Secretary of the Commission

October 30, 2014

Page 13

EXHIBIT D

Terms and Conditions (Marked Against September 29, 2013 Version)

Contract Overview: An agreement to buy or sell protection on a basket of 

liquid North America based entities with an investment 

grade credit rating.

Index: CDX.NA.IG: Series 11 to current. 

Currency: USD

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

Trading Conventions: Buy = Buy Protection, the buyer of protection pays a 

premium to the seller in case of a credit event occurring. 

Credit events include Bankruptcy and Failure to Pay. 

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer. The 

Seller owns the credit risk of the instrument. 

Investment Grade indices are traded on spread.

Swap Conventions: Fixed coupon payments are calculated at a spread of 100 

bps and exchanged on a quarterly basis.

Swap Tenor: 5Y

Effective Date: The date on which parties begin calculating accrued 

obligations such as fixed payments. Also known as the 

start date of the swap.

Maturity Date: The final date on which the obligations no longer accrue 

and the final payment occurs.

Trade Types: The following swap types may be executed on the tpSEF 

Inc.: 

• Outrights 

• Roll Trades 

• Curve Trades

Settlement: Contingent payment - Payments related to credit event 

settlement will be determined pursuant to the 2009 

ISDA Credit Derivatives Determination Committees and 

Auction Settlement Supplement, (i.e., the Big Bang 

Protocol). 

Fixed Quarterly cash payments - reflected in basis points 

and paid by the protection buyer to the protection seller. 

Upfront fee payment - The upfront fee is a portion of the 

payments, expressed in percentage points of the 

notional, which is present valued and paid immediately 
Secretary of the Commission

October 30, 2014

Page 14

to the seller.

Swaptions on the Above

Swaptions: The SEF is also listing Physically-Settled Swaptions on 

the Index on the terms described herein.

Swaption Option Style: European; the Swaptions may be exercised only on 

expiration.

Swaption Tenor: The tenor of the Swaptions will be selected by the 

parties and will be no shorter than three months and no 

longer than three months less than the Swap Tenor.

Settlement: The Swaption will be Physically Settled and, if 

exercised, will result in the parties entering into a swap 

on the Index on the terms described herein.

ISDA Definitions (2003 v. 2014 Credit Derivatives 

Definitions)

2003 Definitions: ISDA has published 2014 Credit Derivatives 

Definitions, which alter the treatment accorded certain 

events, particularly as relates to sovereigns and 

financials and certain “orphan” CDS (Reference Entities 

with no deliverable obligations).

Index Sponsor: Markit, which sponsors the Index, has published 

information on treatment of both legacy and future 

indices.

The parties should consult Markit’s documentation to 

determine the exact treatment. It is the SEF’s 

understanding that, in general, all CDS index trades will 

convert to the 2014 Definitions, with individual 

components being excluded if they would be impacted 

by the differences between the two.

Cleared Transactions: Transactions intended to be cleared will use the 

Definitions required by the relevant DCO selected by the 

parties.

The parties should consult the relevant DCO’s 

documentation to determine the exact treatment. It is the 

SEFs understanding that the DCOs will be converting all 

trades to the 2014 definitions, with individual 

component excluded as describe above. 

Choice of Definitions: The parties can elect which Definitions to use as part of 

their Confirmation process. However, this may limit 

clearability and result in creation of a bespoke Index 

transaction.