ICAP SEF (US) LLC. Swap Execution Facility Rulebook. Revised. February Copyright ICAP SEF (US) LLC All Rights Reserved. Version: 2.

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1 ICAP SEF (US) LLC Swap Executin Facility Rulebk Versin: 2.5 Revised February 2015 Cpyright ICAP SEF (US) LLC 2015 All Rights Reserved.

2 TABLE OF CONTENTS SEF Rulebk Page DEFINITIONS... i CHAPTER 1 MARKET GOVERNANCE... 1 Rule 101. Bard f Directrs and Officers... 1 Rule 102. Limitatin f Liability... 1 Rule 103. Cnfidentiality... 2 Rule 104. Emergency Actin... 3 Rule 105. Suspensin f Trading... 5 Rule 106. Risk Cntrls fr Trading... 5 Rule 107. Market Data... 5 Rule 108. Intellectual Prperty... 6 CHAPTER 2 TRADING PRIVILEGES... 9 Rule 201. Trading Privilege Hlders... 9 Rule 202. Authrized Traders and Authrized Trading Firms Rule 203. Financial Integrity Rule 204. Clearing Rule 205. Applicatin fr and Grant f Trading Privileges Rule 206. Participant and Custmer Obligatins; Suspensin r Terminatin f Access Rule 207. Custmers Rule 208. Recrdkeeping Rule 209. Cmmunicatins f the SEF with Participants Rule 210. Required Disclsures t the SEF Rule 211. Dues, Fees and Expenses Rule 212. Market Maker Prgrams Rule 213. Independent Sftware Vendrs Rule 214. Withdrawal f Participant CHAPTER 3 TRADING PROCEDURES SEF Rulebk

3 Rule 301. Trading Sessins Rule 302. Access t SEF s Order Bk Rule 303. Required Transactins Rule 304. Permitted Transactins Rule 305. Executin Methds fr Required Transactins Rule 306. [Reserved] Rule 307. Acceptable Bids and Offers Rule 308. Blck Trades Rule 309. Reprting and Data Cllectin Rule 310. Bid/Offer Cancellatin Rule 311. Errrs and Disputes Rule 312. Enfrceability f Transactins Rule 313. Intermediated Transactins Rule 314. Bunched Orders Rule 315. SEF Authrity ver Transactins Rule 316. Reprting Cunterparty CHAPTER 4 TRADING STANDARDS Rule 401. Fraudulent Statements and Acts Rule 402. Abusive Trading Practices Rule 403. Gd Faith Bids/Offers and RFQs Rule 404. Pre-Executin Discussins and Pre-Arranged Transactins Rule 405. Manipulatin and Price Distrtin Rule 406. Adherence t Law Rule 407. Acts Detrimental t the SEF r Incnsistent with Just and Equitable Principles f Trade Rule 408. Psitin Limits and Psitin Accuntability CHAPTER 5 RULE ENFORCEMENT Rule 501. Jurisdictin SEF Rulebk

4 Rule 502. SEF Market Regulatin Staff Pwers and Duties Rule 503. The Review Panel Rule 504. Ntice f Charges Rule 505. Answer; Request fr Hearing; Failure t Answer r Deny Charges Rule 506. Selectin f Hearing Panel Rule 507. Challenge t Members f the Hearing Panel Rule 508. Hearing n Sanctins in the Event f Failure t Deny Charges; Failure t Request Hearing Deemed Acceptance f Sanctins Rule 509. Settlement Prir t Cmmencement f Hearing Rule 510. Hearing Prcedures Rule 511. Written Decisin f Hearing Panel Rule 512. Liability fr Expenses Rule 513. Effective Date f Sanctins Rule 514. Summary Suspensin Rule 515. Extensin f Time Limits CHAPTER 6 CONTRACTS TO BE TRADED Rule 601. Listing Prcedures Rule 602. Swaps Nt Readily Susceptible t Manipulatin CHAPTER 7 GOVERNING LAW, JURISDICTION AND DISPUTE RESOLUTION Rule 701. Chice f Law Rule 702. Disputes Amng Trading Privilege Hlders, Authrized Traders, Authrized Trading Firms and Custmers Rule 703. Disputes with the SEF CHAPTER 8 CONTRACT SPECIFICATIONS Rule 801. Interest Rate Swaps Prducts Descriptins Rule 802. Credit Derivatives Prducts Descriptins Rule 803. [Reserved] Rule 804. Equity Derivatives Prducts Descriptins Rule 805. Cmmdities Prduct Descriptins SEF Rulebk

5 Rule 806. NDF Prduct Descriptins Rule 807. Variance Swaps Prduct Descriptins CHAPTER 9 SYSTEM PROTOCOLS... 1 Rule 901. EBS SEF NDF System Prtcl... 1 SEF Rulebk

6 DEFINITIONS Except where the cntext requires therwise, the fllwing terms shall have the fllwing meanings when used in the Rules. Use f the singular shall include the plural and vice versa, unless the cntext requires therwise. Act means the Cmmdity Exchange Act, as amended frm time t time. Affiliate means, with respect t any persn, any ther persn wh cntrls, is cntrlled by r is under cmmn cntrl with such persn. Answer shall have the meaning set frth in Rule 505. Applicable Law means, with respect t any persn, any statute, law, regulatin, rule r rdinance f any Gvernmental Authrity applicable t such persn, including but nt limited t the Act and Cmmissin Regulatins. Applicant shall have the meaning set frth in Rule 203(d). Applicatin shall have the meaning set frth in Rule 203(d). Assciated Persn shall have the same meaning as in the Act and Cmmissin Regulatins. Authrized Trader means an individual designated as such by, and acting n behalf f, a Trading Privilege Hlder t enter Bids/Offers, issue and respnd t RFQs, submit Pre-Arranged Crsses, access a Trading Platfrm and execute transactins in Cntracts. Authrized Trading Firm means an entity designated as such by a Trading Privilege Hlder t enter Bids/Offers, issue and respnd t RFQs, submit Pre-Arranged Crsses, access a Trading Platfrm and execute transactins in Cntracts as an Intermediary fr such Trading Privilege Hlder, as a Custmer with DMA granted by such Trading Privilege Hlder, r as a Participant entering Bids/Offers n the EBS Order Bk in the name f a Prime Bank. Bid/Offer means a bid r ffer entered int a Trading Platfrm perated by the SEF r submitted t the SEF in respnse t an RFQ. Blck Trade shall have the meaning set frth in Cmmissin Regulatin Blck Trade Threshld shall have the meaning set frth in Rule 308. Bard means the Bard f Directrs f the SEF. Breakage Agreement means an agreement r any ther arrangement between the parties that prvides fr the assessment f liability r payment f damages between the parties t a Cleared Cntract in the event that the Cleared Cntract is rejected frm clearing. Business Day means any day n which a Cntract is available fr trading n the SEF. Call Optin means an Optin whereby (i) the purchaser has the right, but nt the bligatin, t buy an Underlying Interest, at the strike price specified; and (ii) the grantr has the bligatin, upn exercise, t enter int an Underlying Interest fr delivery in such Delivery Mnth, at such strike price. Chairman f the Bard means the chairman f the Bard f the SEF. Chief Cmpliance Officer means the chief cmpliance fficer f the SEF, r ne duly authrized t act with the authrity f the Chief Cmpliance Officer. SEF Rulebk i

7 Chief Executive Officer means the Chief Executive Officer and President f the SEF, r ne duly authrized t act with the authrity f such fficer. Class means, with respect t any Swap, a Cntract cvering the same Underlying Interest. Cleared Cntract means any Cntract that is listed fr clearing by the SEF. Clearing Firm means a clearing member f a DCO that is authrized pursuant t the rules f such DCO t clear transactins in any r all Cntracts. Clearing Firm Representatin shall have the meaning set frth in Rule 204(f). Cmmissin means the U.S. Cmmdity Futures Trading Cmmissin r any successr regulatry bdy. Cmmissin Regulatins means any rule, regulatin, rder, directive and any interpretatin theref prmulgated by the Cmmissin, as amended. Cmmdity shall have the same meaning as in the Act. Cmmdity Interest shall have the meaning set frth in Cmmissin Regulatin 1.3. Cnfirmatin shall have the same meaning as in Cmmissin Regulatin Cnfidential Infrmatin means all nn-public infrmatin that is stated t be r that can reasnably expected t be f a cnfidential r trade secret nature in any frm btained by a Participant frm the SEF in accessing r using the Systems, including, but nt limited t, any prcesses, r prprietary data, infrmatin r dcuments regarding the Systems, save t the extent that such infrmatin: (i) is already in the public dmain at the time f disclsure; (ii) enters the public dmain ther than by a breach f any bligatin f cnfidentiality; (iii) is required t be disclsed by reasn f Applicable Law, prvided that, where permitted by Applicable Law, prir ntice f such disclsure shall be prvided t the SEF as sn as practicable in rder t permit the SEF t seek a prtective rder r take ther apprpriate actin t safeguard the Cnfidential Infrmatin; r (iv) is permitted t be disclsed pursuant t the Rules. Cntract means any Swap listed fr trading n the SEF. Cvered Package Transactin means a MAT/Nn-MAT Uncleared Package Transactin, a MAT/Nn- Swap Instruments Package Transactin, and a MAT/Nn-CFTC Swap Package Transactin, each as defined in NAL Custmer means any persn (including anther Trading Privilege Hlder) that transacts n the SEF thrugh a Participant acting as an Intermediary. Custmer Type Indicatr Cdes shall have the meaning set frth in Rule 208. DCO means, with respect t any Swap, a derivatives clearing rganizatin authrized t clear such Swap. Delivery Mnth means, with respect t any Cntract, the mnth in which delivery f an Underlying Interest is t be made pursuant t the terms f such Cntract. Directr means a member f the Bard f the SEF. DMA means a Trading Privilege Hlder (including an Intermediary) permitting a Custmer t transmit rders electrnically t the Trading Privilege Hlder s systems fr nward transmissin t a Trading Platfrm utilizing the Trading Privilege Hlder s trading identificatin. EBS Order Bk means the Order Bk fr the EBS Trading Platfrm. SEF Rulebk ii

8 Emergency shall have the meaning set frth in Rule 104. Expiratin Day means the day n which an Optin expires. Executin Specialist means a SEF emplyee respnsible fr assisting Participants with entering Bids/Offers in the Order Bk, issuing and respnding t RFQs, executing and receiving reprts f Blck Trades and executing Pre-Arranged Crsses. Financial Entity has the meaning set frth in the Act. Gvernmental Authrity means any dmestic r freign gvernment (r plitical subdivisin), gvernmental r regulatry authrity, agency, curt, cmmissin r ther gvernmental r regulatry entity (including any self-regulatry assciatin). Hearing Date shall have the meaning set frth in Rule 506. Hearing Panel shall have the meaning set frth in the Operating Agreement. Hearing Panel Chairman shall have the meaning set frth in Rule 506. Hearing Recrd shall have the meaning set frth in Rule 510. Held Order means a firm executable Order placed fr entry nt the Order Bk. ICAP means ICAP Brking Hldings Nrth America LLC, the sle limited liability member f the SEF. ID shall have the meaning set frth in Rule 302. ICAP Indemnified Party shall have the meaning set frth in Rule 108(f). Indemnified Party shall have the meaning set frth in Rule 108(f). Indemnifying Party shall have the meaning set frth in Rule 108(f). Infrmatin shall have the meaning set frth in Rule 107. Intellectual Prperty Rights means all right, title and interest in and t (i) trademarks, service marks, brand names and ther indicatins f rigin and the gdwill assciated with the freging; (ii) inventins, patents, trade secrets, knw-hw, prcesses and systems; (iii) cpyright and database rights; and (iv) any ther intellectual prperty r similar prprietary rights in any jurisdictin, in each case whether registrable r nt. Intermediary means any futures cmmissin merchant, intrducing brker r cmmdity trading advisr registered with the Cmmissin, r any ther persn that is exempt frm such registratin, r nt required by Applicable Law t register, and acts in cmpliance with Applicable Law in perfrming similar functins, that enters Bids/Offers int a Trading Platfrm, issues and respnds t RFQs, reprts blck trades r submits Pre-Arranged Crsses t the SEF n behalf f Custmers r prvides such Custmers with DMA. Intermediated Transactin means any transactin n the SEF cnducted thrugh an Intermediary. ISDA means the Internatinal Swaps and Derivatives Assciatin, Inc. ISDA Reprting Party Rules means the dcument published by ISDA entitled Ddd Frank Act Swap Transactin Reprting Party Requirements dated July 15, 2013, as amended frm time t time. Last Trading Day means, with respect t any Swap, the last day n which trading is permitted fr such Swap in accrdance with the Rules. SEF Rulebk iii

9 Legal Entity Identifier r LEI shall have the same meaning as in Cmmissin Regulatins. Lsses shall have the meaning set frth in Rule 102(a). Majr Swap Participant shall have the same meaning as in the Act and Cmmissin Regulatins. Market Regulatin Staff means the emplyees f the SEF designated by the SEF as members f the Market Regulatin Staff, any agents f the SEF that assist the SEF in the implementatin, surveillance, and enfrcement f its rules and related bligatins, and the SEF s Regulatry Services Prvider. NAL means Cmmissin N-Actin Letter. NDF Cntract means a Cntract that is a nn-deliverable freign exchange frward cntract. NFA means the Natinal Futures Assciatin. Ntice shall have the meaning set frth in Rule 504. Operating Agreement means the limited liability cmpany agreement f the SEF. Optin means a Swap whereby ne party grants t anther the right, but nt the bligatin, t buy r sell a Cmmdity r ther Underlying Interest. Order means an instructin by a Custmer t a Participant t execute a transactin n behalf f such Custmer. Order Bk means a Trading Platfrm in which all Trading Privilege Hlders have the ability t enter, bserve and transact n multiple Bids/Offers. Package Transactin means a transactin executed n the SEF r subject t the Rules invlving tw r mre instruments: (i) that is executed between tw r mre parties that are Participants r Custmers; (ii) that is priced r quted as ne ecnmic transactin with simultaneus r near simultaneus executin f all cmpnents; (iii) that has at least ne cmpnent that is a Swap that has been made available t trade pursuant t sectin 2(h)(8) f the Act; and (iv) where the executin f each cmpnent is cntingent upn the executin f all ther cmpnents. Participant means any Trading Privilege Hlder, Authrized Trader r Authrized Trading Firm. Participant Indemnified Party shall have the meaning set frth in Rule 108(f). Participatin Cmmittee shall have the meaning set frth in the Operating Agreement. Permitted Transactin means any transactin invlving a Swap that is nt subject t the trade executin requirement in sectin 2(h)(8) f the Act. persn means any individual, sle prprietrship, crpratin, limited liability cmpany, limited liability partnership, partnership, assciatin, estate, trust, gvernmental agency, unincrprated rganizatin r any ther legal entity. Physical Emergency shall have the meaning set frth in Rule 104. Psitin Limit means the maximum psitin, either net lng r net shrt, in ne Series r a cmbinatin f varius Series f a particular Class that may be held r cntrlled by ne persn, r subject t aggregatin with such persn s psitin, as prescribed by the SEF and/r Cmmissin. Pre-Arranged Crss means a Permitted Transactin pre-arranged pursuant t Rule 304(b). Prime Bank means a Trading Privilege Hlder that agrees t permit a Participant t enter Bids/Offers n the EBS Order Bk in the name f the Trading Privilege Hlder. SEF Rulebk iv

10 Prceeding shall have the meaning set frth in Rule 108(f). Prprietary Data and Persnal Infrmatin means data and infrmatin that separately disclses business transactins, market psitins r trade secrets f any persn. Public Directr means any persn wh qualifies as a public directr within the meaning set frth in the Cmmissin Regulatins. Put Optin means an Optin whereby (i) the purchaser has the right, but nt the bligatin, t sell an Underlying Interest at the strike price specified; and (ii) the grantr has the bligatin, upn exercise, t buy an Underlying Interest at such strike price. Recipient means a Participant wh is a recipient f an RFQ. Regulatry Agency means any gvernment bdy, including the Cmmissin and the U.S. Securities and Exchange Cmmissin ( SEC ), and any rganizatin, whether dmestic r freign, granted authrity under statutry r regulatry prvisins t regulate its wn activities and the activities f its members, the NFA and any ther SRO, nt including the SEF. Regulatry Oversight Cmmittee shall have the meaning set frth in the Operating Agreement. Regulatry Services Prvider means an utside rganizatin which prvides regulatry services t the SEF pursuant t an agreement. Related Parties shall have the meaning set frth in Rule 107. Request fr Qute r RFQ means a request by ne Participant t at least such minimum number f Participants as may be required by Cmmissin Regulatins frm time t time fr a market qute that shall cnstitute a Bid/Offer. Required Transactin means any transactin invlving a Swap that is subject t the trade executin requirement in sectin 2(h)(8) f the Act. Respndent shall have the meaning set frth in Rule 504(a). Review Panel shall have the meaning set frth in the Operating Agreement. Risk-Based Limits means the risk-based limits established by a Clearing Firm in accrdance with Cmmissin Regulatin Rule r Rules means the rules, reslutins, interpretatins, statements f plicy, decisins, directives and rders f the SEF. Secretary means the individual appinted by the Bard frm time t time t serve as secretary f the SEF. SEF means swap executin facility, as defined in the Act, r ICAP SEF (US) LLC, as the cntext requires. SEF Subject Persn means any persn that has cnsented t the jurisdictin f the SEF and agreed t be bund by and cmply with the Rules pursuant t Rule 201(e). Series means all Cntracts f the same Class having identical terms. SRO means self-regulatry rganizatin. Swap shall have the same meaning as in the Act and Cmmissin Regulatins. Swap Data Repsitry r SDR shall have the same meaning as in the Act. SEF Rulebk v

