The definitions set forth in the CFTC Swaps Report Data Dictionary are provided for the purpose of enhancing the 

user’s understanding of the data presented in the report tables. Definitions do not state or suggest the views of the 

Commission concerning the legal significance or meaning of any word or term and no definition is intended to state 

or suggest the Commission’s views concerning any trading strategy or economic theory; however, to the greatest 

extent possible, the definitions of the asset classes, currencies, tenors, and swap products presented in this Data 

Dictionary have been harmonized with the Commission’s existing or forthcoming final rules, as noted below. 

Consult the Commodity Exchange Act and the Commission’s forthcoming “Further Definition of “Swap,” 

“Security-Based Swap,” and “Security-Based Swap Agreement”; Mixed Swaps; Security-Based Swap Agreement 

Recordkeeping” rule for further clarification. The Commission notes that some of the products listed in the Data 

Dictionary are outside of the Commission’s regulatory jurisdiction; the Commission has included those products in 

the Data Dictionary for the sole purpose of supplementing the CFTC Swaps Report. The Commission requests 

comment on the definitions used in this Data Dictionary. Submit comments to swapsreport@cftc.gov. 

Asset Class

The asset class definitions used in the CFTC Swaps Report reflect, to the greatest extent practicable, the asset 

class definitions set forth by the Commission’s Real-Time Public Reporting of Swap Transaction Data rule. The 

FX asset class will not be included in the CFTC Swaps Report until such time as the regulatory jurisdiction of 

FX products is determined.

Interest Rate

The interest rate asset class encompasses the underlying of any swap 

which is primarily based on one or more reference rates, such as swaps of 

payments determined by fixed and floating rates. The interest rate asset 

class also includes cross-currency swaps, which are displayed separately in 

some tables.

Credit

The credit asset class encompasses the underlying of any swap that is 

primarily based on one instruments of indebtedness, including without 

limitation any swap primarily based on one or more broad-based indices 

related to instruments of indebtedness and any swap that is an index credit 

default swap or a total return swap on one or more indices of debt 

instruments.

Equity

The equity asset class encompasses the underlying of any swap that is 

primarily based on equity securities, including, without limitation, any 

swap primarily based on one or more broad-based indices of equity 

securities and any total return swap on one or more equity indices.

Other Commodity

The other commodity asset class encompasses the underlying of any swap 

not included in the credit, currency, equity or interest rate asset class 

categories, including, without limitation, any swap for which the primary 

underlying notional item is a physical commodity or the price or any other 

aspect of a physical commodity.

Interest Rate Products

An interest rate swap (IRS) is an agreement between two counterparties in which one party makes periodic 

payments to another party based on an interest rate (either a fixed interest rate or a floating interest rate) 

multiplied by a notional amount in exchange for receipt of periodic payments based on a “reference rate” 

(generally an interest rate or rate index) multiplied by the same notional amount (in most cases).

Products
IRS Plain Vanilla (FixedFloat)

An agreement between two parties (known as counterparties) in which one 

party (the fixed rate payer) makes periodic payments (the fixed leg) to 

another party (the floating rate payer) based on a fixed rate of interest 

multiplied by a notional amount in exchange for receipt of periodic 

payments (the floating leg) based on a floating rate index multiplied by the 

same notional amount (in most cases) upon which the fixed rate payments 

are based. 

For example, Party A enters into a five-year agreement with Party B in 

which Party A makes quarterly payments to Party B of 0.4% times

$10,000,000 (the notional amount) and Party B makes quarterly payments 

to Party A of the 3 Month USD LIBOR rate times $10,000,000. FixedFloat Swaps are commonly used when one party has taken out a variable 

rate loan and wishes to swap the variable rate payments for fixed rate 

payments. 

IRS Plain Vanilla (FixedFixed)

An arrangement between two counterparties in which both parties pay a 

fixed interest rate that they could not otherwise obtain outside of a swap 

arrangement; for example, if each counterparty uses a different native 

currency, but wants to borrow money in the other counterparty’s native 

currency. Fixed-fixed swaps generally take the form of either a zero 

coupon swap or a cross-currency swap, and will generally appear as such 

in the CFTC Swaps Report.

