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EXHIBIT B

Terms and Conditions

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

Swap”) on a bilateral basis.

Limitations on Available Selections and Default 

Settings:

The terms under which an iBoxx Index Swap may be 

traded are shown below and 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 and 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) the iBoxx Index Transaction Standard Terms 

Supplement (current version or as specified by the 

parties) (“iBoxx STS”)

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Credit

ISDA OTC Base Product: Total Return Swap Index
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ISDA OTC Sub-Product: iBoxx

ISDA OTC Transaction type: N/A

Further Limitations: None

Terms:

Trade Date: As agreed by the parties.

Effective Date (“effectiveDate”): The Business Day following the Trade Date, unless 

otherwise agreed by the parties.

Effective Date Business Days: The Business Days specified below, unless otherwise 

specified by the parties.

Effective Date Business Day Convention: The Business Day Convention specified below, unless 

otherwise specified by the parties.

Termination Date (“terminationDate”): As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

Notional Amount (“notional”): An amount specified by the parties, which will be in the 

relevant Settlement Currency (unless otherwise agreed 

by the parties).

Index: As specified by the parties from among the Available 

Indices.

Index Buyer: As agreed by the parties.

Index Seller: As agreed by the parties.

Calculation Agent: As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

Settlement Currency: The currency in which the Index is denominated.

Business Days: As specified in the iBoxx STS for the relevant 

Settlement Currency, unless otherwise agreed by the 

parties.

Floating Amount:

Floating Rate Payer (“payerPartyReference”): Index Buyer

Floating Rate Payer Period End Dates: As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

Floating Rate Payer Payment Dates: As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

Linear Interpolation: As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

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

applies, per the Definitions unless otherwise agreed by 

the parties.

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

applies per the Definitions unless otherwise agreed by 

the parties.

Floating Rate Option: As specified by the parties.

Floating Rate for the initial Calculation Period: As specified by the parties.

Spread: As specified by the parties.

Designated Maturity (“indexTenor”): As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

Floating Rate Day Count Fraction: As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

Reset Dates (“resetDate”): As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

Payment Dates Business Days: The Business Days specified above, unless otherwise 

agreed by the parties.

Business Days (Other Than Payment Dates): The Business Days specified above, unless otherwise 

agreed by the parties.
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Business Day Convention (Other Than Payment Dates): The Business Day Convention specified above, unless 

otherwise specified by the parties.

Index Return Amount:

Index Return Amount Payment Date: As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

Initial Fixing Amount: As agreed by the parties and rounded as specified in the 

iBoxx STS (unless the parties otherwise agree).

Final Fixing Amount: As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

Scheduled Final Fixing Date: As specified by the parties, subject to the Business Day 

Convention (unless the parties otherwise agree).

Final Fixing Date: As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

Index Adjustment and Index Discontinuance Events: As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

iBoxx Index Available Currencies and Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

EUR Euro EUTA and GBLO

GBP Sterling EUTA and GBLO

USD United States Dollars USNY

iBoxx Index Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

iBoxx Index Available Indices

Name Currency

iBoxx EUR Corporates EUR

iBoxx EUR Liquid High Yield Index EUR

iBoxx GBP Corporates GBP

iBoxx USD Domestic Corporates USD

iBoxx USD Liquid High Yield Index USD

iBoxx USD Liquid Investment Grade Index USD

iBoxx USD Liquid Leveraged Loans Index USD

iBoxx 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)
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iBoxx Index Floating Rate Options and Defaults

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

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 

Banks-ICAP 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
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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 Rate3:00 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

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

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

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

USD-Treasury RateT500 All quoted tenors N/A Per ISDA 2006 N

EUR USD-Basis 

Swaps-11:00-ICAP 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 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-OIS- All quoted tenors N/A Per ISDA 2006 N
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10:00-BGCANTOR

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-EURIBORTelerate 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 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
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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

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

GBP-WMBA-SONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N
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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 iBoxx Index Swaps (collectively, 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 index return leg of the Contracts is the level of the relevant index. The indices 

are broad-based and are maintained by Markit Indices Limited, a third party. The bonds or loans 

underlying the indices are numerous and are broadly traded and liquid. In addition, the indices may have 

options and exchange traded fund instruments tied to them which make the market for the index itself 

deep and liquid.

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

USD-LIBOR-BBA. 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, credit index and interest 
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rate products are very liquid – the market is very large and deep, making manipulation very difficult to 

achieve. 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 the foregoing also demonstrates compliance with Core Principle 4). Finally, the reference rates 

upon which the Contracts are based are difficult for any entity or group of market participants to 

manipulate.

(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 iBoxx 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 iBoxx index seller will pay any appreciation in the level of the index (expressed as a percentage) 

times the notional amount.

The iBoxx index buyer 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 floating rate and spread times the notional amount 

times the day count fraction.

(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 
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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 cash 

settlement price is not easily susceptible to manipulation or distortion as the composition of the index is 

announced by the index sponsor and, in the case of the floating rate leg, as 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, floating reset dates) and the applicable reference rate. Each of the available indices 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 

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 
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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 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 reference rates are included in the terms and conditions. As noted above, each of these rates is widely 

used in the market.