11 Swap Dealer shall have the same meaning as in the Act and Cmmissin Regulatins. Systems means the Trading Platfrms, including varius prprietary and third party sftware, firmware, hardware, keypads and supprting dcumentatin t which Participants are granted access by the SEF. System Prtcl means the terms frm time t time in frce upn which a Participant may access a specific Trading Platfrm, including any supplemental written guidelines prvided by the SEF t the Participant, as amended frm time t time. The System Prtcls shall be psted n the SEF website. In the event f any incnsistency between the prvisins f any System Prtcl and the Rules, the terms f the System Prtcl shall prevail. Terms Incrprated by Reference shall have the meaning set frth in Rule 312. Trade Cmmunicatin shall have the meaning set frth in Rule 312. Trading Platfrm means any f the separate electrnic central limit rder bks and ther systems administered by r n behalf f the SEF fr the trading f Cntracts pursuant t specific System Prtcls fr each such system. Trading Privilege Hlder means an individual r entity with Trading Privileges n the SEF granted pursuant t Rule 201 (including an Intermediary), but des nt include an Authrized Trading Firm r Authrized Trader. Trading Privileges means permissin frm the SEF given t any Trading Privilege Hlder in accrdance with Rule 201 t access the SEF, r t any Authrized Trading Firm r Authrized Trader in accrdance with Rule 202 t access the SEF. Trading Sessin means, with respect t any Cntract, the perid f hurs n any Business Day during which such Cntract is available fr trading, as specified in the Rules gverning such Cntract. Underlying Interest means the interest which is the subject f a Swap. Vilatin means a vilatin f any f the Rules. SEF Rulebk vi

12 Rule 101. Bard f Directrs and Officers CHAPTER 1 MARKET GOVERNANCE (a) Management. ICAP, the sle limited liability member f the SEF, has vested the pwer t manage, perate and set plicies fr the SEF exclusively in the Bard. The Bard has the pwer t appint such fficers f the SEF as it may deem necessary r apprpriate frm time t time. (b) Operating Agreement. The prvisins f Article 6 (Bard f Directrs) and Article 7 (Officers) f the Operating Agreement shall be deemed t be part f the Rules, and shall be deemed t be incrprated herein, t the same extent and with the same frce and effect as if set frth herein in their entirety. Rule 102. Limitatin f Liability (a) TO THE EXTENT PERMITTED BY APPLICABLE LAW, AND EXCEPT IN INSTANCES WHERE AN ICAP PARTY (AS DEFINED BELOW) HAS BEEN FINALLY ADJUDICATED TO HAVE ENGAGED IN GROSS NEGLIGENCE, OR WILLFUL OR WANTON MISCONDUCT, THE SEF AND ICAP (INCLUDING EACH OF THEIR RESPECTIVE SUBSIDIARIES AND AFFILIATES) AND THEIR RESPECTIVE OFFICERS, DIRECTORS, EMPLOYEES, AGENTS, CONSULTANTS AND LICENSORS (EACH, AN ICAP PARTY ), SHALL NOT BE LIABLE TO ANY PERSON FOR ANY LOSSES, DAMAGES, COSTS OR EXPENSES (INCLUDING, BUT NOT LIMITED TO, LOSS OF PROFITS, LOSS OF USE, AND DIRECT, INDIRECT, INCIDENTAL, CONSEQUENTIAL OR PUNITIVE DAMAGES) IN CONTRACT, TORT, NEGLIGENCE, STRICT LIABILITY, CONTRIBUTION OR OTHERWISE AND WHETHER THE CLAIM IS BROUGHT DIRECTLY OR AS A THIRD PARTY CLAIM, ARISING FROM: (1) ANY FAILURE, MALFUNCTION, FAULT IN DELIVERY, DELAY, OMISSION, SUSPENSION, INACCURACY, INTERRUPTION, TERMINATION, OR ANY OTHER CAUSE, IN CONNECTION WITH THE FURNISHING, PERFORMANCE, OPERATION, MAINTENANCE, USE OF OR INABILITY TO USE ALL OR ANY PART OF ANY OF THE SYSTEMS AND SERVICES OF THE SEF OR ICAP (INCLUDING EACH OF THEIR RESPECTIVE SUBSIDIARIES AND AFFILIATES), OR SERVICES, EQUIPMENT OR FACILITIES USED TO SUPPORT SUCH SYSTEMS AND SERVICES, INCLUDING WITHOUT LIMITATION ELECTRONIC ORDER ENTRY/DELIVERY, TRADING THROUGH ANY ELECTRONIC MEANS, ELECTRONIC COMMUNICATION OF MARKET DATA OR INFORMATION, WORKSTATIONS USED BY PARTICIPANTS, PRICE REPORTING SYSTEMS AND ANY AND ALL TERMINALS, COMMUNICATIONS NETWORKS, CENTRAL COMPUTERS, SOFTWARE, HARDWARE, FIRMWARE AND PRINTERS RELATING THERETO; OR (2) ANY FAILURE OR MALFUNCTION, FAULT IN DELIVERY, DELAY, OMISSION, SUSPENSION, INACCURACY, INTERRUPTION OR TERMINATION, OR ANY OTHER CAUSE, OF ANY SYSTEM OR SERVICE OF THE SEF OR ICAP (INCLUDING EACH OF THEIR RESPECTIVE SUBSIDIARIES AND AFFILIATES), OR SERVICES, EQUIPMENT OR FACILITIES USED TO SUPPORT SUCH SYSTEMS OR SERVICES, CAUSED BY ANY THIRD PARTIES INCLUDING, BUT NOT LIMITED TO, INDEPENDENT SOFTWARE VENDORS AND NETWORK PROVIDERS; OR (3) ANY ERRORS OR INACCURACIES IN INFORMATION PROVIDED BY THE SEF OR ICAP (INCLUDING EACH OF THEIR RESPECTIVE SUBSIDIARIES AND AFFILIATES) OR ANY SEF OR ICAP (INCLUDING EACH OF THEIR RESPECTIVE SUBSIDIARIES AND AFFILIATES) SYSTEMS, SERVICES OR FACILITIES; EXCEPT FOR INCORRECT ORDER STATUS; OR (4) ANY UNAUTHORIZED ACCESS TO OR UNAUTHORIZED USE OF ANY SEF OR ICAP (INCLUDING EACH OF THEIR RESPECTIVE SUBSIDIARIES AND AFFILIATES) SYSTEMS, SERVICES OR FACILITIES BY ANY PERSON. (b) NO EXPRESS OR IMPLIED WARRANTIES OR REPRESENTATIONS (INCLUDING BUT NOT LIMITED TO WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE OR USE) ARE PROVIDED BY THE SEF OR ICAP (INCLUDING EACH OF THEIR RESPECTIVE SUBSIDIARIES AND AFFILIATES), THEIR RESPECTIVE OFFICERS, DIRECTORS, EMPLOYEES, AGENTS, CONSULTANTS, OR LICENSORS RELATING TO ANY SYSTEMS OR SERVICES OF THE SEF OR ICAP (INCLUDING EACH OF THEIR RESPECTIVE SUBSIDIARIES AND AFFILIATES) OR SEF Rulebk 1

13 SERVICES, EQUIPMENT OR FACILITIES USED TO SUPPORT SUCH SYSTEMS OR SERVICES, INCLUDING A TRADING PLATFORM, WHICH ARE PROVIDED AS IS TO PARTICIPANTS. NEITHER THE SEF NOR ICAP MAKE ANY REPRESENTATIONS OR WARRANTIES, EXPRESS OR IMPLIED THAT ANY SYSTEMS OR SERVICES OF THE SEF OR ICAP (INCLUDING EACH OF THEIR RESPECTIVE SUBSIDIARIES AND AFFILIATES) OR SERVICES, EQUIPMENT OR FACILITIES USED TO SUPPORT SUCH SYSTEMS OR SERVICES, INCLUDING A TRADING PLATFORM, WILL MEET A PARTICIPANT S REQUIREMENTS, HAVE UNINTERRUPTED OR ERROR-FREE OPERATION, BE AVAILABLE DURING ANY SPECIFIED BUSINESS HOURS (WHETHER ADVERTISED OR NOT) OR OPERATE IN CONJUNCTION WITH OTHER SOFTWARE. (c) ANY DISPUTE ARISING OUT OF THE USE OF SYSTEMS OR SERVICES OF THE SEF OR ICAP (INCLUDING EACH OF THEIR RESPECTIVE SUBSIDIARIES AND AFFILIATES) OR SERVICES, EQUIPMENT OR FACILITIES USED TO SUPPORT SUCH SYSTEMS OR SERVICES IN WHICH THE SEF OR ICAP (INCLUDING EACH OF THEIR RESPECTIVE SUBSIDIARIES AND AFFILIATES), OR ANY OF THEIR RESPECTIVE OFFICERS, DIRECTORS, EMPLOYEES, AGENTS, CONSULTANTS OR LICENSORS IS A PARTY MUST BE BROUGHT WITHIN ONE YEAR FROM THE TIME THAT A CAUSE OF ACTION HAS ACCRUED. ANY SUCH DISPUTE MAY ONLY BE LITIGATED IN THE COUNTY OF NEW YORK IN THE STATE OF NEW YORK AND WILL BE GOVERNED BY THE LAWS OF THE STATE OF NEW YORK WITHOUT REGARD TO ANY PROVISIONS OF NEW YORK LAW THAT WOULD APPLY THE SUBSTANTIVE LAW OF A DIFFERENT JURISDICTION. (d) EXCEPT IN INSTANCES WHERE AN ICAP PARTY HAS BEEN FINALLY ADJUDICATED TO HAVE ENGAGED IN GROSS NEGLIGENCE, OR WILLFUL OR WANTON MISCONDUCT, IN NO EVENT SHALL THE ICAP PARTIES TOTAL COMBINED AGGREGATE LIABILITY FOR ALL CLAIMS ARISING OUT OF ANY NEGLIGENCE, FAILURES, MALFUNCTIONS, FAULTS IN DELIVERY, DELAYS, OMISSIONS, SUSPENSIONS, INACCURACIES, INTERRUPTIONS, TERMINATIONS, ORDER STATUS ERRORS OR ANY OTHER CAUSES, IN CONNECTION WITH THE FURNISHING, PERFORMANCE, OPERATION, MAINTENANCE, USE OF OR INABILITY TO USE ALL OR ANY PART OF ANY OF THE SEF S OR ICAP S (INCLUDING EACH OF THEIR RESPECTIVE SUBSIDIARIES AND AFFILIATES) SYSTEMS OR SERVICES, OR SERVICES, EQUIPMENT OR FACILITIES USED TO SUPPORT SUCH SYSTEMS AND SERVICES, OR THE NEGLIGENCE OF SEF OR ICAP (INCLUDING EACH OF THEIR RESPECTIVE SUBSIDIARIES AND AFFILIATES) STAFF, EXCEED $50,000 FOR ALL LOSSES FROM ALL CAUSES SUFFERED BY ALL PERSONS ON A SINGLE DAY; $200,000 FOR ALL LOSSES SUFFERED BY ALL PERSONS FROM ALL CAUSES IN A SINGLE CALENDAR MONTH; AND $500,000 FOR ALL LOSSES FROM ALL CAUSES SUFFERED BY ALL PERSONS IN A SINGLE CALENDAR YEAR. (e) A CLAIM AGAINST THE SEF OR ICAP (INCLUDING EACH OF THEIR RESPECTIVE SUBSIDIARIES AND AFFILIATES), ARISING OUT OF ANY FAILURE OR MALFUNCTION SHALL ONLY BE ALLOWED IF SUCH CLAIM IS BROUGHT IN ACCORDANCE WITH THIS RULE. (f) NOTWITHSTANDING THE FOREGOING, THE LIMITATION OF LIABILITY PURSUANT TO THIS RULE 102 IS LIMITED TO CLAIMS ARISING OUT OF THE SEF S AND ICAP S (INCLUDING EACH OF THEIR RESPECTIVE SUBSIDIARIES AND AFFILIATES) OPERATION OF THE SEF AND/OR PROVISION OF SERVICES TO THE SEF. Rule 103. Cnfidentiality (a) The SEF shall nt, and shall cause its Affiliates nt t, use fr business r marketing purpses any Prprietary Data r Persnal Infrmatin it r any f its Affiliates cllects r receives, frm r n behalf f any persn, fr the purpse f fulfilling the SEF s regulatry bligatins, unless the persn wh prvided such data r infrmatin cnsents t the SEF s use f such data r infrmatin fr such purpses. In furtherance f Applicable Law, the SEF may share such data and infrmatin with its Affiliates, the Cmmissin, ne r mre SEFs, SDRs, DCOs r Designated Cntract Markets registered with the Cmmissin, and, t the extent permitted by Applicable Law, ther Gvernmental Authrities, including thse in cuntries utside the U.S. The SEF may, upn request f a Trading Privilege Hlder, prvide a list f current Trading Privilege Hlders f the SEF n a cnfidential basis. The receiving Trading Privilege Hlder shall nt disclse the cntents f the list withut the prir cnsent f the SEF. Prprietary Data and Persnal Infrmatin shall nt include aggregated price and vlume infrmatin nt identified with a specific Participant r Custmer, and the SEF may use such aggregated infrmatin fr business and marketing purpses. SEF Rulebk 2

14 (b) N SEF Affiliate, member f the Bard r any cmmittee established by the Bard r by r pursuant t the Rules f the SEF, r any fficer r ther emplyee r cnsultant f the SEF, shall, either during r after service with the SEF, (1) trade fr such persn s wn accunt, r fr r n behalf f any ther accunt, in any Cmmdity Interest, n the basis f any material, nn-public infrmatin btained thrugh special access related t the perfrmance f such persn s fficial duties, r (2) absent prir written cnsent f the SEF, use, directly r indirectly, infrmatin that is deemed t be nn-public infrmatin, r disclse nn-public infrmatin t thers, except (i) t thers within the SEF, the SEF s Affiliates r t utside advisrs theref r ther service prviders fr the SEF, prvided that such advisrs and service prviders are subject t cnfidentiality bligatins, and that, in each case, such disclsure is necessary fr the perfrmance f SEF-related duties by the individual r entity, (ii) if required by regulatry authrity, r (iii) if cmpelled t d s by valid legal prcess, prvided that the individual r entity ntifies the SEF in advance theref t the extent permitted. (c) Subject t Rule 103(a), the SEF shall nt, except as reasnably necessary t perate any Trading Platfrm, t fulfill its bligatins under this Rulebk r t cmply with Applicable Law r any request f the Cmmissin, withut the prir written cnsent f a Trading Privilege Hlder in each instance, (i) use in advertising, publicity, marketing r ther prmtinal materials, the name, trade name, trademark, trade device, service mark r symbl f such Trading Privilege Hlder r any f its Affiliates, r (ii) represent that any prduct r any service prvided by the SEF has been apprved r endrsed by such Trading Privilege Hlder r any f its Affiliates. (d) Fr purpses f this Rule 103, the terms emplyee, material infrmatin and nn-public infrmatin have the meanings ascribed t them in Cmmissin Regulatin Rule 104. Emergency Actin (a) Definitins. As used in this sectin: The term Emergency shall mean any ccurrence r circumstance which, in the pinin f the SEF, requires immediate actin and threatens r may threaten such things as the fair and rderly trading in, r the liquidatin f, r delivery pursuant t, any Cntracts n the SEF, including any manipulative r attempted manipulative activity; any actual, attempted, r threatened crner, squeeze, cngestin, r undue cncentratin f psitins; any circumstances which may materially affect the perfrmance f Cntracts traded n the SEF, including failure f the payment system r the bankruptcy r inslvency f any Participant; any actin taken by any Gvernmental Authrity, r any ther bard f trade, swap executin facility, market r facility which may have a direct impact n trading n the SEF and any ther circumstance which may have a severe, adverse effect upn the functining f the SEF. (b) Emergency actin may be taken by the fllwing: (1) By the Bard in the case f any Emergency; (2) By any tw members f the Bard in the case f any Emergency where it is impracticable, in the pinin f the Chairman f the Bard r in his r her absence, any tw (2) members f the Bard, t call a meeting f the Bard t deal with the Emergency; r (3) By any cmmittee f the SEF pursuant t pwers cnferred n said cmmittee under the Rules r by the Bard. (c) Vte Required The vte required f the Bard r cmmittee authrized t take any Emergency actin hereunder shall be: SEF Rulebk 3