Basis (or Float-Float)

An agreement between two counterparties in which one party makes 

periodic payments to another party based on a floating rate index

multiplied by a notional amount in exchange for receipt of periodic 

payments based on a different floating rate index multiplied by the same 

notional amount upon which the floating rate payments are based.

For example, Party A enters into a five-year agreement with Party B in 

which Party A makes quarterly payments to Party B of the 3 month 

Treasury Bill rate times $10,000,000 (the notional amount), and Party B 

makes quarterly payments to Party A of the 3 Month USD LIBOR rate 

times $10,000,000. Basis Swaps are commonly used when one party is 

active in two money markets and wishes to limit interest rate risk.

Inflation

An agreement between two counterparties in which one party (the fixed 

rate payer) makes periodic payments to another party (the floating rate 

payer) based on a fixed rate of interest multiplied by a notional amount in 

exchange for receipt of periodic payments based on an inflation rate index 

multiplied by the same notional amount upon which the fixed rate 

payments are based. 

For example, Party A enters into a five-year agreement with Party B in 

which Party A makes quarterly payments to Party B of 0.4% times

$10,000,000 (the notional amount) and Party B makes quarterly payments 

to Party A of the Consumer Price Index (CPI) rate times $10,000,000. 

Inflation Swaps are commonly used when one party wishes to hedge 

against overall price increases in the market.

OIS (Overnight Indexed 

Swap)

An agreement between two counterparties in which one party (the fixed 

rate payer) makes periodic payments to another party (the floating rate 

payer) based on a fixed rate of interest multiplied by a notional amount in 

exchange for receipt of periodic payments based on an overnight rate 
index multiplied by the same notional amount upon which the fixed rate 

payments are based. 

For example, Party A enters into a one year agreement with Party B, in 

which Party A makes payments on a specific term to Party B of 0.15% 

times $10,000,000 and Party B makes monthly payments to Party A based 

on the average of the overnight Federal Funds rate over the previous 

month times $10,000,000. Firms commonly enter into OIS agreements 

when one party wishes to swap the payments on a loan based on fixed, 

short term rates, for payments based on a variable, overnight loan rate.

FRA (Forward Rate 

Agreement)

An agreement in which two counterparties agree to the interest rate (the 

forward rate) applying to a notional principal amount of an underlying 

money market rate index at a forward settlement date. One party (the 

buyer, or borrower) makes a payment to the other party (the seller, or 

lender) should the actual interest rate be below the agreed upon rate on the 

settlement date. In return, the seller agrees to pay the buyer should the 

actual interest rate be above the agreed upon rate on the settlement date. 

The payment is based on the difference between the agreed rate and the 

actual rate of the index, also called the settlement rate, a principal amount, 

and a period, or run, normally of 90 or 180 days. FRAs are generally 

quoted in terms of monthly combinations of the time to the forward 

settlement date and the time to maturity of the notional underlying index. 

For example, an FRA with three months to forward settlement on a three 

month security is referred to as a “3 x 6”. If two parties agree on a forward 

rate of 4% applying to a notional value of $10,000,000 and the actual 

interest rate on the forward settlement date is 5%, the seller would pay the 

buyer the settlement amount calculated as:

[(0.05 – 0.04) x (90/360) x 10,000,000] / [1 + (0.05 x 90/360)]

= US $24,691.36

Where three months is assumed to be ninety days and a year is three 

hundred and sixty days.

Cap/Floor/Collar

An interest rate cap is an agreement between the seller, or provider, of the 

cap and a borrower to limit the borrower’s floating interest rate to 

specified level for a period of time. The borrower selects a reference rate 

such as the 3 month USD LIBOR rate, a period of time such as 2 years,

and a protection rate such as 0.6%. The cap consists of a series, or strip, of 

rights to buy a FRA at the protection rate, also called the strike rate. Each 

right, called a caplet, pays the borrower a sum if the reference rate exceeds 

the protection rate.

An interest rate floor is similar to an interest rate cap agreement. A floor 

guarantees an investor’s floating rate of return on investments will not fall 

below a specified level over an agreed period of time. In some instances, 

counterparties may negotiate both a cap and floor at the same time, also 

called a collar, offsetting the expense of the upside rate protection with the 

sale of the downside price floor.