(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.
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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.

(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 
Mr. Christopher Kirkpatrick

June 14, 2018

Page 19

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 Eastern Time. The Contracts are 

not traded between 5:30 p.m. and 6:30 p.m. Eastern Time.
Mr. Christopher J. Kirkpatrick

June 14, 2018

Page 20

EXHIBIT D

Terms and Conditions

(Marked Against May 11, 2015 Version)

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

Swap”) on a bilateral basis.

Limitations on Available Selections and Default 

Settings:

The terms under which an iBoxx Index Swap may be 

traded are shown below and 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 and 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) the iBoxx Index Transaction Standard Terms 

Supplement (October 7, 2014current version or as 

specified by the parties) (“iBoxx STS”)

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Credit

ISDA OTC Base Product: Total Return Swap Index

ISDA OTC Sub-Product: iBoxx
Mr. Christopher Kirkpatrick

June 14, 2018

Page 21

ISDA OTC Transaction type: N/A

Further Limitations: None

Terms:

Trade Date: As agreed by the parties.

Effective Date (“effectiveDate”): The Business Day following the Trade Date, unless 

otherwise agreed by the parties.

Effective Date Business Days: The Business Days specified below, unless otherwise 

specified by the parties.

Effective Date Business Day Convention: The Business Day Convention specified below, unless 

otherwise specified by the parties.

Termination Date (“terminationDate”): As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

Notional Amount (“notional”): An amount specified by the parties, which will be in the 

relevant Settlement Currency (unless otherwise agreed 

by the parties).

Index: As specified by the parties from among the Available 

Indices.

Index Buyer: As agreed by the parties.

Index Seller: As agreed by the parties.

Calculation Agent: As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

Settlement Currency: The currency in which the Index is denominated.

Business Days: As specified in the iBoxx STS for the relevant 

Settlement Currency, unless otherwise agreed by the 

parties.

Floating Amount:

Floating Rate Payer (“payerPartyReference”): Index Buyer

Floating Rate Payer Period End Dates: As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

Floating Rate Payer Payment Dates: As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

Linear Interpolation: As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

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

applies, per the Definitions unless otherwise agreed by 

the parties.

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

applies per the Definitions unless otherwise agreed by 

the parties.

Floating Rate Option: As specified by the parties.

Floating Rate for the initial Calculation Period: As specified by the parties.

Spread: As specified by the parties.

Designated Maturity (‘“indexTenor”): As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

Floating Rate Day Count Fraction: As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

Reset Dates (“resetDate”): As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

Payment Dates Business Days: The Business Days specified above, unless otherwise 

agreed by the parties.

Business Days (Other Than Payment Dates): The Business Days specified above, unless otherwise 

agreed by the parties.
Mr. Christopher Kirkpatrick

June 14, 2018

Page 22

Business Day Convention (Other Than Payment Dates): The Business Day Convention specified above, unless 

otherwise specified by the parties.

Index Return Amount:

Index Return Amount Payment Date: As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

Initial Fixing Amount: As agreed by the parties and rounded as specified in the 

iBoxx STS (unless the parties otherwise agree).

Final Fixing Amount: As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

Scheduled Final Fixing Date: As specified by the parties, subject to the Business Day 

Convention (unless the parties otherwise agree).

Final Fixing Date: As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

Index Adjustment and Index Discontinuance Events: As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

iBoxx Index Available Currencies and Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

EUR Euro EUTA and GBLO

GBP Sterling EUTA and GBLO

USD United States Dollars USNY

iBoxx Index Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

iBoxx Index Available Indices

Name Currency

iBoxx GBPEUR Corporates GBPEUR

iBoxx EUR Corporates Liquid High Yield Index EUR

iBoxx GBP Corporates GBP

iBoxx USD Domestic Corporates USD

iBoxx USD Liquid High Yield Index USD

iBoxx EURUSD Liquid High Yield Investment Grade Index EURUSD

iBoxx USD Liquid Leveraged Loans Index USD

iBoxx 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)
Mr. Christopher Kirkpatrick

June 14, 2018

Page 23

iBoxx Index Floating Rate Options and Defaults

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

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 

Banks-ICAP 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

USD-Federal Funds- All quoted tenors N/A Per ISDA 2006 N
Mr. Christopher Kirkpatrick

June 14, 2018

Page 24

H.15-Bloomberg

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 Rate3:00 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

USD-OIS-11:00-LONICAP 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
Mr. Christopher Kirkpatrick

June 14, 2018

Page 25

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-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

EUR USD-Basis 

Swaps-11:00-ICAP 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 All quoted tenors N/A Per ISDA 2006 N
Mr. Christopher Kirkpatrick

June 14, 2018

Page 26

Rate-10:00-Bloomberg

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 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
Mr. Christopher Kirkpatrick

June 14, 2018

Page 27

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-EURIBORTelerate 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 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
Mr. Christopher Kirkpatrick

June 14, 2018

Page 28

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

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

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