15 (1) In the case f actin by the Bard, the affirmative vte f a majrity f the members f the Bard present and vting at a meeting at which there is a qurum; r (2) In the case f actin by a cmmittee, the affirmative vte f tw (2) r mre persns cnstituting nt less than a majrity f the members f said cmmittee present and vting at a meeting at which there is a qurum; The cnsent in writing t any Emergency actin f all members f the Bard r f a cmmittee, as applicable, shall be sufficient t take such Emergency actin withut a meeting. A member f the Bard r f a cmmittee shall be deemed present r in attendance at a meeting if such a persn participates in the meeting by means f a cnference telephne r similar cmmunicatins equipment allwing all persns participating in the meeting t hear each ther at the same time. (d) Actin which may be taken (1) In the event f an Emergency, the SEF may, subject t Part 40 f the Cmmissin Regulatins under the Act, place int immediate effect a Rule which may prvide fr, r may authrize the SEF, r any cmmittee, t undertake actins which, in the pinin f the SEF are necessary r apprpriate t meet the Emergency, including, but nt limited t, such actins as: (i) (ii) (iii) (iv) (v) (vi) (vii) (viii) (ix) (x) (xi) Extending r shrtening the expiratin date fr trading in Cntracts; Extending the time f delivery under r expiratin f Cntracts; Extending, limiting r changing hurs f trading; Impsing r mdifying price limits; Impsing r mdifying Psitin Limits; Impsing r mdifying intraday market restrictins; Ordering the liquidatin r transfer f pen psitins in any Cntract; Ordering the fixing f a settlement price; Suspending trading pursuant t Rule 105 r curtailing trading in any Cntract; Altering any Cntract s settlement terms r cnditins; and Mdifying r suspending any prvisin f the Rules. (2) In the event f an Emergency when a qurum f the Bard is nt available, all trading n the SEF may be suspended by an affirmative vte f a majrity f the Directrs present, r by actin f ne Directr if nly ne Directr is present, fr such perid f time as in their r his r her judgment is necessary. In the event f an Emergency which prevents nrmal attendance at a meeting f the Bard, when n Directr is present, any authrized fficer f the SEF shall have authrity t rder suspensin f trading n the SEF fr such perid f time as in his r her judgment is necessary. Any actin taken under this paragraph (b) shall be subject t review and mdificatin by the Bard. (3) Whenever any actin is taken under this Rule pursuant t which trading is suspended r ther changes in prcedure are made, all matters relating t ntices, deliveries and ther bligatins may be suspended r deferred in such manner as the Bard r cmmittee, as the case may be, may determine. SEF Rulebk 4

16 (4) The SEF may be required t take an Emergency actin when directed by the Cmmissin. If a Cntract is traded bth n the SEF and n ne r mre ther swap executin facilities, any Emergency actin t liquidate r transfer f pen psitins in any Cntract will be made in cnsultatin with the Cmmissin r Cmmissin staff. (e) Physical Emergencies (1) In the event the physical functins f the SEF are, r are threatened t be, severely and adversely affected by a physical emergency, such as fire r ther casualty, bmb threat, substantial inclement weather, pwer failure, cmmunicatin r transprtatin breakdwn, cmputer malfunctin, screen-based Trading Platfrm break-dwn, malfunctin f plumbing, heating, ventilatin and air cnditining systems, backlg r delay in clearing r in the prcessing f data related t clearing Cleared Cntracts (a Physical Emergency ), the Chairman f the Bard, r in his r her absence the Chief Executive Officer, r in bth f their absences any ther fficer may take any actin which, in the pinin f such fficer is necessary r apprpriate t deal with the Physical Emergency, including, but nt limited t, suspending trading in any ne r mre Cntracts, delaying the pening f trading in any ne r mre Cntracts, extending the Last Trading Day and/r the time f trading. (2) In the event a designated fficer has rdered suspensin f trading, the Chairman f the Bard r the Chief Executive Officer, r in their absence any ther fficer may rder restratin f trading n the SEF, r may remve ther restrictins s impsed, if such fficer determines that the Physical Emergency has sufficiently abated t permit the physical functins f the SEF t cntinue in an rderly manner. (f) The SEF will prmptly reprt any actin taken hereunder t the Cmmissin and explain the decisin-making prcess, the reasns fr the exercise f emergency authrity and hw any cnflicts f interest were addressed. Any emergency Rule r Rule amendment shall be filed with the Cmmissin in accrdance with Part 40 f the Cmmissin Regulatins under the Act. (g) In exercising its authrity under this Rule 104, the SEF shall, in its reasnable discretin, and where apprpriate, permitted by Applicable Law and nt precluded by exigent circumstances, cnsult and crdinate with DCOs, ther swap executin facilities, bards f trade, relevant Participants, and ther parties in cnsidering what actins t take hereunder. Rule 105. Suspensin f Trading The Bard may, in its discretin, by an affirmative vte f a majrity f the Directrs present at a meeting at which there is a qurum (which, in an Emergency ther than a Physical Emergency, may be held withut previus ntice), clse the SEF r suspend trading in any ne r mre Cntracts n such days r prtins f days as will, in its judgment, serve t prmte the best interest f the SEF. Rule 106. Risk Cntrls fr Trading The Regulatry Oversight Cmmittee may impse cntrls t reduce the ptential risk f market disruptin, including but nt limited t market restrictins that pause r halt trading in specified market cnditins. Rule 107. Market Data Subject t Rule 103, and each Participant s and Custmer s rights in its wn Prprietary Data and Persnal Infrmatin, the SEF wns all rights, title and interest in and t all intellectual prperty and ther prprietary rights (including all cpyright, database rights, trademarks and trade secrets, r similar prprietary rights in any jurisdictin whether r nt registrable) in and t any data (including withut limitatin Bids/Offers, RFQs, Pre-Arranged Crsses, prices and vlumes f transactins), analytics, research r ther infrmatin cntained in, displayed n, generated by r derived frm the SEF and the SEF Rulebk 5

17 Trading Platfrms (cllectively the Infrmatin ). The SEF shall nt decmpile r reverse engineer any f a Participant s r Custmer s Prprietary Data and Persnal Infrmatin fr the purpse f ascertaining such Participant s r Custmer s trading strategies, except t the extent reasnably necessary fr the SEF s peratins, t perfrm its surveillance and mnitring functins r t therwise cmply with Applicable Law. Subject t each Participant s and Custmer s rights in its wn Prprietary Data and Persnal Infrmatin, each Participant and Custmer (i) agrees t keep the Infrmatin cnfidential and cause each f its emplyees, Affiliates, Authrized Trading Firms, Custmers, agents, cnsultants, independent sftware vendrs and ther persns affiliated with any f the freging, as applicable (cllectively Related Parties ), t keep the Infrmatin cnfidential, and (ii) agrees nt t, and shall cause its applicable Related Parties nt t, sell, lease, license, transfer, prvide r therwise make available t any third party any frm f access t r use f any f the Infrmatin, r use the Infrmatin fr any purpse ther than such Participant s r Custmers wn trading activity (and nt, fr the avidance f dubt, fr use by such Participant s r Custmer s sales, risk management, research, wealth management r asset management departments/functins). Each Participant and Custmer agrees that it shall nt, and shall cause its Related Parties nt t, alter, enhance, make derivative wrks f, dwnlad t cmputer r reverse engineer all r any part f the Infrmatin (ther than such Participant s r Custmer s Prprietary Data and Persnal Infrmatin). Rule 108. Intellectual Prperty (a) The Systems are the exclusive Intellectual Prperty f the SEF r its affiliates r licensrs. Participants have n access t the Systems and n rights with respect t the Systems, except as expressly granted by the SEF. Subject t any required apprvals frm any applicable Regulatry Agency, the SEF shall have the right t mdify at any time a System s functinality, cnfiguratin, appearance, cntent and the Swaps made available fr trading via a System. (b) Upn granting Trading Privileges t a Participant, the SEF grants t that Participant a revcable, nn-exclusive, nn-transferable license t access and use the Systems in accrdance with the Rules fr the sle purpse f (i) entering int Swaps via the Systems, and (ii) receiving and transmitting infrmatin generated by r made available thrugh the Systems frm time t time. Such license shall terminate when the Participant s Trading Privileges terminate. (c) Intellectual Prperty Rights (1) By becming a Participant, each Participant acknwledges and agrees that the Intellectual Prperty Rights in the Systems are a valuable asset f the SEF r its affiliates r licensrs r their respective successrs. Each Participant shall prtect and safeguard the Intellectual Prperty Rights in and t the Systems by using the same degree f care that the Participant generally uses t prtect its wn Intellectual Prperty Rights and business assets, but in any event with n less than a reasnable degree f care. (2) Each Participant shall prmptly ntify the SEF upn becming aware f any infringement r misapprpriatin f any Intellectual Prperty Rights f the SEF r its affiliates r licensrs. Each Participant shall cmply with all reasnable requests made by the SEF (at the SEF s reasnable expense) t prtect and enfrce the Intellectual Prperty Rights f the SEF r its affiliates r licensrs in the Systems. (d) Restrictins (1) Subject t Rule 202, a Participant shall nt sell, lease, license, transfer, prvide r therwise make available t any third party (including an affiliate f Participant), any frm f access t r use f the System. (2) A Participant shall nt alter, enhance, make derivative wrks f, dwnlad t cmputer, decmpile, disassemble r reverse engineer all r any part f the Systems except slely t the extent (i) SEF Rulebk 6

18 expressly required by Applicable Law r permitted by the Rules, r (ii) necessary in direct cnnectin with supprt functins related t transactins n r subject t the Rules. (e) Ntwithstanding Rule 102, the SEF represents and warrants that it wns r is licensed all Intellectual Prperty Rights in r t the Systems. (f) Indemnities (1) The SEF shall defend, indemnify and hld harmless each Participant and its fficers, directrs, emplyees and agents (each a Participant Indemnified Party ) frm and against all Lsses as a result f any third party claim r prceeding f any nature ( Prceeding ) against a Participant Indemnified Party determining that the Systems (ther than the EBS NDF System, which includes but is nt limited t the technlgy knwn as EBS Dealing Service and Brkernet), r the use theref by the Participant Indemnified Party as authrized hereunder, vilates any Intellectual Prperty Rights f any third party prvided that such Lsses d nt result frm (i) any Participant Indemnified Party s fraud, grss negligence r willful miscnduct; (ii) vilatin f Applicable Law by the Participant Indemnified Party; r (iii) the Participant s breach f the Rules. (2) Each Participant shall defend, indemnify and hld harmless the SEF and each ICAP Party (each an ICAP Indemnified Party ) frm and against any Lsses t which any ICAP Indemnified Party may becme subject, insfar as such Lsses arise ut f r in cnnectin with, r are based upn any Prceeding against an ICAP Indemnified Party that arises ut f r relates t any access, use r misuse f the Systems by the Participant r by any persn accessing the Systems using the Participant s ID prvided that such Lsses d nt result frm (i) an ICAP Indemnified Party s fraud, grss negligence r willful miscnduct; (ii) vilatin f Applicable Law by the ICAP Indemnified Party; r (iii) the ICAP Indemnified Party s breach f the Rules. (3) If a Prceeding is cmmenced against a party entitled t indemnificatin under this Rule 108 (the Indemnified Party ), ntice shall be given t the party bligated t prvide such indemnificatin (the Indemnifying Party ) as sn as reasnably practicable. The Indemnifying Party shall be entitled t take cntrl f the Prceeding and any settlement f it, and the Indemnified Party shall give the Indemnifying Party, at the Indemnifying Party s reasnable cst, all reasnable assistance in relatin t the Prceeding. (4) Ntwithstanding anything t the cntrary cntained in Rule 102 r a System Prtcl, n limitatin r exclusin f liability shall apply with respect t any direct lsses r claims based n cnfidentiality, r t the SEF s intellectual prperty infringement indemnificatin bligatins set frth in this Rule 108. (g) Cnfidentiality Each Participant shall keep cnfidential all Cnfidential Infrmatin f the SEF r the SEF s affiliates r licensrs, bth during the term and after terminatin f the license granted by this Rule 108. Each Participant may disclse Cnfidential Infrmatin t its prfessinal advisers but therwise may nly disclse Cnfidential Infrmatin t thse f its emplyees and representatives wh need t knw such Cnfidential Infrmatin fr the purpses f exercising r perfrming the rights and bligatins f Participant under the Rules and have been infrmed f the cnfidential nature f the Cnfidential Infrmatin divulged. N Participant will disclse Cnfidential Infrmatin t any third party except as fllws: (i) with the cnsent f the SEF; (ii) as necessary t a DCO f which such Participant is a member r in cnnectin with the clearing f a Swap; (iii) subject t apprpriate cnfidentiality requirements n less stringent than the cnfidentiality prvisins hereunder, t any persn prviding services t such party relating t transactins n r subject t the Rules; r (iv) t the SEF s Regulatry Services Prvider. (h) Each Participant shall maintain cmmercially available virus checking sftware t prtect itself and the Systems frm viruses, ntify the SEF immediately f any defect in the System r any SEF Rulebk 7

19 unauthrized access r change t the System f which the Participant becmes aware and cmply with any security measures and prcedures fr authenticatin required by the SEF frm time t time. SEF Rulebk 8

20 CHAPTER 2 TRADING PRIVILEGES Rule 201. Trading Privilege Hlders (a) Trading Privileges (1) Subject t the requirements and prcedures set frth in this Chapter 2, Trading Privileges will be granted t all applicants frm time t time apprved by the SEF as eligible t be Trading Privilege Hlders, subject t any limitatins r restrictins frm time t time impsed by the SEF. Trading Privileges are nntransferable (except under certain limited circumstances which must be apprved by the SEF), nn-assignable and may nt be sld r leased. Circumstances under which Trading Privileges may be transferred, subject t SEF apprval, include, fr example, transfers due t crprate rerganizatins. Each Trading Privilege Hlder will have the right t access a Trading Platfrm, subject t the applicable System Prtcl, including the right t: (i) accunts; place Bids/Offers, RFQs and Pre-Arranged Crsses fr each f its prprietary (ii) if therwise registered in any required capacity (r exempt frm registratin) and authrized t act n behalf f Custmers under the Act and Cmmissin Regulatins thereunder r any freign equivalent law r regulatins, place Bids/Offers, RFQs and Pre-Arranged Crsses fr the accunts f such Custmers as an Intermediary; and (iii) appint ther persns t act n its behalf as an Authrized Trader r an Authrized Trading Firm pursuant t Rule 202. (2) By virtue f btaining Trading Privileges, a Trading Privilege Hlder will nt btain any equity r ther interest in the SEF, including vting rights r rights t receive any dividends r ther distributins, whether arising frm a disslutin, merger r cnslidatin invlving the SEF r therwise. (3) In granting Trading Privileges, the SEF may impse such restrictins r limitatins as it may deem necessary r apprpriate. The SEF shall apply such restrictins r limitatins t applicants in an impartial, nn-discriminatry manner, cnsistent with the Act and Cmmissin Regulatins thereunder. The SEF will deny the grant f Trading Privileges where an applicant has failed t meet any requirements fr such grant. (b) Financial Requirements (1) Any persn that wishes t have Trading Privileges must be f gd financial standing and must meet the financial and related reprting requirements set frth in this Rule 201. (2) Each Trading Privilege Hlder must prvide a signed written r electrnic representatin, prir t being granted access t the SEF, that it qualifies as an eligible cntract participant as defined in the Act upn initial applicatin fr Trading Privileges. (3) Each Trading Privilege Hlder shall, n less frequently than annually, prvide the SEF either with (i) its annual financial reprt that it prvides t the Cmmissin r (ii) a written r electrnic representatin prviding that such Trading Privilege Hlder has been, and cntinues t be as f such date, an eligible cntract participant as defined in the Act. (4) Each Trading Privilege Hlder must ntify the SEF s Chief Cmpliance Officer immediately upn becming aware that it fails t satisfy the minimum financial requirements applicable t it. SEF Rulebk 9