Exotic

A swap is considered exotic if it contains a number of custom attributes 

that fall outside the standard exchange of payments described in the above 

swap definitions. Such attributes may include optionality that kicks in at 
agreed changes in reference values. Most exotic interest rate swaps have

two payment legs: a funding leg and an exotic coupon leg

Debt Option

A bond (or debt) option confers the right, but not the obligation, to buy (if 

it is a call option) or sell (if it is a put option) a bond on a specified date 

for specified price called the strike price.

Swaption

A swaption gives the buyer the right, but not the obligation, to enter into a 

swap agreement on a specified future date, in exchange for an option 

premium (i.e. some component of the price of the swap that reflects the 

additional uncertainty surrounding whether or not the buyer will indeed 

enter into the swap). 

Cross-Currency FixedFloat

A cross-currency swap, also referred to as a cross-currency rate swap, is 

an agreement between two counterparties to exchange interest payments 

and principals denominated in two different currencies. In a fixed-forfloating cross-currency swap, generally referred to as a cross-currency 

coupon swap, the interest rate on one leg is floating, and the interest rate 

on the other leg is fixed. Such swaps are usually used for a minor currency 

against USD.

Cross-Currency FixedFixed

A currency swap is an agreement between two counterparties to exchange 

interest payments and principals denominated in two different currencies, 

where the interest rate on both legs is a fixed rate.

Cross-Currency Basis

A cross-currency swap, also referred to as cross-currency rate swap, is an 

agreement between two parties to exchange interest payments and 

principals denominated in two different currencies. In a floating-forfloating cross-currency swap, generally referred to as a cross-currency 

basis swap, the interest rate on both legs is a floating rate. Cross-currency 

basis swaps are commonly used for major currency pairs, such as 

EUR/USD and USD/JPY.

Zero Coupon Swap 

An agreement between two parties in which one party (the zero coupon 

rate payer) makes a single lump sum payment to another party based on a 

fixed rate of interest multiplied by a notional amount in exchange for 

receipt of periodic payments based on a floating, or fixed, rate multiplied 

by the same notional amount upon which the zero coupon rate payment is 

based. For example Party A enters into a three year agreement with Party 

B in which Party A agrees to make a single lump sum payment to Party B 

of 3% X $5,000,000 and Party B makes annual payments to Party A based 

on the discounted cash flows of 3% spread over the three year term of the 

agreement. The discounted cash flow would also take into account the 

credit risk that Party A may not be able to fulfill its obligation to pay the 

lump sum at the end of agreement’s term. Firms may enter into zero 

coupon swap agreements when they have invested in zero coupon bonds, 

but decide that they cannot wait for the bond’s single lump sum payment 

at maturity. 

Variable Notional Swap

(VNS)/Amortizing Swap

Also known as amortizing swaps, these swap agreements have legs with 

increasing, or decreasing, notional amounts. These changes to the notional 

amounts of the legs occur on specific negotiated schedules laid out 

between the two counterparties at the time of initial negotiation for the 
purposes of offsetting non-standard risks. Parties may enter into 

amortizing swap agreements to offset balloon payment provisions of loan, 

or lease agreements, or to reduce risk exposure to securities that have 

sinking fund or early redemption provisions, or in the case of mortgage 

backed securities, expected prepayment schedules. In some cases an 

amortizing swap may have a notional schedule that includes both 

increasing and decreasing values for specific time periods. Such an 

agreement is referred to as a “roller coaster” swap. 

Guarantees A guarantee of a swap is a collateral promise by a guarantor to answer for 

the debt or obligation of a counterparty obligor under a swap. 

MBS rate swap

Mortgage backed security interest rate swaps are agreements between two 

counterparties based on a bundle of mortgages: commercial, residential or 

other debts. These bundles are often packaged and securitized by agencies 

but can also be created by other commercial lending institutions. The 

interest rate payments are based on the monthly payments made by 

borrowers to the owners of mortgages, minus any fees or spreads by 

payment service companies. The primary risks are duration, prepayment, 

and failure to pay by the borrower. 

