an Equity Index Variance 

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.
Secretary of the Commission

August 29, 2014

Page 71

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

(c) Annex IVS to 2007 Americas Master Variance 

Swap Confirmation Agreement, to the Revised 

2007 AEJ Master Variance Swap Confirmation 

Agreement for AEJ indices or to the 2007 European 

Variance Swap Master Confirmation Agreement (as 

indicated on the Equity Index Available Indices 

attached)

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: Parameter Return Variance

ISDA OTC Transaction type: Single Index

Further Limitations: None

Terms:

Trade Date: As agreed by the parties.

Effective Date (“effectiveDate”): As per Annex IVS

Termination Date (“terminationDate”): As per Annex IVS

Exchanges: As specified by the parties.

Related Exchanges: As per Annex IVS
Secretary of the Commission

August 29, 2014

Page 72

Variance Buyer: As specified by the parties (other than for an AEJ 

or EMEA Index).

Variance Seller: As specified by the parties (other than for an AEJ 

or EMEA Index).

Equity Amounts:

Equity Amount Payer (“payerPartyReference”): As per Annex IVS

Equity Notional Amount: As specified by the parties. (other than for an 

EMEA Index).

Variance Amount: As specified by the parties (for an EMEA Index).

Equity Notional Reset: As per Annex IVS

Type of Return: As per Annex IVS

Initial Price: As per Annex IVS

Final Price: As per Annex IVS

Valuation Time: As per Annex IVS

Observation Start Date: As specified by the parties, or otherwise as per 

Annex IVS.

Observation End Date: As per Annex IVS

Observation Day: As per Annex IVS

Non-Disrupted Observation Day: As per Annex IVS

Observation Period: As per Annex IVS

Futures Price Valuation: As specified by the parties or determined in 

accordance with Annex IVS.

Default Exchange-traded Contract: As per Annex IVS

Equity Amount: As per Annex IVS
Secretary of the Commission

August 29, 2014

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Variance Strike Price: As specified by the parties and calculated in 

accordance with Annex IVS.

Variance Cap: As specified by the parties, or otherwise as per 

Annex IVS.

Final Realized Volatility: As per Annex IVS

Initial Index Level: As specified by the parties.

Closing Index Level: If specified by the parties, and determined per 

Annex IVS.

Expiring Contract Level: If specified by the parties or as determined per 

Annex IVS.

Variance Amount: As specified by the parties.

Volatility Strike Price: As specified by the parties if Variance Strike Price 

is not specified.

Variance Strike Price: As specified by the parties if Volatility Strike Price 

is not specified, or calculated in accordance with 

Annex IVS.

NVariance Cap Amount: As specified by the parties or otherwise per Annex 

IVS.

Final Realized Volatility (“FRV”): Per Annex IVS

N: As specified by the parties or otherwise per Annex 

IVS (other than for an AEJ Index).

ExpectedN: As specified by the parties or otherwise per Annex 

IVS (only for an AEJ Index).

Market Disruption Event: As per Annex IVS

Floating Amount:

Floating Amount: As per Annex IVS

Settlement Terms:
Secretary of the Commission

August 29, 2014

Page 74

Cash Settlement: As per Annex IVS

Settlement Currency: As per Annex IVS

Cash Settlement Payment Date: As per Annex IVS

Index Adjustment Events:

Index Cancellation: As per Annex IVS

Index Modification: As per Annex IVS

Index Disruption: As per Annex IVS

IVS Cancellation and Payment: As per Annex IVS

Additional Disruption Events:

Change in Law: As per Annex IVS

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

Calculation Agent: As 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)

USD United States Dollars USNY

CAD Canadian Dollars CATO

EUR Euro EUTA

GBP Pound Sterling GBLO
Secretary of the Commission

August 29, 2014

Page 75

Equity Index Available Indices

Abbr Name

DAX Deutscher Aktien Index (EMEA)

DJITR Dow Jones Industrial Average Total Return

DJUSRE Dow Jones U.S. Real Estate Index

GDDLCA MSCI Canada Index CAD 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)

IBOV BOVESPA Index

KOSPI Korea Composite Stock Price Index (AEJ)

MDCPSPTR S&P MidCap 400 Total Return

MEXBOL Mexican IPC index (Indice de Precios y Cotizaciones)

NDDLCA MSCI Canada Index CAD Total Return (Net Dividends)

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

NDDUUS MSCI US Index Total Return (Net Dividends)

NDEUBRAF MSCI Brazil Index USD Total Return (Net Dividends)

NDEUMXF MSCI Mexico Index USD Total Return (Net Dividends)

NDEUSCH MSCI Chile Index Total Return (Net Dividends)

NDEUSCO MSIC Colombia Index Total Return (Net Dividends)
Secretary of the Commission

August 29, 2014

Page 76

NDUEEGFL MSCI Emerging Markets Latin America USD

NDX NASDAQ-100

OEXT S&P 100 Total Return

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

SMCPSPTR S&P SmallCap 600 Total Return

SPXT S&P 500 Total Return

SX5E Eurostoxx 50 Index (EMEA)

UKX FTSE 100 Index (EMEA)