21 (5) Unless and until a Trading Privilege Hlder is able t demnstrate t the SEF that it is in cmpliance with the minimum financial requirements applicable t it, such Trading Privilege Hlder may nt engage in any transactins subject t the Rules f the SEF, except fr the purpse f clsing pen psitins that were pened n the SEF. (c) Fitness Standards (1) The SEF may deny the grant f Trading Privileges, r may prevent a persn frm becming an Authrized Trader r an Authrized Trading Firm f a Trading Privilege Hlder, if such persn: (i) is unable satisfactrily t demnstrate a capacity t adhere t all applicable Rules f the SEF, Rules f any DCO t which the Trading Privilege Hlder submits Cleared Cntracts fr clearing, Cmmissin Regulatins and SRO regulatins, including thse cncerning recrdkeeping, reprting, financial requirements and trading prcedures; (ii) (iii) wuld bring the SEF int disrepute; r fr such ther cause as the SEF reasnably may decide. (2) The SEF may determine nt t permit a Trading Privilege Hlder r any Authrized Trader r Authrized Trading Firm f a Trading Privilege Hlder t keep its, his r her Trading Privileges r maintain his r her assciatin with a Trading Privilege Hlder, as the case may be, if such Trading Privilege Hlder, Authrized Trader r Authrized Trading Firm: (i) fails t meet any f the qualificatin requirements fr Trading Privileges r Authrized Trader r Authrized Trading Firm status after such Trading Privileges r Authrized Trader r Authrized Trading Firm status has been apprved; (ii) fails t cmply with any limitatin placed by the SEF n such Trading Privileges r Authrized Trader r Authrized Trading Firm status; r (iii) cmmits a material Vilatin. (3) Any decisin made by the SEF pursuant t this Rule 201 must be cnsistent with bth the prvisins f this Rule and the Act and Cmmissin Regulatins thereunder. (d) The SEF may (i) deny the grant f Trading Privileges, (ii) prevent a persn frm becming an Intermediary, Authrized Trader r an Authrized Trading Firm f a Trading Privilege Hlder, and (iii) determine nt t permit a Trading Privilege Hlder r any Intermediary, Authrized Trader r Authrized Trading Firm f a Trading Privilege Hlder t keep its, his r her Trading Privileges r maintain his, her r its assciatin with a Trading Privilege Hlder, as the case may be, if such Trading Privilege Hlder, Intermediary, Authrized Trader r Authrized Trading Firm causes r wuld cause the SEF t be in vilatin f Applicable Law. (e) Cnsent t SEF Jurisdictin Prir t btaining access t the SEF and each time a Participant r Custmer initiates r executes a transactin n the SEF, directly r thrugh an Intermediary, each Participant and each Custmer shall be deemed t have expressly cnsented t the jurisdictin f the SEF and agreed t be bund by and cmply with the Rules. At the time any Clearing Firm prvides a Clearing Firm Representatin, each such Clearing Firm shall expressly cnsent t the jurisdictin f the SEF and agree t be bund by and cmply with the Rules. SEF Rulebk 10

22 Rule 202. Authrized Traders and Authrized Trading Firms (a) Each Trading Privilege Hlder may frm time t time permit ne r mre persns t enter Bids/Offers, issue and respnd t RFQs, submit Pre-Arranged Crsses, access a Trading Platfrm and effect transactins in Cntracts n the SEF. Such authrity may be granted t ne r mre Authrized Traders r t ne r mre Authrized Trading Firms. (1) Authrized Traders (i) Each Trading Privilege Hlder which is trading fr its wn accunt as a principal may permit ne r mre individuals as Authrized Traders t enter Bids/Offers and RFQs and Pre-Arranged Crsses n its behalf. In such case, the Trading Privilege Hlder shall be principal t any resulting transactins made n its behalf by such Authrized Traders. (ii) Each Trading Privilege Hlder which is an Intermediary trading fr the accunts f Custmers may permit ne r mre individuals as Authrized Traders t enter Bids/Offers and RFQs and Pre-Arranged Crsses n its behalf as an Intermediary fr such Custmers. In such cases, the Trading Privilege Hlder has respnsibility fr all actins and failures t act f such Authrized Traders, but the Custmer n whse behalf each transactin is made shall be the principal t any transactins made n its behalf by such Authrized Traders. (iii) Each Trading Privilege Hlder which is an Intermediary trading fr the accunts f Custmers that are natural persns may prvide such a Custmer with DMA t the SEF by permitting the Custmer t becme an Authrized Trader t enter Bids/Offers and RFQs n behalf f the Custmer. In such case, the Custmer shall be the principal t any transactins entered int as an Authrized Trader. As prvided fr in sectin (b)(3) belw, the SEF may grant r deny DMA t a Custmer in its sle discretin. (iv) The Trading Privilege Hlder shall be respnsible t the SEF fr acting with reasnable care in granting Authrized Trader status. (2) Authrized Trading Firms (i) Each Trading Privilege Hlder which is an Intermediary trading fr the accunts f Custmers that are entities may prvide such a Custmer with DMA t the SEF by permitting the Custmer t becme an Authrized Trading Firm and by permitting ne r mre individuals assciated with the Authrized Trading Firm t becme Authrized Traders t enter Bids/Offers and RFQs n behalf f the Custmer. In such case, the Custmer n whse behalf each transactin is made shall be the principal t any transactins made n its behalf by such Authrized Trading Firm thrugh the Authrized Traders. As prvided fr in sectin (b)(3) belw, the SEF may grant r deny DMA t a Custmer in its sle discretin. (ii) Each Trading Privilege Hlder may prvide an Intermediary trading fr the accunt f the Trading Privilege Hlder with access t the SEF by permitting such Intermediary t becme an Authrized Trading Firm and by permitting ne r mre individuals assciated with the Authrized Trading Firm t becme Authrized Traders t enter Bids/Offers and RFQs and Pre-Arranged Crsses n behalf f the Trading Privilege Hlder. In such case, the Trading Privilege Hlder shall be the principal t any transactins made n its behalf by such Authrized Trading Firm thrugh the Authrized Traders. (iii) The Trading Privilege Hlder shall be respnsible t the SEF fr acting with reasnable care in granting Authrized Trading Firm status. (iv) Each Trading Privilege Hlder will btain a signed written r electrnic representatin, prir t being granted access t the SEF, that each f its Authrized Trading SEF Rulebk 11

23 Firms cntinues t qualify as an eligible cntract participant as defined in the Act and prvide such representatin t the SEF. (b) SEF Apprval (1) N persn may act as an Authrized Trader r Authrized Trading Firm befre being apprved t d s by the SEF. (2) Each prspective Authrized Trader and Authrized Trading Firm will submit an applicatin in the frm required by the SEF and will satisfy such requirements as may be prescribed by the SEF frm time t time. N Authrized Trading Firm r Authrized Trader shall satisfy such requirements unless the Authrized Trading Firm and related Authrized Traders expressly cnsent t the jurisdictin f the SEF and agree t be bund by and cmply with the SEF Rules. Each prspective Authrized Trading Firm must prvide a written r electrnic representatin, prir t being granted access t the SEF, that it qualifies as an eligible cntract participant as defined in the Act and that it has all registratins, licenses and cnsents required by its cnstituent dcuments and Applicable Law t transact in Cntracts. (3) DMA t the SEF by an Authrized Trader r an Authrized Trading Firm shall be granted r denied in the sle discretin f the SEF. The SEF will ntify a Trading Privilege Hlder f its apprval r disapprval f the designatin f an Authrized Trader r Authrized Trading Firm fr DMA. The SEF may, in its sle discretin, revke r suspend the designatin f an Authrized Trader r Authrized Trading Firm fr DMA, and shall ntify the Trading Privilege Hlder f such actin in accrdance with prcedures established by the SEF. (c) Respnsibilities t the SEF. (1) Each Trading Privilege Hlder shall ntify the SEF in writing if its relatinship with an Authrized Trader r Authrized Trading Firm has been terminated, and such Trading Privilege Hlder may at any time revke any authrizatin granted by it t any Authrized Trader r Authrized Trading Firm by prviding written ntice f such revcatin t the SEF. (2) By permitting any f its Authrized Traders and/r Authrized Trading Firms t access and use a Trading Platfrm frm any jurisdictin r t act as an Intermediary fr trades n behalf f Custmers lcated in any jurisdictin, each Trading Privilege Hlder represents and warrants that each such access t r use f a Trading Platfrm, r actin as an Intermediary, des nt vilate any law applicable t the Trading Privilege Hlder, the Authrized Trader, the Authrized Trading Firm r, t such Trading Privilege Hlder s knwledge, the SEF. (d) Intermediatin (1) A Participant may nt act as an Intermediary fr any ther entity r persn unless the Trading Privilege Hlder r Authrized Trading Firm is registered with the Cmmissin as a futures cmmissin merchant, intrducing brker r cmmdity trading advisr, r is exempt frm such registratin, r nt required by Applicable Law t register, and the Authrized Trader f a futures cmmissin merchant r intrducing brker is registered as an Assciated Persn f such futures cmmissin merchant r intrducing brker, r is exempt frm such registratin. (2) A Trading Privilege Hlder, Authrized Trader r Authrized Trading Firm may nt transact as an Intermediary fr any Custmer unless the Trading Privilege Hlder r Authrized Trading Firm has submitted a signed representatin t the SEF that each f its Custmers is an eligible cntract participant as defined in the Act. SEF Rulebk 12

24 Rule 203. Financial Integrity (a) Each Trading Privilege Hlder, Authrized Trading Firm and Custmer must be an eligible cntract participant as defined in the Act (i) prir t btaining access t the SEF, and (ii) at the time that such persn enters int each transactin n the SEF r subject t the Rules. (b) Fr Cleared Cntracts: (1) each Trading Privilege Hlder r Authrized Trading Firm transacting n the SEF as a principal is required t demnstrate t the SEF, with apprpriate dcumentary evidence as required by the SEF frm time t time, that such Trading Privilege Hlder r Authrized Trading Firm is a Clearing Firm r that it has clearing arrangements in place with a Clearing Firm, including having the Clearing Firm Representatin required by Rule 204(f); and (2) each Trading Privilege Hlder acting as an Intermediary shall cnfirm that each f its Custmers has clearing arrangements in place with a Clearing Firm and btain frm its Custmers any dcumentary evidence as required by the SEF frm time t time t that effect, including any Clearing Firm Representatin required by Rule 204(f). The Trading Privilege Hlder shall prvide such dcumentary evidence t the SEF. (c) Fr Cntracts listed n the SEF as bilateral Cntracts, each Trading Privilege Hlder, Authrized Trading Firm r Custmer that enters int such Cntracts as a principal must underg such credit checks and prvide such credit infrmatin as the SEF may require frm time t time. (d) Fr uncleared NDF Cntracts traded n the EBS Order Bk as Permitted Transactins, each Participant that wishes t enter int such NDF Cntracts must be apprved t enter Bids/Offers in accrdance with the fllwing prcedures: (1) Each Participant seeking apprval ( Applicant ) shall submit t the SEF an applicatin in the frm apprved by the SEF ( Applicatin ). (2) The Applicatin shall be apprved by the SEF if the Applicant satisfies any ne f the fllwing criteria: (i) the Applicant is trading in the name f a Prime Bank with access t mre than 80% f the prices n the EBS Order Bk during the 20 Business Days preceding the date f the Applicatin; r (ii) the Applicant has bilateral credit with at least 10 f the 20 mst active Trading Privilege Hlders transacting NDFs n the EBS Order Bk during the 20 Business Days preceding the date f the Applicatin; r (iii) the Applicant has bilateral credit with enugh Trading Privilege Hlders transacting in NDF Cntracts n the EBS Order Bk t have access t 40% r mre f the prices n the EBS Order Bk during the 20 Business Days preceding the date f the Applicatin. (3) The SEF may at any time request that a Participant, whse Applicatin has been apprved, submit an updated Applicatin. If the updated Applicatin shws that the Applicant des nt satisfy at least ne f the criteria in Rule 203(d)(2), the SEF shall terminate the Applicant s access t the EBS Order Bk fr NDF Cntracts with written ntice given 10 Business Days prir t terminatin. Rule 204. Clearing (a) All Cntracts executed n the SEF that are subject t mandatry clearing under Sectin 2(h) f the Act must be cleared thrugh a DCO by a Clearing Firm. Any ther Cntracts executed n the SEF SEF Rulebk 13

25 may be cleared at the discretin f the parties t such transactin; prvided that such Cntracts are able t be cleared thrugh a DCO by a Clearing Firm. (b) Pre-Executin Credit Check / Risk Screening. (1) In advance f submitting each Bid/Offer r Pre-Arranged Crss t the SEF fr any Cleared Cntract, each Trading Privilege Hlder r Authrized Trading Firm shall identify the Clearing Firm t which any resulting transactin will be submitted fr clearing at the relevant DCO and: (i) if acting as principal, shall ensure that it has sufficient credit with such Clearing Firm fr the resulting transactin and that the resulting transactin satisfies such Clearing Firm s Risk-Based Limits; and (ii) if acting as an Intermediary, ther than with respect t DMA, shall cnfirm that its Custmer has sufficient credit with the Custmer s Clearing Firm fr the resulting transactin and that the resulting transactin satisfies such Clearing Firm s Risk-Based Limits. In the event that there is insufficient credit r the transactin des nt satisfy a Clearing Firm s Risk-Based Limits, the Trading Privilege Hlder r Authrized Trading Firm may nt submit such Bid/Offer r Pre-Arranged Crss t the SEF. (2) Each Clearing Firm that prvides a Clearing Firm Representatin fr a Participant r Custmer may ntify the SEF f Risk-Based Limits it has established fr such Participant r Custmer, and such Risk-Based Limits shall becme effective upn acknwledgment f receipt by the SEF. Any change t such Risk-Based Limits shall becme effective nly upn acknwledgment f receipt by the SEF. (c) A Clearing Firm that seeks t effect transactins n the SEF fr its wn accunt r the accunt f any Custmer must be a Trading Privilege Hlder. (d) The SEF may share infrmatin with any DCO that wuld assist such DCO in evaluating and mnitring a Clearing Firm s cmpliance with these criteria. A Clearing Firm agrees t cperate with the SEF and each relevant DCO in any such mnitring. (e) rules. (f) Clearing Firms shall clear Cleared Cntracts in accrdance with all applicable Rules and DCO Clearing Firm Representatin (1) Each Trading Privilege Hlder r Authrized Trading Firm that is nt a Clearing Firm and is transacting in Cleared Cntracts n the SEF as a principal shall btain a representatin frm a Clearing Firm, in frm and substance satisfactry t, and apprved by, the SEF (a Clearing Firm Representatin ). Under such representatin, the Clearing Firm must accept fr clearing all Cleared Cntracts f each Trading Privilege Hlder r Authrized Trading Firm fr which it clears Cleared Cntracts, subject t any Risk-Based Limits that are in effect pursuant t Rule 204(b)(2). Where a Trading Privilege Hlder r Authrized Trading Firm uses the services f multiple Clearing Firms, a Clearing Firm shall be respnsible nly t the extent that it has been designated by such Trading Privilege Hlder r Authrized Trading Firm t clear a particular Cleared Cntract. (2) Each Trading Privilege Hlder acting as Intermediary shall btain frm the Custmer a Clearing Firm Representatin frm a Clearing Firm pursuant t which the Clearing Firm accepts fr clearing all transactins in Cleared Cntracts entered int by the Custmer, subject t any Risk-Based Limits that are in effect pursuant t Rule 204(b)(2). Where a Custmer uses the services f multiple Clearing Firms, a Clearing Firm shall be respnsible nly t the extent that it has been designated by such Custmer t clear a particular Cleared Cntract. SEF Rulebk 14

26 (3) Every Cntract that is subject t a Clearing Firm Representatin and results frm a Bid/Offer r Pre-Arranged Crss that is within any Risk-Based Limits that are in effect pursuant t Rule 204(b)(2) is deemed accepted fr clearing by the Clearing Firm upn executin. (4) A Clearing Firm may at any time (but n prir written ntice t the SEF) revke any Clearing Firm Representatin made by it t a Trading Privilege Hlder, Authrized Trading Firm r Custmer (as applicable) in accrdance with paragraph (1) and/r (2) abve, by prviding prir written ntice f such revcatin t the SEF. The Clearing Firm Representatin will remain in effect fr all Cntracts fr which Bids/Offers r Pre-Arranged Crss were submitted t a Trading Platfrm prir t the SEF s acknwledgement f the revcatin, which the SEF shall undertake t effectuate as prmptly as practicable. (5) Each Trading Privilege Hlder, Authrized Trading Firm r, if applicable, Custmer must assist its Clearing Firm and the DCO in the clearing f its Cleared Cntracts. (6) Upn ntice that a Clearing Firm has revked any authrizatin granted and Clearing Firm Representatin made by it t a Trading Privilege Hlder, Authrized Trading Firm r Custmer pursuant t this Rule 204(f), the right f such Trading Privilege Hlder, Authrized Trading Firm r Custmer (as applicable) t enter int Cleared Cntracts will be autmatically terminated, and such Trading Privilege Hlder, Authrized Trading Firm r Custmer must btain anther Clearing Firm Representatin frm a Clearing Firm befre the Trading Privilege Hlder, Authrized Trading Firm r Custmer s right t access t trade Cleared Cntracts via the SEF will be reinstated. (g) A DCO may be given access t the SEF fr the purpse f btaining any infrmatin required by the DCO t clear cntracts, including, withut limitatin, real-time data regarding Bids/Offers, Pre- Arranged Crsses and the executin f transactins. The SEF may impse such restrictins n a DCO s access that it determines, in its sle discretin, are necessary and apprpriate. (h) Failure t Clear (1) Subject t a Clearing Firm s bligatin t accept fr clearing all Cntracts resulting frm Bids/Offers r Pre-Arranged Crsses that satisfy the Risk-Based Limits in effect fr a Participant r Custmer, any Cleared Cntract, including ne leg f a Package Transactin, that is rejected fr clearing by a Clearing Firm r DCO fr any reasn, including an errr by the SEF in permitting a Bid/Offer r Pre- Arranged Crss t be made that did nt satisfy the Risk-Based Limits in effect at the time the Bid/Offer r Pre-Arranged Crss was made, shall be vid ab initi and will be canceled by the SEF. Fr the avidance f dubt, any cmpnent leg f a Package Transactin that was accepted fr clearing will nt be affected by the rejectin f anther leg f the same Package Transactin. (2) Any Cntract, including any cmpnent leg f a Package Transactin, that was executed n the SEF withut the intent t be cleared, but later determined by the parties t the transactin t be cleared, will nt be vid if rejected fr clearing by a DCO t which the Cntract r cmpnent leg f the Package Transactin was submitted. (3) In the event a Cleared Cntract, including ne leg f a Package Transactin, is canceled by the SEF pursuant t this Rule 204(h), the SEF will reprt such cancellatin t the relevant SDR pursuant t Part 43 f the Cmmissin Regulatins. (i) [Reserved] (j) Breakage Agreements Prhibited. Participants and Custmers are prhibited frm requiring a Breakage Agreement frm any ther Participant r Custmer as a cnditin f trading with that ther Participant r Custmer. SEF Rulebk 15