Currencies

The currencies included in the CFTC Swaps Report, and their classifications into “supermajor” and “major” 

currency groupings, mirror those used in the Commission’s Block Trade rule. This approach (1) facilitates 

comparison of CFTC Swaps Report data with block trade data published pursuant to the Commission’s Real-Time 

Public Reporting rule, and (2) preserves the anonymity of counterparties and the secrecy of their proprietary 

strategies by maintaining an identical level of granularity to the Block Trade data stream. Non-major currencies 

are being omitted at this time from the report. 

Supermajor currencies

USD U.S. Dollar

EUR European Euro

GBP Great British Pound

JPY Japanese Yen

Major currencies

AUD Australian Dollar

CHF Swiss Franc

CAD Canadian Dollar

ZAR South African Rand
KRW Korean Won

SEK Swedish Krona

NZD New Zealand Dollar

NOK Norwegian Kroner

DKK Danish Kroner

Tenor Buckets

Credit Products

A credit default swap (CDS) is an agreement between two counterparties in which one party, the protection 

seller, agrees to provide payment (the protection leg) to the other party, the protection buyer, should a credit 

event occur against a specified debt (known as the reference obligation), a basket of debts (known as the 

reference pool), a debt issuer (known as the reference entity), a credit index (known as the reference index), or 

any other swap underlying reference in exchange for periodic payments (the fee leg) from the protection buyer. 

The maximum amount of protection provided by the protection seller is equal to the notional amount of the 

swap. A credit event may be one, or more, of a number of agreed upon events that would affect the value of the 

underlying bond or index. For example, in its 2003 Credit Derivative Definitions, the International Swaps and 

The tenor buckets used in the CFTC Swaps Report mirror those used in the Commission’s Block Trade rule. 

Please note that the Commission added 15 days to each tenor group to avoid ending a group on specific commonly 

occurring months or years; the list below is designed for illustrative simplicity. This approach (1) facilitates 

comparison of CFTC Swaps Report data with block trade data published pursuant to the Commission’s Real-Time 

Public Reporting rule, and (2) preserves the anonymity of counterparties and the secrecy of their proprietary 

strategies by maintaining an identical level of granularity to the Block Trade data stream.

Months

0-3

3-6

6-12

12-24

24-60

60-120

120-360

360+
Derivatives Association (ISDA) recognizes the following credit events that could result in the protection seller 

having to pay a protection buyer.

Credit Events

Bankruptcy

The reference entity has been dissolved or has become insolvent. It also 

covers events that may be a precursor to insolvency such as instigation of 

bankruptcy or insolvency proceedings.

Failure to Pay

This credit event triggers, after the expiration of any applicable grace 

period, if the reference entity fails to make due payments in an aggregate 

amount of not less than the payment requirement on one or more 

obligations (e.g. a missed coupon payment).

Failure to Pay Principal

Corresponds to the failure by the Reference Entity to pay an expected 

principal amount or the payment of an actual principal amount that is less 

than the expected principal amount.

Failure to Pay Interest

Corresponds to the failure by the Reference Entity to pay an expected 

interest amount or the payment of an actual interest amount that is less 

than the expected interest amount.

Obligation Default

One or more of the obligations have become capable of being declared due 

and payable before they would otherwise have been due and payable as a 

result of, or on the basis of, the occurrence of a default, event of default or 

other similar condition or event other than failure to pay.

Obligation Acceleration

One or more of the obligations have been declared due and payable before 

they would otherwise have been due and payable as a result of, or on the 

basis of, the occurrence of a default, event of default or other similar 

condition or event other than failure to pay (preferred by the market over 

Obligation Default, because more definitive and encompasses the 

definition of Obligation Default - this is more favorable to the Seller). 

Repudiation/Moratorium

The reference entity, or a governmental authority, either refuses to 

recognize or challenges the validity of one or more obligations of the 

reference entity, or imposes a moratorium thereby postponing payments 

on one or more of the obligations of the reference entity.

Restructuring

A restructuring is an event that materially impacts the reference entity's 

obligations, such as an interest rate reduction, principal reduction, deferral 

of interest or principal, change in priority ranking, or change in currency 

or composition of payment.

Distressed Rating 

Downgrade

Results from the fact that the rating of the reference obligation is 

downgraded to a distressed rating level. From a usage standpoint, this 

credit event is typically not applicable in case of residential mortgage 

backed securities (RMBS) trades.