27 Rule 205. Applicatin fr and Grant f Trading Privileges (a) Applicatin Requirement. Each applicant fr Trading Privileges will submit an applicatin t the SEF in a frm and manner prescribed by the SEF. Each applicant will prmptly update the applicatin materials if any f the infrmatin prvided therein becmes inaccurate r incmplete after the date f submissin and prir t any apprval f the applicatin. The SEF will act upn, and apprve r disapprve, any such applicatin withut unreasnable delay. (b) Upn submissin f an applicatin and satisfactin f the requirements and prcedures set frth in this Chapter 2, and apprval by the SEF, a persn applying fr Trading Privileges will be granted Trading Privileges. If the applicatin prcess is nt cmpleted by the applicant within six mnths f submissin f an applicatin and payment f any applicable fee, the applicatin will be deemed t be withdrawn. (c) Any applicant wh has been denied Trading Privileges r Authrized Trader r Authrized Trading Firm status with a Trading Privilege Hlder, and any Trading Privilege Hlder r Authrized Trader r Authrized Trading Firm f a Trading Privilege Hlder wh is nt permitted t keep its, his r her Trading Privileges r maintain his r her status as an Authrized Trader r Authrized Trading Firm may request an appeal f the SEF s decisin pursuant t the prcedures set frth in Rule 205(e). N determinatin f the SEF t discntinue a persn s Trading Privileges r Authrized Trader r Authrized Trading Firm status will take effect until the review prcedures hereunder have been exhausted r the time fr review has expired. (d) Any applicant t becme a Trading Privilege Hlder wh has been denied Trading Privileges pursuant t this Rule 205 will nt be eligible fr re-applicatin during the six mnths immediately fllwing such denial. (e) Appeal f Denial f Trading Privileges r Suspensin r Terminatin f Access (1) If the SEF, pursuant t this Rule, denies an applicatin fr Trading Privileges r assciatin with a Trading Privilege Hlder as an Authrized Trader r Authrized Trading Firm, r determines nt t permit a persn t keep its Trading Privileges r maintain its assciatin as an Authrized Trader r Authrized Trading Firm, r suspends r revkes a Participant s r Custmer s access t the SEF pursuant t Rule 206(a) r (e), then, in any such case, the affected applicant, Trading Privilege Hlder, Authrized Trader, Authrized Trading Firm, Participant r Custmer, as the case may be, within seven days after receiving written ntice f such decisin, may request in writing that the SEF prvide the reasns therefr in writing. Within 14 days f receiving any such written request, the SEF will prvide the applicant, Trading Privilege Hlder, Authrized Trader, Authrized Trading Firm, Participant r Custmer, as the case may be, with such reasns in writing. Within 14 days f receiving the SEF s written respnse, the applicant, Trading Privilege Hlder, Authrized Trader, Authrized Trading Firm, Participant r Custmer, as the case may be, may request, in writing, that the SEF s Participatin Cmmittee recnsider the SEF s initial decisin and may prvide any written representatins r ther infrmatin that the applicant, Trading Privilege Hlder, Authrized Trader, Authrized Trading Firm, Participant r Custmer, as the case may be, believes is relevant t the recnsideratin. (2) Within 28 days f receiving either a written request fr recnsideratin r written representatins r infrmatin frm the applicant, Trading Privilege Hlder, Authrized Trader, Authrized Trading Firm, Participant r Custmer, as the case may be, r a statement frm such persn that n such representatin r infrmatin is t be made r supplied, the Participatin Cmmittee will either cnfirm, reverse r mdify the initial decisin and will prmptly ntify the applicant, Trading Privilege Hlder, Authrized Trader, Authrized Trading Firm, Participant r Custmer, as the case may be, accrdingly. The Participatin Cmmittee may in its discretin schedule a hearing r establish any ther prcess that it believes is necessary and apprpriate t cnsider the request fr recnsideratin. Any decisin by the Participatin Cmmittee pursuant t this subparagraph (2) cnstitutes the final actin f the SEF with respect t the matter in questin and is nt subject t appeal. Any actin that may be taken by the SEF Rulebk 16

28 Participatin Cmmittee under this Rule 205(f) may be taken by the Bard if n Participatin Cmmittee has been established. Rule 206. Participant and Custmer Obligatins; Suspensin r Terminatin f Access (a) Each Participant and Custmer must cmply with these Rules, applicable prvisins f the Act, and relevant Cmmissin Regulatins. Each Participant and Custmer must als cperate prmptly and fully with the SEF, its agents, its Regulatry Services Prvider, and/r the Cmmissin in any investigatin, call fr infrmatin, inquiry, audit, examinatin, r prceeding. Such cperatin shall include a duty t prvide supplemental verbal r ther infrmatin if the Participant r Custmer learns that a previus respnse is incmplete r incrrect in any material respect. Additinally, each Trading Privilege Hlder must update its address prmptly after any change and update all ther material infrmatin prvided in its applicatin fr Trading Privileges within five days after that infrmatin has changed. If any Participant r Custmer fails t satisfy these bligatins, the SEF may revke r suspend the Participant s r Custmer s access t the SEF in full r in part. (b) Each Participant and Custmer cnsents t allw the SEF t prvide all infrmatin the SEF has abut the Participant r Custmer, including the Participant s r Custmer s trading activity, t the Regulatry Services Prvider, the Cmmissin r any ther Regulatry Agency, law enfrcement authrity, r judicial tribunal, including (as may be required by infrmatin sharing agreements r ther cntractual, regulatry, r legal prvisins) freign regulatry r self-regulatry bdies, law enfrcement authrities, judicial tribunals and any ther service prvider t the SEF slely in cnnectin with the service prvider s perfrmance f services t the SEF and subject t the service prvider s agreeing t maintain such infrmatin as cnfidential, including that such service prvider shall nt: (1) use such infrmatin fr any purpse ther than in cnnectin with prviding services t the SEF (including that it may nt therwise use such infrmatin fr its wn business r marketing purpses), unless specifically required in rder t fulfill such service prvider s regulatry bligatins; r (2) disclse such infrmatin t any ther persn, except (i) t its emplyees r Affiliates, prvided that the emplyees r Affiliates are subject t cnfidentiality bligatins at least as stringent as thse applicable t the service prvider, and that, in each case, such disclsure is necessary fr the perfrmance f services t the SEF by the service prvider, r (ii) if cmpelled t d s by valid legal r regulatry prcess, prvided that the service prvider ntifies the SEF in advance theref t the extent permitted. (c) Each Participant is required t review the Ntices sectin f the SEF website t make itself aware f material changes t these Rules r ther ntices that may affect their rights and bligatins as a Participant. (d) Each Trading Privilege Hlder must diligently supervise all activities f the Trading Privilege Hlder s emplyees and/r agents, including all Authrized Traders and Authrized Trading Firms, relating t transactins effected n the SEF. Any Vilatin by any emplyee f a Trading Privilege Hlder, including an Authrized Trader r Authrized Trading Firm, shall cnstitute a Vilatin by such Trading Privilege Hlder. (e) The SEF may revke r suspend a Participant s access t the SEF in full r in part if the Participant acts as an Intermediary n behalf f a Custmer and such Custmer maintains a psitin in any Cntract that, when cnsidered in light f the ther psitins maintained by the Participant thrugh which such Custmer accesses the SEF, and any ther factrs that the SEF reasnably deems relevant, the SEF reasnably believes culd jepardize the financial safety f such Participant r any f such Participant s ther Custmers. In making this determinatin, the SEF may cnsider any relevant factrs, including, as applicable, (i) the psitins maintained by such Participant, such Participant s Authrized SEF Rulebk 17

29 Traders, Authrized Trading Firms and ther Custmers, (ii) financial infrmatin prvided by such Participant; and (iii) in cnsultatin and crdinatin with the relevant DCOs, the level f margin maintained by such Participant at such Participant s Clearing Firm. (f) Each Trading Privilege Hlder which is a Swap Dealer r Majr Swap Participant and enters int r facilitates a Swap that is subject t mandatry clearing under Sectin 2(h) f the Act shall be respnsible fr cmpliance with the mandatry trading requirement under Sectin 2(h)(8) f the Act. Rule 207. Custmers (a) N Participant shall act as an Intermediary fr the accunt f a Custmer unless the Participant has entered int an agreement with the Custmer that prvides that the Custmer agrees that all Cntracts shall be gverned by the Rules, the Act and the Cmmissin Regulatins, insfar as they are applicable t that Cntract, althugh n such agreement shall be required by these Rules when the Custmer f a Trading Privilege Hlder is anther Trading Privilege Hlder. (b) Where a Custmer and the Intermediary are bth Trading Privilege Hlders, the Custmer shall prvide the SEF with such ntice f the relatinship as the SEF may require frm time t time. (c) Each Custmer shall be the principal t all executed transactins resulting frm any Bids/Offers r Pre-Arranged Crsses entered n behalf f the Custmer. Where a Participant is acting as an Intermediary n behalf f a Custmer, the Participant shall have n liability, whether r nt the identity f the Custmer has been disclsed, in respect f any transactins executed n behalf f a Custmer, t any ther party, including any ther Participant r the Custmer f any ther Participant. (d) Except t the extent that the SEF sends Cnfirmatins f Cntracts directly t the relevant Custmer, each such Custmer authrizes the SEF t send Cnfirmatins f Cntracts entered int thrugh an Intermediary t the Intermediary and authrizes such Intermediary t accept such Cnfirmatins n behalf f the Custmer. Rule 208. Recrdkeeping (a) Each Participant and Custmer must prepare and keep current all bks, ledgers and ther similar recrds required t be kept by it pursuant t Applicable Law and the Rules f the SEF. (b) Each Participant and Custmer shall keep recrds f the Swaps it trades n r subject t the Rules f the SEF, and f its trading in each index, instrument r cmmdity underlying such Swaps, as well as f its trading f ther derivatives that are based n any such index, instrument r cmmdity. These recrds shall include recrds f purchases, sales, wnership, prductin, prcessing and use f such Swaps, indices, instruments, cmmdities and derivatives, and may be in the frm custmarily generated in accrdance with sund cmmercial practices in the relevant markets. (c) Each Participant and Custmer must keep all bks and recrds required t be kept by it pursuant t the Rules f the SEF fr a perid f five years frm the date n which they are first prepared, unless therwise prvided in the Rules f the SEF r required by Applicable Law. Such bks and recrds must be readily accessible during the first tw years f such five-year perid. During such fiveyear perid, all such bks and recrds must be made available fr inspectin by, and cpies theref must be delivered t, the SEF, the SEF s Regulatry Services Prvider, the Cmmissin, the U.S. Department f Justice and their authrized representatives upn request. (d) The fllwing infrmatin must be prvided t the SEF by each Participant prir t entering a Bid/Offer r Pre-Arranged Crss with respect t any Swap traded n the SEF: Authrized Trader ID Trading Privilege Hlder ID SEF Rulebk 18

30 Swap Series, if applicable DCO where Swap is t be cleared Price Quantity Side f the Bid/Offer Custmer Type Indicatr Cde (defined belw) Trading accunt and ther relevant accunt infrmatin, including Clearing Firm LEI f the Participant placing the Bid/Offer r initiating the RFQ Fr Intermediated Transactins, the LEI f the Custmer Yes/n indicatin f whether the Participant r Custmer is a Swap Dealer fr that Swap Yes/n indicatin f whether the Participant r Custmer is a Majr Swap Participant Yes/n indicatin f whether the Participant r Custmer is a Financial Entity Yes/n indicatin f whether the Participant r Custmer is a U.S. persn as defined by the Cmmissin; Fr Cleared Cntracts, cnfirmatin f the availability f credit at the Clearing Firm t which any resulting transactin will be submitted fr clearing at the relevant DCO; Any infrmatin required by the applicable System Prtcl; and If the Swap will be allcated: an indicatin that the Swap will be allcated; the LEI f the Accunt Manager; if the Swap is a pre-executin allcated Swap, the accunt and LEI fr each Custmer that will receive allcatins; an indicatin f whether the Swap is a pst-executin allcatin Swap; and if the Swap is a pst-executin allcatin Swap, the unique Swap identifier f the riginal transactin between the reprting cunterparty and the agent. Fr purpses f this Rule 208, the Custmer Type Indicatr Cdes are as fllws: CTI 1 Bid/Offer fr the prprietary accunt f a Trading Privilege Hlder that is a natural persn. CTI 2 Bid/Offer fr the prprietary accunt f a Trading Privilege Hlder that is nt a natural persn. CTI 3 Bid/Offer which an individual Trading Privilege Hlder r Authrized Trader executes fr the prprietary accunt f anther Trading Privilege Hlder r fr an accunt which the ther Trading Privilege Hlder cntrls r has an wnership r financial interest in. CTI 4 Any Bid/Offer nt meeting the definitin f CTI 1, 2 r 3, including thse entered n behalf f Custmers. (e) The Rules f the SEF regarding the recrdkeeping bligatins set frth in this Rule 208 shall be prmulgated t achieve the purpses and requirements f Applicable Law. While the SEF will have sle discretin, subject t Applicable Law, t determine such Rules, the SEF will take int cnsideratin in ding s cmparable requirements applicable t Participants. SEF Rulebk 19

31 Rule 209. Cmmunicatins f the SEF with Participants (a) Written Ntices The SEF will publish a ntice with respect t each additin t, mdificatin f, r clarificatin f the Rules f the SEF, r f any actin taken t implement any Rule f the SEF, in a frm and manner that is reasnably designed t enable each Trading Privilege Hlder t becme aware f and familiar with, and t implement any necessary preparatry measures t be taken by it with respect t, such additin r mdificatin, prir t the effective date theref; prvided that any failure f the SEF t s publish a ntice will nt affect the effectiveness f the additin r mdificatin in questin. Each Trading Privilege Hlder will prvide its respective Authrized Traders, Authrized Trading Firms and Custmers with cpies f any such ntice. Fr purpses f publicatin in accrdance with the first sentence f this Rule 209(a), it will be sufficient (withut limiting the discretin f the SEF as t any ther reasnable means f cmmunicatin) if a ntice is (a) sent t each Trading Privilege Hlder by mail, recgnized curier service, facsimile r electrnic mail (including by means f a hyperlink included in an electrnic mail message), t the address, facsimile number r electrnic mail address (as applicable) prvided by such Trading Privilege Hlder fr such purpse r (b) published n the SEF s website. Each Trading Privilege Hlder, n its wn behalf, and n behalf f its Authrized Trading Firms, Authrized Traders and Custmers, as applicable, must mnitr the SEF s website fr any ntices published under this Rule 209(a). (b) Recrding f Cmmunicatins The SEF and Trading Privilege Hlders may recrd cnversatins and retain cpies f electrnic cmmunicatins between fficers, emplyees r agents f the SEF, n the ne hand, and Trading Privilege Hlders (including their Affiliates), Authrized Traders, Authrized Trading Firms r Custmers, n the ther hand. Any such recrdings r ther recrds may be retained by the SEF r such Trading Privilege Hlder, as the case may be, in such manner and fr such perids f time as the SEF, r such Trading Privilege Hlder, as the case may be, may deem necessary r apprpriate. Rule 210. Required Disclsures t the SEF Each Trading Privilege Hlder must prmptly ntify the SEF in writing upn becming aware: (a) that the Trading Privilege Hlder, any f the Trading Privilege Hlder s fficers r any f the Trading Privilege Hlder s Authrized Traders r any Authrized Trading Firms has been the subject f a material sanctin, penalty r ther adverse actin by any Regulatry Agency which is related t transactins in Swaps, futures, ptins n futures, securities, cmmdities, r Swaps-related banking; (b) that the Trading Privilege Hlder, any f the Trading Privilege Hlder s fficers r any f the Trading Privilege Hlder s Authrized Traders r any Authrized Trading Firms has been cnvicted f, pled guilty r n cntest t, r entered in a plea agreement f a material nature in any dmestic, freign r military curt which invlves: (1) embezzlement, theft, extrtin, fraud, fraudulent cnversin, frgery, cunterfeiting, false pretenses, bribery, gambling, racketeering, r misapprpriatin f funds, securities r prperties; r (2) any transactin in r advice cncerning Swaps, futures, ptins n futures, securities, cmmdities, r Swaps-related banking; (c) that the Trading Privilege Hlder, any f the Trading Privilege Hlder s fficers r any f the Trading Privilege Hlder s Authrized Traders r Authrized Trading Firms is subject t material regulatry prceedings befre any Regulatry Agency which are related t transactins in Swaps, futures, ptins n futures, securities, cmmdities, r Swaps-related banking; SEF Rulebk 20