Maturity Extension Results from the fact that the reference entity fails to make principal 

payments as expected.
Writedown Results from the fact that the reference entity writes down its outstanding 

principal amount.

Implied Writedown

Results from the fact that losses occur to the underlying instruments that 

do not result in reductions of the outstanding principal of the reference 

obligation.

Credit default swaps are commonly categorized by the type of reference obligation, or reference index, the type 

and geographic location of the reference entity and the grade (for example, investment grade, high yield, or 

emerging markets) if the CDS is for a reference index, or index tranche. An index tranche is a portion of an 

index whose constituents share the same credit seniority. The definitions of Index Tranche and Index products 

provided in this section of the Data Dictionary reflect the definitions used by ISDA.

Products

Single-Name Corporate A credit default swap with a single borrower as a reference entity, in this 

case a corporation.

Single-Name Sovereign A credit default swap with a single borrower as a reference entity, in this 

case a national government.

Single-Name Municipal A credit default swap with a single borrower as a reference entity, in this 

case a municipal government.

Single-Name Recovery A credit default swap with an individual bond issuance as its reference 

entity.

Single-Name Loans

A credit default swap with an individual loan as its reference entity. For 

the purposes of the proposed version of the CFTC Swaps Report, this 

category of products also includes mortgage-backed securities. 

Index Tranche US

A synthetic collateralized debt obligation (CDO) based on a U.S. CDS 

index where each tranche (equity, mezzanine, senior, and super senior) 

references a different segment of the loss distribution of the underlying 

CDS index. 

Index Tranche Other 

North America

A synthetic collateralized debt obligation (CDO) based on a North 

American non-U.S. CDS index where each tranche (equity, mezzanine, 

senior, and super senior) references a different segment of the loss 

distribution of the underlying CDS index.

In the proposed version of the CFTC Swaps Report, published using 

voluntarily submitted data, Index Tranche U.S. and Index Tranche Other 

North America are combined as Index Tranche North America.

Index Tranche Europe

A synthetic collateralized debt obligation (CDO) based on a European 

CDS index where each tranche (equity, mezzanine, senior, and super 

senior) references a different segment of the loss distribution of the 

underlying CDS index. 

Index Tranche Asia A synthetic collateralized debt obligation (CDO) based on an Asian CDS 
index where each tranche (equity, mezzanine, senior, and super senior) 

references a different segment of the loss distribution of the underlying 

CDS index. 

In the proposed version of the CFTC Swaps Report, published using 

voluntarily submitted data, Index Tranche Asia includes Japan and 

Australia, in addition to mainland Asian countries.

Index US A standardized credit derivative where the underlying reference entities 

are a defined basket of U.S. credits. 

Index Other North 

America

A standardized credit derivative where the underlying reference entities 

are a defined basket of North American non-U.S. credits. 

In the proposed version of the CFTC Swaps Report, published using 

voluntarily submitted data, Index U.S. and Index Other North America are 

combined as Index North America.

Index Europe A standardized credit derivative where the underlying reference entities 

are a defined basket of European credits. 

Index Asia

A standardized credit derivative where the underlying reference entities 

are a defined basket of Asian credits. 

In the proposed version of the CFTC Swaps Report, published using 

voluntarily submitted data, Index Asia includes Japan and Australia, in 

addition to mainland Asian countries.

Total Return Swap

A total rate of return swap (or “total return swap”, “TRS”) is an agreement 

between two counterparties where one party, the seller of the credit risk, 

agrees to pay the other party the difference in value of a specified asset, 

index or derivative of an asset or an index, multiplied by an agreed-upon 

notional value should that value increase between specified periods of 

time. In exchange, the other party, the buyer of the credit risk, agrees to 

pay the difference in value of the specified asset multiplied by the notional 

value should that value decrease between the same specified periods of 

time. 

For example the parties may enter into a two year agreement where every 

three months they compare the value of the Barclays Capital Aggregate 

Bond Index to its value three months previously. If the agreed upon 

notional was US $10,000,000 and the value increased 0.04%, or 4 basis 

points (bps), the seller would pay the buyer US $4,000. If, after another 

three months, the value decreased by 3bps, the buyer would pay the seller 

US $3,000. As part of the agreement, the buyer may also make an 

additional payment each period to the seller based on a floating rate index 

multiplied by the notional value.