32 (d) that the Trading Privilege Hlder, any f the Trading Privilege Hlder s fficers r any f the Trading Privilege Hlder s Authrized Traders r Authrized Trading Firms have been denied r withdrawn any applicatin fr registratin r license submitted t any Regulatry Agency, and f any material revcatin, suspensin r cnditining f any registratin r license granted by any Regulatry Agency, which in each case is related t transactins in Swaps, futures, ptins n futures, securities, cmmdities, r Swaps-related banking; (e) that any f the Trading Privilege Hlder s Authrized Traders r Authrized Trading Firms have: (1) had their status as an Authrized Trader r Authrized Trading Firm permanently revked by the Trading Privilege Hlder, whether due t emplyment terminatin, terminatin f status as a Custmer r therwise; r (2) had their access t the SEF temprarily revked by the Trading Privilege Hlder. (f) f any material change in any infrmatin cntained in the Trading Privilege Hlder s membership applicatin, r in an Authrized Trader s r Authrized Trading Firm s applicatin pursuant t Rule 202, including a Trading Privilege Hlder s r Authrized Trading Firm s status as an eligible cntract participant; (g) f any withdrawal frm membership by the Trading Privilege Hlder, any f the Trading Privilege Hlder s fficers r any f the Trading Privilege Hlder s Authrized Traders r Authrized Trading Firms, in any SRO, designated cntract market, DCO r swap executin facility; (h) f any damage t, r failure r inadequacy f, the systems, facilities r equipment used t effect transactins r perfrm financial bligatins under r in cnnectin with Cntracts f the Trading Privilege Hlder r any f its Authrized Traders r Authrized Trading Firms; (i) f any change in the lcatin f the principal ffice f the Trading Privilege Hlder r any f the Trading Privilege Hlder s Authrized Traders and Authrized Trading Firms; (j) f any failure t maintain segregated funds as required by the Cmmissin when the Trading Privilege Hlder is a futures cmmissin merchant registered with the Cmmissin; (k) f becming subject t early warning reprting under Cmmissin Regulatin 1.12; and (l) f becming the subject f a bankruptcy prceeding r being unable t meet any financial bligatin as it becmes due. Rule 211. Dues, Fees and Expenses (a) The Bard has the sle pwer t set the payment dates and amunts f any dues, assessments r fees t be levied n Trading Privilege Hlders, which dues, assessments r fees will be paid t the SEF when due. Fees will be cmparable fr Trading Privilege Hlders receiving cmparable access t, r services frm, the SEF. (b) If a Trading Privilege Hlder fails t pay when due any SEF dues, assessments r fees levied n such Trading Privilege Hlder, and such payment bligatin remains unsatisfied thirty (30) days after its due date, the SEF may suspend, revke, limit, cnditin, restrict r qualify the Trading Privileges f such Trading Privilege Hlder as it deems necessary r apprpriate. Rule 212. Market Maker Prgrams The SEF may frm time t time adpt, pursuant t Part 40 f the Cmmissin Regulatins, ne r mre prgrams under which ne r mre Trading Privilege Hlders r thers may be apprved and designated SEF Rulebk 21

33 as market makers with respect t ne r mre Cntracts in rder t prvide liquidity and rderliness in the market r markets fr such Cntract r Cntracts. Any such prgram may prvide fr any r all f the fllwing: (a) satisfy; qualificatins, including any minimum net capital requirements, that any such market maker must (b) the prcedure by which Trading Privilege Hlders r thers may seek and receive designatin as market hlders; (c) the bligatins f such market makers, including any applicable minimum bid and ffer cmmitments; (d) the benefits accruing t such market makers, including pririty in the executin f transactins effected by Trading Privilege Hlders r thers as apprved by the SEF in their capacity as market makers, reduced transactin fees r the receipt f cmpensatry payments frm the SEF; and (e) the requirement that such designated market makers agree t abide by the Rules f the SEF and are subject t the jurisdictin f the SEF. Rule 213. Independent Sftware Vendrs The SEF shall prvide impartial access t independent sftware vendrs wh enter int a develpment and maintenance agreement with the SEF (an ISV Develpment and Maintenance Agreement ). Fees will be cmparable fr independent sftware vendrs receiving cmparable access t, r services frm, the SEF. Each independent sftware vendr that enters int an ISV Develpment and Maintenance Agreement must satisfy the fllwing criteria, which the SEF shall apply in a fair and nndiscriminatry manner: (a) If required t be registered in any capacity under Applicable Law, it has duly registered in such capacity and such registratin is in effect and has nt lapsed r been revked, suspended r withdrawn; (b) It cmplies with the applicable technical access standards, system cmpatibility requirements, security prtcls and technical specificatins fr cnnectin t the SEF s electrnic system as may be specified by the SEF frm time t time; (c) It must ensure that each persn that uses the independent sftware vendrs t access the SEF is either a Participant r a Custmer f a Participant authrized as such in accrdance with these Rules; (d) It may prvide data btained frm the SEF slely t such Participants r Custmers f Participants in cnnectin with their actual and prpsed trading activity in Cntracts and similar cntracts, and shall nt prvide such data t any ther swap executin facility, security-based swap executin facility, designated cntract market, natinal securities exchange r ther trading facility r system withut the prir written cnsent f the SEF; (e) In the case f any RFQ r Bid/Offer submitted t the SEF thrugh an independent sftware vendr, the independent sftware vendr will prvide sufficient detail t identify the Participant (and, in the case f a Custmer transactin, the Custmer) as required by the SEF; and (f) It satisfies such ther impartial and transparent criteria as the SEF may specify frm time t time, subject t Applicable Law. SEF Rulebk 22

34 Rule 214. Withdrawal f Participant (a) T withdraw frm the SEF, a Participant must ntify the SEF in writing, fllwing such prcedures as may be established by the SEF. (b) The SEF may, in its reasnable discretin, refuse t accept a Participant s withdrawal request r may pstpne the effective date f withdrawal f a Participant if the SEF cnsiders it necessary fr the prtectin f the Participant s Custmers, ther Participants r therwise in the interests f the SEF. (c) Based n the infrmatin prvided t, and ther infrmatin gathered by, the SEF regarding a Participant s withdrawal request, the SEF will determine whether t: (i) accept the withdrawal request; (ii) pstpne the effective date f the withdrawal; r (iii) impse any terms r cnditins befre r after the effective date f withdrawal. (d) If the SEF refuses t accept a Participant s withdrawal request r pstpnes the effective date f withdrawal f a Participant, the SEF may waive the bligatin t pay sme r all f the fees, csts and charges that the SEF wuld have impsed during the perid after the date n which the requested withdrawal wuld have therwise taken effect. (e) When the SEF accepts the withdrawal f a Participant, all rights and privileges f such Participant terminate (including the Trading Privileges and ability t access a Trading Platfrm). The accepted withdrawal f a Participant shall nt affect the rights f the SEF under the Rules r relieve the frmer Participant f its bligatins with respect t previusly executed transactins (including any cntractual bligatins relating t any Cntracts entered int by such Participant, r the payment f any fees, csts, r charges incurred prir t such withdrawal). Ntwithstanding the accepted withdrawal f a Participant, the withdrawn Participant remains subject t the jurisdictin f the SEF fr acts dne and missins made while a Participant, and must cperate in any prceeding under Chapter 5 as if such withdrawal had nt taken place. (f) Upn delivery f a withdrawal ntice: (1) Participant shall prmptly ntify its Authrized Traders and any Authrized Trading Firms that they may n lnger access the SEF n behalf f Participant, and Participant shall with reasnable diligence, t the extent practicable, terminate electrnic access f its Authrized Traders t the SEF; (2) the SEF shall suspend Participant s access t the SEF, prmptly ntify its relevant persnnel that Participant and its Authrized Trading Firms may n lnger access the SEF n behalf f Participant, and with reasnable diligence, t the extent practicable, terminate electrnic access f Participant s Authrized Traders t the SEF. SEF Rulebk 23

35 CHAPTER 3 TRADING PROCEDURES Rule 301. Trading Sessins Except as therwise prvided in these Rules r determined by the Bard, transactins in any Cntract will nly be executed during the Trading Sessin fr such Cntract. The SEF may frm time t time mdify its regular Trading Sessin and establish Trading Sessins, in additin t the regular Trading Sessins, as it deems apprpriate. Rule 302. Access t SEF s Order Bk (a) Each Authrized Trader and each Trading Privilege Hlder that is an individual will receive a user identificatin ( ID ) and passwrd. As a Trading Privilege Hlder r Authrized Trader, such persn will be able t access the SEF s Order Bk, which functins as an electrnic central limit rder bk, fr trading in the Swap asset classes r sub-prducts apprved fr such Trading Privilege Hlder r Authrized Trader, enter and accept Bids/Offers, and therwise access infrmatin regarding, r perfrm functins fr, such persn s accunt using its ID and passwrd. (b) Fr accunt security and audit trail purpses, each Trading Privilege Hlder and Authrized Trader agrees that the SEF may maintain lgs f the IP address used t lg n t the SEF. (c) Each Trading Privilege Hlder will be respnsible fr prtecting frm imprper disclsure its ID and passwrd, and the IDs and passwrds f its Authrized Traders. In additin, a Trading Privilege Hlder may nt knwingly r negligently permit any persn nt authrized by the SEF and by the Trading Privilege Hlder t use the ID and passwrd t access the SEF. Each Trading Privilege Hlder is required t immediately ntify the SEF if it knws, r has reasn t believe, that its ID and/r passwrd, r the ID and/r passwrd f any Authrized Trader have been disclsed t any persn nt authrized by the SEF and the Trading Privilege Hlder t use such ID and/r passwrd. (d) Except as therwise prvided in Rule 102: (1) each Trading Privilege Hlder will be liable fr all csts and any lsses that it may incur frm transactins executed n the SEF by any persn, authrized r nt, using its ID and passwrd r the ID and/r passwrd f any f its Authrized Traders; and (2) the SEF will nt be respnsible in any way fr unauthrized transactins fr a Trading Privilege Hlder s accunt. (e) Each Trading Privilege Hlder is respnsible fr cntracting with a netwrk prvider thrugh which it will access the SEF and fr having a backup service prvider if the Trading Privilege Hlder deems it necessary. Each Trading Privilege Hlder is als respnsible fr maintaining a netwrk cnnectin speed adequate fr its needs. The SEF will nt be respnsible in any way fr any Bids/Offers delayed r transactins missed r nt executed in a timely fashin because f failure f the Trading Privilege Hlder s Internet service prvider r slwness f its netwrk cnnectin speed. N cmmunicatin frm a Trading Privilege Hlder will be deemed t have been received by the SEF until that cmmunicatin is lgged by the SEF server. Rule 303. Required Transactins (a) N Participant shall execute a Required Transactin n ICAP SEF ther than via the SEF s Order Bk r Request fr Qute prcedures, unless such transactin is a Blck Trade, in which case it shall be executed in accrdance with Rule 308. SEF Rulebk 24

36 (b) Upn executin f a Required Transactin n the SEF, the SEF will reprt the transactin t the SDR as sn as technlgically practicable. (c) Package Transactins. In accrdance with NAL , a Participant may execute a Swap cmpnent f a Cvered Package Transactin thrugh any methd f executin ffered by the SEF, ntwithstanding that executin f such Swap cmpnent wuld therwise be a Required Transactin. Rule 304. Permitted Transactins (a) Participants may enter Bids/Offers fr Permitted Transactins directly int the SEF s Order Bk fr that Cntract. (b) Participants may submit t an Executin Specialist fr executin Permitted Transactins negtiated and agreed t utside the SEF s Order Bk, at prices mutually agreed, with regard t Cntracts that have been designated by the SEF fr such purpse (each such transactin a Pre- Arranged Crss ). Pre-Arranged Crsses that are submitted t an Executin Specialist fr executin must be submitted by the seller, unless therwise agreed t by the parties; hwever, in the case f an Intermediated Transactin, the Participant acting as the Intermediary shall have the bligatin t submit the Pre-Arranged Crss t the Executin Specialist. The Participant submitting the Pre-Arranged Crss t the Executin Specialist must prvide the infrmatin required by Rule 208(d). (c) Upn executin f the Permitted Transactin n the SEF, the SEF will reprt the transactin t the SDR as sn as technlgically practicable. (d) Each Participant that is party t, r Intermediary in, a Pre-Arranged Crss executed pursuant t sectin (b) f this Rule 304 must recrd the fllwing details f the transactin: the Cntract (including the Delivery Mnth) t which such transactin relates; the number f Cntracts traded; the price f executin r premium; the identity f the cunterparty; and, if applicable, details regarding the Custmer fr which the transactin was executed, as well as, if applicable, the Underlying Interest and whether the transactin invlved a put r a call and the strike price. Upn request by the SEF, such Participant must prduce satisfactry evidence, including the transactin infrmatin referred t in the preceding sentence, that the transactin meets the requirements set frth in this Rule. Rule 305. Executin Methds fr Required Transactins (a) Executin thrugh the SEF s Order Bk (1) A Participant may enter Bids/Offers t transact in Cntracts by electrnic transmissin ver a netwrk r thrugh an Executin Specialist. If a Participant submits a Bid/Offer t the Order Bk thrugh an Executin Specialist, the Executin Specialist shall prvide the Participant with a cnfirmatin that the Bid/Offer was entered int the Order Bk as sn as pssible after such entry. (2) A Participant will enter a Bid/Offer t transact in ne r mre Cntracts by indicating t the SEF in the manner required by a Trading Platfrm r the Executin Specialist the infrmatin required by Rule 208(d). (3) The Participant will be respnsible fr any and all Bid/Offer entries it psts n the SEF. Psted Bids/Offers are subject t acceptance by ther Participants. (4) The Order Bk will keep an electrnic recrd f all Bids/Offers t transact in Cntracts, and all executed transactins. (5) The recrds kept by the SEF will include all f the Bid/Offer terms identified in this Rule as well as the date and time that the transactin was executed. SEF Rulebk 25

37 (6) The Order Bk will prvide Participants with the ability t pst firm Bids/Offers n a centralized electrnic screen that is accessible t all Participants with access t the Order Bk. Each Participant may then chse t transact n the basis f a firm Bid/Offer by entering a Bid/Offer which accepts the firm Bid/Offer. (7) Fr a Participant wh is a brker r dealer and has the ability t accept a Bid/Offer it submits n behalf f a Custmer r t execute Bids/Offers frm tw Custmers against each ther, the Participant must allw at least a 15 secnd delay between the entry f thse tw Bids/Offers, such that ne side f the ptential transactin is disclsed and made available t ther Participants fr at least 15 secnds (r such ther time as the SEF may publish fr particular cntracts) befre the secnd side f the ptential transactin, whether fr the Participant s wn accunt r fr Participant s Custmer, is submitted fr executin. Participants and Custmers may engage in pre-executin discussins with regard t such Bids/Offers in accrdance with Rule 404(c). (b) Vice Request fr Qute Systems (1) Participants may initiate an RFQ by cntacting an Executin Specialist. (2) The Executin Specialist will transmit the RFQ t n less than the required number f Recipients, t which all such Recipients may respnd. (3) Tgether with the first respnse frm any Recipient, the Executin Specialist, unless therwise instructed by the Participant, will cmmunicate t the requesting Participant any firm resting rder fr the Swap indicated in the RFQ that is psted in the Order Bk tgether with any respnses t the RFQ frm the Recipients. (4) Respnses t RFQs must be in the frm f a Bid/Offer. The RFQ requestr may accept such RFQ respnse by submitting a crrespnding Bid/Offer. (5) A Participant that requests an Executin Specialist t send an RFQ t fewer than all Participants may nt request that an Executin Specialist send any RFQ t anther Participant that is affiliated with r cntrlled by the RFQ requester r t tw r mre Participants that are affiliated with r cntrlled by each ther. An Executin Specialist that sends an RFQ t fewer than all Participants may nt knwingly send an RFQ n behalf f the requesting Participant t anther Participant that is affiliated with r cntrlled by the RFQ requester, r t tw r mre Participants that are affiliated with r cntrlled by each ther. (6) An Executin Specialist will act in accrdance with a Participant s instructins, the Rules and Applicable Law. Rule 306. [Reserved] Rule 307. Acceptable Bids and Offers (a) A Bid/Offer may be fr a single Swap r fr a strategy r spread invlving multiple Swaps. (b) Subject t the System Prtcls, a Bid/Offer may be designated as all-r-nne, and if s designated, may be accepted nly if accepted in its entirety. (c) A Participant submitting a Held Order fr less than the Blck Trade Threshld fr executin n the SEF shall submit such a Held Order directly t the Order Bk r, if submitted t the SEF thrugh an Executin Specialist, such Executin Specialist shall submit such a Held Order directly t the Order Bk. SEF Rulebk 26