Total return swaps often appear in asset classes other than the credit asset 

class; however, for the purpose of the CFTC Swaps Report, all total return 

swaps are counted only in the credit asset class. 

Swaption

An option to enter into a predetermined credit swap, wherein the holder of 

the option has the right but not the obligation to enter into a swap on a 

specified future date and at a specified future rate and term. 
Exotic/Bespoke Any other non-vanilla credit product.

Collateralized Debt 

Obligation (CDO)

Debt issued, by a legal entity that is specially created to holds 

predetermined obligations, so as to pass through the P&L of these 

obligations in such a way as to create specific risk profiles referred to as 

tranches. 

Grade (Index Tranche and Index products only)

Investment Grade (IG)

For an Index Tranche or Index product to be classified as Investment 

Grade, the underlying index or index tranche must reference credits that 

are rated BBB- or higher by Standard & Poor’s, Baa3 or higher by 

Moody’s, or BBB (low) or higher by DBRS. 

High-Yield (HY)

For an Index Tranche or Index product to be classified as High-Yield, the 

underlying index or index tranche must reference credits that are rated 

below investment grade, with a higher risk of experiencing default or other 

adverse credit events, but pay higher yields to investors.

Other (not IG or HY)

Index Tranche or Index products that reference credits that are not 

classified as either Investment Grade or High-Yield with regard to 

standard rating conventions.

Equity Products

Equity swaps, which resemble total rate of return swaps, are an arrangement in which one party, the seller, 

agrees to pay the other party the difference in value of a specified asset, index, or derivative of an asset or an 

index, multiplied by an agreed-upon notional value should that value increase between specified calculation 

period. In exchange the other party, the buyer, agrees to pay the difference in value of a specified asset should 

that value decrease between a specified calculation period. As part of the agreement the buyer may also make 

an additional payment each period to the seller based on a floating rate index multiplied by the notional value.

Products

Portfolio Swap - Index

A swap in which one counterparty receives payments based on a portfolio 

of equity indices, such as the S&P 500 Index and the Dow Jones Industrial 

Average. 

Variance Swap - Index A swap in which one counterparty receives payments based on the 

magnitude of the change in an equity index, rather than the direction. 

Equity Swap - Index A swap where the underlying reference asset is an equity index (such as 

the S&P 500 Index).

Dividend - Index A swap where the underlying reference asset is the total dividends paid out 

by a selected equity index.

Contract For Difference 

(CFD) - Index

A swap where the underlying reference asset is the difference between the 

current value of an equity index and its value at contract expiration.
Vanilla (put/call) Option -

Index

A contract that provides the right, but not the obligation, to buy (call) or 

sell (put) the cash flows from the underlying equity index.

Variance Option - Index

A contract that provides the right, but not the obligation, to enter into a 

swap referencing the magnitude of the change in the value of an equity 

index, rather than the direction, in exchange for an option premium.

Accumulator/Decumulator 

Option - Index

A contract that provides the right, but not the obligation, to require the 

issuer of an equity index to buy (decumulator) or sell (accumulator) shares 

of that equity index at a predetermined strike price, in exchange for an 

option premium.

Vanilla Forward - Index A non-standardized contract to buy or sell the cash flows from an 

underlying equity index at a specific price and date in the future. 

Portfolio Swap - Basket A swap in which one counterparty receives payments based on a portfolio 

of baskets of equities. 

Variance Swap - Basket A swap in which one counterparty receives payments based on the 

magnitude of the change in an equity basket, rather than the direction. 

Equity Swap - Basket A swap where the underlying reference asset is an equity basket (such as

the S&P 500 Index).

Dividend - Basket A swap where the underlying reference entity is the total dividends paid 

out by a selected equity basket.

Contract For Difference 

(CFD) - Basket

A swap where the underlying reference entity is the difference between the 

current value of an equity basket and its value at contract expiration. A 

contract for difference (CFD) is similar to a total rate of return swap 

except that payment only occurs once on the contract expiration date. A 

CFD may have a single stock, a basket of stocks, or an index as its 

underlying reference asset.