38 Rule 308. Blck Trades Participants must enter int uncleared Blck Trades away frm the SEF, i.e., utside a Trading Platfrm, System, Order Bk, RFQ prcedure r Prearranged Crss prcedure under Rule 304(b). Participants may enter int Blck Trades in Cleared Cntracts in accrdance with Rule 308(f). All Blck Trades must be executed at prices mutually agreed, with regard t Cntracts that have been designated by the SEF fr such purpse, subject t the fllwing cnditins: (a) The Blck Trade must be fr at least such minimum number f Cntracts as will frm time t time be specified by the SEF (the Blck Trade Threshld ). Except as may therwise be permitted by Cmmissin Regulatin 43.6(h)(6), Participants shall nt aggregate Cntracts f different Participants r Custmers t achieve the Blck Trade Threshld. (b) When negtiating r executing a Blck Trade, a Participant must ensure that the price quted fr a Blck Trade represents a fair and reasnable price. The price at which a Blck Trade is executed must be fair and reasnable in light f (i) the size f such Blck Trade, (ii) the prices and sizes f ther transactins in the same Cntract at the relevant time, (iii) the prices and sizes f transactins in ther relevant markets at the relevant time, and (iv) the circumstances f the parties t such Blck Trade. (c) Blck Trades that are nt Cleared Cntracts must be reprted t the SEF by the seller, unless therwise agreed t by the parties, as sn as technlgically practicable after executin by cntacting an Executin Specialist; hwever, in the case f an Intermediated Transactin, the Participant acting as the Intermediary shall have the bligatin t reprt the Blck Trade t the SEF as sn as technlgically practicable after executin. (d) The SEF will review the infrmatin submitted by the Participants fr a Blck Trade that is nt a Cleared Cntract and will pst the transactin t a Trading Platfrm if the details are cmplete and accurate in accrdance with this Rule. The SEF will reprt the transactin t the SDR as sn as technlgically practicable. The SEF will nt disclse any detail f a Blck Trade that is nt a Cleared Cntract prir t the public disseminatin f the Blck Trade by the SDR. (e) Each Participant that is party t, r Intermediary fr, a Blck Trade that is nt a Cleared Cntract must recrd the fllwing details f the transactin: the Cntract (including the Delivery Mnth) t which such transactin relates; the number f Cntracts traded; the price f executin r premium; the time f executin; the identity f the cunterparty; and, if applicable, details regarding the Custmer fr which the transactin was executed, as well as, if applicable, the Underlying Interest and whether the transactin invlved a put r a call and the strike price. Upn request by the SEF, such Participant must prduce satisfactry evidence, including the infrmatin referred t in the preceding sentence, that the transactin meets the requirements set frth in this Rule. (f) In accrdance with NAL , expiring December 15, 2015, a Participant may execute a Blck Trade that is a Cleared Cntract either (i) via the SEF s vice RFQ prcedures in Rule 305(c), with the exceptin that there shall be n minimum number f required Participants t whm an RFQ must be sent, r (ii) as a Pre-Arranged Crss in accrdance with the prcedures in Rule 304, ntwithstanding that the executin f the Blck Trade des nt ccur away frm the SEF s trading system. Each Blck Trade executed pursuant t this Rule 308(f) must invlve Cntracts listed by the SEF, be executed pursuant t the Rules and meet the Blck Trade Threshld. The SEF will reprt each Blck Trade transactin t the SDR as sn as technlgically practicable. The SEF will nt disclse any detail f such a Blck Trade prir t the public disseminatin f the Blck Trade by the SDR. (g) Any Blck Trade in vilatin f these requirements will cnstitute cnduct which is incnsistent with just and equitable principles f trade. SEF Rulebk 27

39 (h) Nthing in this Rule 308 shall prhibit a Participant frm executing a transactin via the Order Bk that exceeds the Blck Trade Threshld. Such transactins will nt receive treatment as Blck Trades and will nt be affrded a reprting time delay under Part 43 f the Cmmissin Regulatins. Rule 309. Reprting and Data Cllectin (a) In furtherance f Applicable Law, the SEF will capture and retain all transactin data, s as t be able t recnstruct all transactins within a reasnable perid f time and t prvide evidence f any Vilatins. (b) In furtherance f Applicable Law, the SEF will retain recrds fr all transactins executed n the SEF. This includes all Bids/Offers, RFQs and Pre-Arranged Crsses, whether accepted, unaccepted, canceled r mdified, and all acceptances f such transactins. (c) In furtherance f Applicable Law, the SEF shall maintain an electrnic transactin histry database, which includes a histry f all Bids/Offers and transactins, and als includes: (i) all data that are input int the trade entry system; (ii) the categries f Participant r Custmer fr which each transactin is executed, including whether the Participant r Custmer executed the transactin fr its wn accunt; (iii) timing and sequencing data adequate t recnstruct trading; and (iv) identificatin f each Participant r Custmer t which fills are allcated. (d) The SEF will use the electrnic transactin histry database t recnstruct trading and identify pssible Vilatins. In furtherance f Applicable Law, the SEF will cnduct an annual review f cmpliance with its audit trail and recrdkeeping requirements and will identify Participants that may have failed t cmply with such requirements. Such Participants will be subject t investigatin by the Market Regulatin Staff fr pssible disciplinary actin. The annual review must include, but is nt limited t, reviews f randmly-selected samples f frnt end audit trail data fr rder ruting systems; a review f the prcess by which user identificatins are assigned and user identificatin recrds are maintained; a review f usage patterns assciated with user identificatins t mnitr fr vilatins f user identificatin Rules; and reviews f accunt numbers and Custmer Type Indicatr Cdes in transactin recrds t test fr accuracy and imprper use. (e) All such infrmatin will be maintained by the SEF in a manner that prtects it frm unauthrized alteratin, as well as frm accidental erasure r ther lss. (f) The SEF will publish trading infrmatin as required by Cre Principle 9, Cmmissin Regulatin and Part 16 f the Cmmissin Regulatins. All specified swap data will be reprted as prvided under Part 43 and Part 45 f the Cmmissin Regulatins. The SEF will disseminate swap transactin and pricing data relating t Cntracts t Participants n earlier than the transmittal f such infrmatin t a registered SDR. Rule 310. Bid/Offer Cancellatin (a) A Participant can submit instructins t either cancel r mdify a Bid/Offer which that Participant has placed n the SEF if that Bid/Offer has nt yet been accepted. Upn receipt f instructins t cancel a Bid/Offer that has nt been executed, a Trading Platfrm will withdraw the Bid/Offer and cnfirm the cancellatin f the Bid/Offer. If a Participant mdifies a Bid/Offer that has nt been executed, the SEF will treat the mdified Bid/Offer as a new Bid/Offer. (b) The SEF will attempt t cancel r mdify an existing Bid/Offer after a Participant enters a cancellatin r mdificatin instructin. Hwever, the Bid/Offer may be executed befre the SEF is able t cancel r mdify it. If a Bid/Offer has been filled in whle r in part, a Participant may mdify r cancel nly that prtin f the Bid/Offer (if any) that has nt been executed. Once canceled by the SEF, a Bid/Offer will nt be executed. SEF Rulebk 28

40 (c) Upn suspensin r revcatin f a Participant s trading privileges by the SEF, any unaccepted Bid/Offer n the SEF fr such Participant shall be canceled by the SEF. Rule 311. Errrs and Disputes (a) If a Participant believes that a Bid/Offer r RFQ r Pre-Arranged Crss t transact in ne r mre Cntracts was incrrectly displayed and/r executed and/r reprted, that Participant may request review f the Bid/Offer r the transactin. (b) Upn receipt f a request fr review f a Bid/Offer r RFQ r Pre-Arranged Crss, the SEF will review its recrds t determine if a Trading Platfrm r Executin Specialist crrectly displayed and/r executed the Bid/Offer r RFQ r Pre-Arranged Crss. (c) If the review described in this Rule reveals that a Trading Platfrm r an Executin Specialist made a material mistake r that a mistake ccurred as a result f a malfunctin in a Trading Platfrm r by human errr, the transactin will be canceled r adjusted, as apprpriate. (d) If the review described in this Rule reveals that neither a Trading Platfrm nr an Executin Specialist made a mistake, the SEF will infrm the Participant wh requested the review that the SEF has determined that the Bid/Offer r RFQ r Pre-Arranged Crss was prperly handled, the evidence supprting that determinatin, and that an adjustment will nt be made. (e) The SEF will dcument in writing all requests fr review f Bids/Offers, RFQs and Pre-Arranged Crsses received by the SEF, the time and manner in which SEF reviewed its electrnic audit trail in respnse t the request, the utcme f that review, and the actin r actins taken by the SEF in respnse t that review. Rule 312. Enfrceability f Transactins (a) Settlement (1) Each Participant r, where a transactin is n behalf f a Custmer, the relevant Custmer, is bligated t settle all transactins executed, pursuant t the Rules in this Chapter 3. (2) A transactin executed n the SEF r subject t the Rules shall nt be vid, vidable, subject t rescissin, therwise invalidated r rendered unenfrceable as a result f: (i) Regulatins; a vilatin by the SEF f Sectin 5h f the Act r Part 37 f the Cmmissin (ii) any Cmmissin prceeding t alter r supplement a rule, term r cnditin under Sectin 8a(7) f the Act r t declare an emergency under Sectin 8a(9) f the Act; r (iii) any ther prceeding the effect f which is t: (A) alter r supplement a specific term r cnditin r trading rule r prcedures; r (B) require the SEF t adpt a specific term r cnditin, trading rule r prcedure, r t take r refrain frm taking a specific actin. (b) Issuance f SEF Cnfirmatins fr Cleared Cntracts. Participants and Custmers are bligated t submit fr clearing all Cntracts s required by the Act, Cmmissin Regulatins and any ther applicable law. Fr Cleared Cntracts, the SEF will prvide the Trading Privilege Hlder a Cnfirmatin f all the terms f each transactin executed n the SEF at the time f executin; prvided that where a Trading Privilege Hlder is a Custmer in an Intermediated Transactin, the cnfirmatin will be prvided t the Intermediary in accrdance with Rule 313(c). The Cnfirmatin prvided by the SEF fr Cleared Cntracts will be the final legally binding cnfirmatin f the terms f any transactin executed n the SEF Rulebk 29

41 SEF and will supersede any cnflicting cnfirmatin r agreement prvided t, r between, as applicable, Participants and Custmers, regardless f when such ther cnfirmatin is prvided. (c) Issuance f SEF Cnfirmatins fr Uncleared Transactins (1) The ecnmic terms specific t the transactin agreed by each Participant and/r Custmer n the SEF with respect t an uncleared transactin shall be reflected by the SEF in a written cmmunicatin (the Trade Cmmunicatin ) issued t each applicable Participant and/r Custmer. The Trade Cmmunicatin, tgether with the dcuments and agreements (including, withut limitatin, ISDA master agreements, ther master agreements, terms supplements, master cnfirmatin agreements, and incrprated industry definitins) gverning such transactin existing at the time f such cmmitment t which each Participant and/r Custmer are party (the Terms Incrprated by Reference ) shall, taken tgether, fr purpses f Cmmissin Regulatin 37.6(b), cmprise all f the terms f such transactin and serve as a Cnfirmatin f such transactin. (2) In satisfactin f the bligatins impsed n the SEF under Cmmissin Regulatin 37.6(b), (i) each Trade Cmmunicatin is deemed t incrprate the Terms Incrprated by Reference set frth in this Rule 312(c), and (ii) each Participant and Custmer hereby agrees that the prvisins f Rule 312(c)(3) shall gvern any cnflicting terms. (3) In the event f any cnflict between (x) the Trade Cmmunicatin and (y) the Terms Incrprated by Reference, the Trade Cmmunicatin shall prevail t the extent f any incnsistency. Rule 313. Intermediated Transactins (a) Subject t Rule 305(a)(7), Participants wh are Intermediaries shall immediately enter int a Trading Platfrm all executable Orders received by telephne frm their Custmers, and shall immediately submit all RFQs and Pre-Arranged Crsses t an Executin Specialist. If an Order, RFQ r Pre-Arranged Crss cannt be immediately entered int a Trading Platfrm r submitted t an Executin Specialist, as applicable, an electrnic recrd which includes the accunt identifier that relates t the accunt wner, time f receipt, and terms f the Order, RFQ r Pre-Arranged Crss must immediately be created, and the Order, RFQ r Pre-Arranged Crss must be entered int a Trading Platfrm r submitted t an Executin Specialist as sn as practicable. (b) Pririty f executin. Nn-discretinary executable Custmer Orders received by a Participant wh is an Intermediary shall be entered int the SEF in the sequence received. Nn-discretinary Orders that cannt be immediately entered must be entered when the Orders becme executable, in the sequence in which the Orders were received. (c) The SEF shall prvide all Cnfirmatins f Intermediated Transactins t the Intermediary upn executin f the transactin. Except t the extent that the SEF sends Cnfirmatins f Cntracts directly t the relevant Custmer, any Participant that transacts as an Intermediary fr any Custmer shall be respnsible fr ensuring that such Custmers receive all Cnfirmatins f Cntracts entered int n behalf f such Custmers as sn as technlgically practicable after receipt f the Cnfirmatin frm the SEF. Rule 314. Bunched Orders Bunched Orders must be allcated and recrded in accrdance with Cmmissin Regulatin 1.35(b)(5) and the NFA s Interpretive Ntice related t Cmpliance Rule Bunched Orders may be entered using a designatin fr a grup f accunts r suspense accunt number; prvided, hwever that: (i) the Bid/Offer r Pre-Arranged Crss is being placed by a Participant wh is, r is acting n behalf f, an accunt manager fr multiple accunts eligible fr pst executin allcatin; r SEF Rulebk 30

42 (ii) a written, pre-determined allcatin scheme that defines the grup f accunts has been prvided t the Clearing Firm accepting r clearing the Bid/Offer r Pre-Arranged Crss prir t the time that such Bid/Offer r Pre-Arranged Crss is entered. In the latter case, if such infrmatin has nt been prvided t the Clearing Firm prir t the time f Bid/Offer r Pre-Arranged Crss entry, each specific accunt number must be prvided t the SEF. Additinally, fr all such bunched Bids/Offers r Pre- Arranged Crsses executed n the SEF, the final accunt-specific allcatins must be prvided t the SEF n later than the end f each trading day. Rule 315. SEF Authrity ver Transactins (a) SEF Authrity Regarding Cancellatins and Price Adjustments f Transactins The SEF has authrity t cancel any transactin r adjust the price f any transactin executed n the SEF: (i) when the SEF determines in its sle discretin such actin is necessary t mitigate market disrupting events caused by the imprper r errneus use f a Trading Platfrm r by system defects; (ii) at any time the SEF determines, in its sle discretin, that allwing a transactin t stand as executed may have a material adverse effect n the integrity f the market; r (iii) in accrdance with Rules 204(h), 311, 315(c) r 315(d). All decisins f the SEF regarding the SEF s cancellatin f transactins r the adjustment f transactin prices shall be final, subject t Rule 315(d). (b) Determinatin t Review a Transactin (1) The SEF may determine t review a transactin based n its independent analysis f market activity r upn a Participant s request. A Participant s request fr review must be made (i) fr an uncleared Pre-Arranged Crss, within ne (1) Business Day f the executin f such transactin and (ii) fr any ther transactin executed n the SEF, within 15 minutes f the executin f such transactin. In the absence f a timely request fr review, the SEF may determine whether r nt a transactin will be subject t review in its sle discretin. Ntwithstanding the freging, subject t Applicable Law, the SEF shall amend the terms f, r cancel, any transactin that the parties, tgether with the DCO, as applicable, mutually agree t amend r cancel, in the event that such amendment r cancellatin is nt submitted t the SEF within the applicable review perid specified abve. (2) If the SEF determines t review a transactin, it will prmptly issue an alert t all Participants via a Trading Platfrm r electrnic mail indicating that the transactin is under review. (c) Review f Transactins (1) In reviewing a transactin, the SEF will first determine whether the price f the transactin is s far abve r belw the fair market value fr the relevant Cntract that it indicates the transactin was executed in errr. In ding s, the SEF shall determine the fair value price fr the Swap at the time the transactin under review ccurred. The SEF may cnsider any relevant infrmatin, including, but nt limited t, the last transactin price f the Swap r a better Bid/Offer, a mre recent price fr a different maturity date, the price f the same r related Swap established in anther venue r anther market, the market cnditins at the time f the transactin, the theretical value f an Optin based n the mst recent implied vlatility and respnses t an RFQ. (3) If the SEF determines that the price f a transactin des nt indicate that the transactin was executed in errr, the SEF will issue an alert indicating that the transactin shall stand as executed. (4) If the SEF determines that the price f a transactin indicates that the transactin was executed in errr, the SEF shall have the right, in its sle discretin, t cancel r adjust the price f such transactin. (d) Alternative Reslutin by Agreement f Parties SEF Rulebk 31