Vanilla (put/call) Option -

Basket

A contract that provides the right, but not the obligation, to buy (call) or 

sell (put) the cash flows from the underlying equity basket.

Variance Option - Basket

A contract that provides the right, but not the obligation, to enter into a 

swap referencing the magnitude of the change in the value of an equity 

basket, rather than the direction.

Accumulator/Decumulator 

Option - Basket

A contract that provides the right, but not the obligation, to require the 

issuer of an equity basket to buy (decumulator) or sell (accumulator) 

shares of that equity basket at a predetermined strike price, in exchange for 

an option premium. 

Vanilla Forward - Basket A non-standardized contract to buy or sell the cash flows from an 

underlying equity basket at a specific price and date in the future. 

Exotic/Bespoke An equity swap is considered exotic or bespoke if it contains a number of 

custom attributes that fall outside the standard exchange of payments 
described in the above swap definitions. Such attributes may include 

optionality that kicks in at agreed changes in reference values.

Other Commodity Products

An other commodity swap is an agreement between two parties in which one party (the fixed rate payer) makes 

periodic payments (the fixed leg) to another party (the floating rate payer) based on a fixed quantity of a 

specified commodity in exchange for receipt of periodic payments (the floating leg) based on the actual price of 

the fixed quantity of the specified commodity upon which the fixed rate payments are based. If the swap 

specifies physical delivery, the floating rate payer would deliver the actual physical commodity to the fixed rate 

payer in lieu of cash payment.

Other commodity index swaps resemble total rate of return swaps where one party, the seller, agrees to pay the 

other party, the buyer, the difference in value of a specified commodity index, multiplied by an agreed upon 

notional value should that value increase between specified periods of time. In exchange, the other party agrees 

to pay the difference in value of the specified index, should that value decrease between the same specified 

periods of time. As part of the agreement the buyer may also make an additional payment each period to the 

seller based on a floating rate index multiplied by the notional value.

Products

Metals Swap A swap that references a precious or industrial metal.

Metals Spot/Forward A forward contract that references a precious or industrial metal.

Metals Option An option that references a precious or industrial metal.

Metals Exotic Any other non-standard derivative that references a precious or industrial 

metal.

Energy Swap

A swap that references an energy commodity, generally crude oil and its 

refined products (including natural gas, reformulated gasoline, and heating 

oil).

Energy Spot/Forward

A forward contract that references an energy commodity, generally crude 

oil and its refined products (including natural gas, reformulated gasoline, 

and heating oil).

Energy Option

An option that references an energy commodity, generally crude oil and its 

refined products (including natural gas, reformulated gasoline, and heating 

oil).

Energy Exotic

Any other non-standard derivative that references an energy commodity, 

generally crude oil and its refined products (including natural gas, 

reformulated gasoline, and heating oil).

Agricultural Swap A swap that references an agricultural commodity as defined in 

Commission Regulation 1.3(zz).

Agricultural Spot/Forward A forward contract that references an agricultural commodity as defined in 

Commission Regulation 1.3(zz).
Agricultural Option An option that references an agricultural commodity as defined in 

Commission Regulation 1.3(zz).

Agricultural Exotic Any other non-standard derivative that references an agricultural 

commodity as defined in Commission Regulation 1.3(zz).

Commodity Index Swap A swap where the underlying reference entity is a commodity index.

Commodity Index Option An option where the underlying reference entity is a commodity index.

Commodity Index Exotic Any other non-standard derivative where the underlying reference entity is 

a commodity index.

Other Swap

A swap that references any other commodity not included in the categories 

above. This includes, for example, electricity and power swaps, freight 

swaps, weather swaps, and emissions swaps.

Other Spot/Forward

A forward contract that references any other commodity not included in 

the categories above. This includes, for example, electricity and power 

swaps, freight swaps, weather swaps, and emissions swaps.

Other Option

An option that references any other commodity not included in the 

categories above. This includes, for example, electricity and power swaps, 

freight swaps, weather swaps, and emissions swaps.

Other Exotic/Bespoke

Any other non-standard derivative that references any other commodity 

not included in the categories above. This includes, for example, electricity 

and power swaps, freight swaps, weather swaps, and emissions swaps.