43 (1) With the apprval f the SEF, parties t a transactin that is under review r that has had its price adjusted may instead, tgether with the DCO, as applicable, mutually agree t cancel r therwise adjust the price f the transactin. (2) With the apprval f the SEF, parties t a transactin that is canceled may instead, tgether with the DCO, as applicable, mutually agree t adjust the price f such transactin t a fair value price. (3) Subject t sectins (d)(1) and (d)(2), parties t a transactin that is canceled r that has had its price adjusted may mutually agree t a cash adjustment. (4) Any cancellatin r adjustment made pursuant t sectins (d)(1), (d)(2) r (d)(3) must be reprted t the SEF by the parties within ne (1) Business Day and the parties must maintain a recrd f such adjustment. (e) Liability fr Lsses Resulting frm Cancellatins r Price Adjustments (1) A party that thrugh errr r mistake enters a Bid/Offer, RFQ r Pre-Arranged Crss that results in a cancellatin r price adjustment shall be respnsible fr demnstrated claims f realized lsses incurred by persns whse transactin prices were canceled r adjusted; prvided, hwever, that a claimant shall nt be entitled t cmpensatin fr lsses incurred as a result f the claimant s failure t take reasnable actins t mitigate the lss. (2) A claim fr a lss pursuant t this Rule 315 must be submitted t the SEF within ne (1) Business Day f the event giving rise t the claim. The SEF will reject any claim that is nt filed in a timely manner and such decisin shall be final. Eligible claims shall be frwarded by the SEF t the party respnsible fr the Bid/Offer, RFQ r Pre-Arranged Crss that resulted in a cancellatin r a price adjustment f a transactin and the Participant thrugh which the transactin was submitted t the SEF. Such party, r Participant n behalf f such party, shall, within ten (10) Business Days f receipt f the claim, admit r deny respnsibility in whle r in part. Failure t respnd t the claim within ten (10) Business Days shall be deemed a denial f liability. (3) T the extent that liability is admitted, payment shall be made within ten (10) Business Days. Unless therwise agreed upn in writing by the parties, failure t make the payment within ten (10) Business Days shall be deemed a denial f liability fr the purpses f this Rule 315. A cpy f any such written agreement must be prvided t the SEF. (4) T the extent that liability is denied, the party making the claim may submit the claim fr arbitratin pursuant t Rule 702. Such claims must be submitted t the SEF within ten (10) Business Days f the date the party was issued ntificatin that liability was denied. (f) Recrds f Cancellatins and Adjustments (1) Canceled transactins and any prices that have been adjusted shall be canceled in the SEF s fficial recrds. (2) Transactins that have had their price adjusted shall be reflected in the SEF s fficial recrds at the adjusted price. Rule 316. Reprting Cunterparty (a) Fr each Cntract executed n r subject t the Rules f the SEF, the SEF shall reprt creatin data t an SDR, and shall include in such creatin data the identificatin f the reprting cunterparty. The reprting cunterparty will be determined by the SEF, if pssible, in accrdance with Cmmissin Regulatin 45.8 (a) (f) and, in the event the cunterparties t the Cntract are f the same hierarchy level, the ISDA Reprting Party Rules. If the SEF is unable t determine the reprting cunterparty in SEF Rulebk 32

44 accrdance with Cmmissin Regulatin 45.8 (a) (f) and the ISDA Reprting Party Rules, the SEF will identify the buyer f the Cntract as the reprting cunterparty in the creatin data. By executing the Cntract n the SEF, the cunterparties agree t the use f the ISDA Reprting Party Rules and, where necessary, the identificatin f the buyer as reprting cunterparty, and waive the pprtunity t agree separately upn a reprting cunterparty and t receive ntice frm the SEF, as prvided in Cmmissin Regulatin 45.8(d) and 45.8(f). (b) Ntwithstanding paragraph (a) f this Rule 316, fr Cntracts in the cmmdity asset class (as set frth in the ISDA Reprting Party Rules) between cunterparties f the same hierarchy level, as determined by Cmmissin Regulatin 45.8 (a) (f), the cunterparties t such a Cntract may agree separately upn a reprting cunterparty. In the event that such cunterparties d nt agree upn a reprting cunterparty, the reprting cunterparty will be determined under paragraph (a) f this Rule 316. (b) Fr each Cntract executed n r subject t the Rules f the SEF, the reprting cunterparty and/r the relevant DCO is respnsible fr reprting cntinuatin data t the SDR t which the creatin data fr the Cntract was first reprted in accrdance with Cmmissin Regulatins 45.4 and SEF Rulebk 33

45 Rule 401. Fraudulent Statements and Acts CHAPTER 4 TRADING STANDARDS (a) N Participant r Custmer shall make any material misrepresentatin f fact r mit t state any material fact necessary t prevent a statement frm being misleading, in cnnectin with r related t any transactin n r ther activity related t the SEF. (b) N Participant r Custmer may engage in any fraudulent act r engage in any scheme t cheat, defraud r deceive, in cnnectin with r related t any transactin n r ther activity related t the SEF. Rule 402. Abusive Trading Practices (a) N Participant r Custmer shall create fictitius r wash transactins n the SEF r execute any Bid/Offer fr a fictitius r wash transactin with knwledge f its nature. (b) N Participant r Custmer shall engage in trading n r subject t the Rules f the SEF fr the purpse f passing mney r transferring equity frm ne accunt t anther. (c) N Participant trading as an Intermediary n behalf f a Custmer shall engage in trading ahead f a Custmer Order, trading against a Custmer Order withut the Custmer s cnsent, frnt running a Custmer Order, accmmdatin trading r imprper crss trading. (d) N Participant r Custmer shall engage in any trading, practice r cnduct n r subject t the Rules f the SEF that (1) vilates Bids/Offers; (2) demnstrates intentinal r reckless disregard fr the rderly executin f transactins during the clsing perid; (3) is, is f the character f, r is cmmnly knwn t the trade as, spfing (entering a Bid/Offer with the intent t cancel the Bid/Offer befre executin); r (4) is any ther manipulative r disruptive trading practice prhibited by the Act r Cmmissin Regulatins. Rule 403. Gd Faith Bids/Offers and RFQs (a) A Participant r Custmer shall nt knwingly enter, r cause t be entered, a Bid/Offer r RFQ int the SEF ther than in gd faith fr the purpse f executing bna fide transactins. (b) A Participant r Custmer shall nt knwingly enter, r cause t be entered, a Bid/Offer r RFQ unless such Participant r Custmer has sufficient funds t prvide the required cllateral fr the related Cntract shuld the Cntract be executed. Rule 404. Pre-Executin Discussins and Pre-Arranged Transactins N Participant r Custmer shall prearrange r pre-negtiate r nn-cmpetitively execute any transactin n the SEF except as fllws: (a) (b) Blck Trades are nt subject t this prhibitin. Permitted Transactins executed pursuant t Rule 304 are nt subject t this prhibitin. (c) Participants and Custmers may engage in pre-executin discussins with regard t transactins executed n the SEF in accrdance with Rule 305(a)(7); prvided, hwever, that: (1) A party may nt engage in pre-executin cmmunicatins with ther market participants n behalf f anther party unless the party fr whse benefit the transactin is being made has previusly cnsented t permit such cmmunicatins. SEF Rulebk 34

46 (2) Parties t pre-executin cmmunicatins shall nt: (i) disclse t a nnparty the details f such cmmunicatins; r (ii) enter a Bid/Offer t take advantage f infrmatin cnveyed during such cmmunicatins except in accrdance with this Rule. (3) Ntwithstanding paragraph (c)(2) f this Rule, a party may disclse r use such cmmunicatins if such disclsure r use is authrized in writing by the cunterparty, r is necessary: (i) (ii) fr the effective executin f any Swap fr r with the cunterparty; t hedge r mitigate any expsure created by such Swap; r (iii) t cmply with a request f the Cmmissin, the U.S. Department f Justice, any self-regulatry rganizatin, r an applicable prudential regulatr, r as therwise required by law. (d) Where a transactin is vid ab initi pursuant t Rule 204(h), cmmunicatins cncerning such transactin shall nt be cnsidered pre-executin cmmunicatins prhibited by this Rule 404 if the parties t such transactin subsequently enter int the same r a substantially similar transactin pursuant t Rule 305. Rule 405. Manipulatin and Price Distrtin Any manipulatin f the market in any Cntract is prhibited. Bids/Offers entered int a Trading Platfrm r Pre-Arranged Crsses submitted t an Executin Specialist fr the purpse f upsetting the equilibrium f the market in any Cntract r creating a cnditin in which prices d nt r will nt reflect fair market values are prhibited and any Participant r Custmer wh makes r assists in entering any such Bid/Offer r Pre-Arranged Crss with knwledge f the purpse theref r wh, with such knwledge, in any way assists in carrying ut any plan r scheme fr the entering f any such Bid/Offer r Pre-Arranged Crss, will be deemed t have engaged in an act detrimental t the SEF. Any ther manipulative and disruptive behavir nt therwise prhibited by the Rules is prhibited t the extent prhibited by the Act r Cmmissin Regulatins, including but nt limited t Sectins 6(c)(1) and (3), 9(a)(2), 4c(a)(5)(A) and (C) f the Act and Cmmissin Regulatins 180.1(a) and Rule 406. Adherence t Law N Participant r Custmer may engage in cnduct in vilatin f Applicable Law r the rules f any DCO which clears a Cleared Cntract in cnnectin with r related t any transactin n r ther activity related t the SEF. Rule 407. Acts Detrimental t the SEF r Incnsistent with Just and Equitable Principles f Trade It will be an ffense fr a Participant r Custmer t vilate any Rule f the SEF regulating the cnduct r business f a Participant r Custmer r any agreement made with the SEF, r t engage in any act detrimental t the SEF s peratins r self-regulatry functin r the SEF s ability t enfrce its Rules r in cnduct incnsistent with just and equitable principles f trade. Rule 408. Psitin Limits and Psitin Accuntability (a) The SEF may set and enfrce such Psitin Limits r psitin accuntability levels with respect t each Cntract as the SEF deems necessary t reduce the threat f market manipulatin r cngestin. SEF Rulebk 35

47 (b) The SEF hereby adpts the Cmmissin s Psitin Limitatins fr any Cntract fr which the Cmmissin has adpted a Psitin Limit. In n event will the SEF set its Psitin Limits at a level higher than the Cmmissin s Psitin Limits. (c) Fr Permitted Transactins, the SEF may set and enfrce psitin accuntability levels r send the Cmmissin a list f the Permitted Transactins transacted n the SEF. (d) All Participants and Custmers must cmply with all SEF and Cmmissin requirements regarding Psitin Limits r psitin accuntability levels. (e) Each Participant required t file any reprt, statement, frm r ther infrmatin with the Cmmissin pursuant t Cmmissin Regulatins cncerning a Psitin Limit n any Cntract r cmmdity underlying a Cntract must simultaneusly file a cpy f such reprt, statement, frm r ther infrmatin with the SEF. Such infrmatin shall include, fr Participants wh are Intermediaries, infrmatin cncerning the Custmers fr which transactins are made n the SEF. (f) Any Participant r Custmer wh exceeds a SEF r Cmmissin Psitin Limit by entering int a transactin n the SEF shall be deemed in vilatin f the Rules f the SEF. In additin, any Participant r Custmer entering bids r ffers, if accepted, which wuld cause that Participant r Custmer t exceed the applicable SEF r Cmmissin Psitin Limit, shall be in vilatin f the Rules f the SEF. (g) Withut limiting any prvisin f these Rules, the SEF shall have the authrity t btain frm any Participant r Custmer, n request, infrmatin with respect t all psitins f such Participant r Custmer in Cntracts which are equivalent, fr purpses f SEF r Cmmissin Psitin Limits, t thse transacted in by the Participant n the SEF. SEF Rulebk 36

48 CHAPTER 5 RULE ENFORCEMENT Rule 501. Jurisdictin (a) The SEF shall have the authrity t initiate and cnduct investigatins, and prsecute Vilatins f these Rules cmmitted by SEF Subject Persns, and t impse sanctins fr such Vilatins as prvided in these Rules. (b) Each Participant and Clearing Firm, upn becming a Participant r Clearing Firm and thereafter upn any change f address shall file with the SEF a written ntice designating an address fr receiving service f dcuments. If a Participant r Clearing Firm fails t designate such an address, service by U.S. mail t its address n file with the SEF shall be gd service, and delivery theref shall be deemed t have ccurred as f the date f such mailing. Rule 502. SEF Market Regulatin Staff Pwers and Duties (a) It shall be the duty f the Chief Cmpliance Officer t enfrce these Rules, and he r she shall have the authrity t inspect the bks and recrds f all SEF Subject Persns and the authrity t require any SEF Subject Persn t appear befre him r her t answer questins regarding matters being investigated by the Market Regulatin Staff. The Chief Cmpliance Officer may als delegate such authrity t Market Regulatin Staff wh shall cnsist f emplyees f the SEF, and such ther Regulatry Services Prviders as the SEF may hire n a cntract basis. The Chief Cmpliance Officer shall ensure that surveillance systems are established t mnitr trading t prevent manipulatin and price distrtin. Such mnitring may be dne by the Market Regulatin Staff r a third party prvider, and shall include real time mnitring and the ability t cnduct cmprehensive and accurate transactin recnstructins. (b) The Market Regulatin Staff shall cnduct investigatins f pssible Vilatins f these Rules, prepare written reprts respecting such investigatins, furnish such reprts t the Review Panel and cnduct the prsecutin f such Vilatins. An investigatin must be cmmenced upn receipt f a request frm Cmmissin staff r receipt f infrmatin (such as data prduced by autmated surveillance systems) by the SEF that in the judgment f the Market Regulatin Staff indicates a reasnable basis fr finding that a Vilatin may have ccurred r will ccur. Absent mitigating factrs, each investigatin will be cmpleted n later than 12 mnths after the investigatin is pened. Mitigating factrs include the cmplexity f the investigatin, the number f firms r individuals invlved as ptential wrngders, the number f ptential Vilatins t be investigated and the vlume f dcuments and data t be examined and analyzed by Market Regulatin Staff. (c) If, in any case, the Chief Cmpliance Officer r anther member f the Market Regulatin Staff, designated fr this purpse by the Chief Cmpliance Officer, cncludes that there is a reasnable basis fr finding a Vilatin f these Rules, he r she shall present an investigatin reprt cncerning the matter t the Review Panel. The investigatin reprt must include the reasn the investigatin was initiated; a summary f the cmplaint, if any; the relevant facts; Market Regulatin Staff s analysis and cnclusins; and a recmmendatin as t whether disciplinary actin shuld be pursued. The reprt may als include the SEF Subject Persn s disciplinary histry at the SEF, including cpies f any warning letters. The Market Regulatin Staff may issue a warning letter, including fr minr transgressins. Hwever, n mre than ne warning letter may be issued t the same persn fund t have cmmitted the same Vilatin mre than nce in a rlling 12-mnth perid. (d) If, in any case, the Chief Cmpliance Officer r anther member f the Market Regulatin Staff, designated fr this purpse by the Chief Cmpliance Officer, cncludes that n reasnable basis exists fr finding a Vilatin f these Rules, he r she must prepare a written investigatin reprt including the reasn the investigatin was initiated; a summary f the cmplaint, if any; the relevant facts; and Market Regulatin Staff s analysis and cnclusins. The Chief Cmpliance Officer r anther member f the Market Regulatin Staff may issue a warning letter in any case where it is cncluded that n reasnable SEF Rulebk 37

49 basis exists fr finding a Vilatin f these Rules, withut limitatin n the number f warning letters issued t a persn. (e) Befre presenting an investigatin reprt t the Review Panel, the Market Regulatin Staff may, in its sle discretin, infrm the prspective Respndent that it intends t submit the matter t the Review Panel, and at such time the prpsed Respndent may submit an ffer f settlement t the Hearing Panel, in accrdance with the prcedures f Rule 509, prir t presentatin f the investigatin reprt t the Review Panel. (f) The SEF has cntracted with NFA t act as Regulatry Services Prvider t prvide certain regulatry services t the SEF, including reviews f the SEF s audit trail infrmatin fr ptential vilatins f SEF Rules. The SEF will retain ultimate decisin-making authrity with respect t any regulatry services t be prvided by NFA. (g) The SEF r its Regulatry Services Prvider shall have the right, with such prir reasnable advance ntice as is practicable under the circumstances (unless in furtherance f regulatry purpses, in which case withut prir ntice t SEF Subject Persns), in cnnectin with determining whether all SEF Rules are being, will be, r have been cmplied with by the SEF Subject Persn, t: (i) inspect systems, equipment and sftware f any kind perated by the SEF Subject Persn in cnnectin with accessing, and the SEF Subject Persn s transacting n, the SEF, wherever lcated; (ii) access, either physically r electrnically, the systems, equipment, sftware, and the premises n which the systems, equipment, and sftware are lcated, any data stred in any f the systems r equipment, during the regular business hurs; and/r (iii) cpy r reprduce any data t which the SEF has access under this Rule. Each SEF Subject Persn shall prvide the Regulatry Services Prvider with the same access t its bks and recrds and ffices as it is required t prvide t the SEF under the SEF Rules and Applicable Law. Rule 503. The Review Panel (a) The Review Panel shall have the pwer t direct that an investigatin f any suspected Vilatin be cnducted by the Market Regulatin Staff, and shall hear any matter referred t it by the Market Regulatin Staff regarding a suspected Vilatin. (b) The Review Panel shall be appinted by the Bard, and shall be cmprised f five persns, including at least tw Participants and at least tw nn-participants. In the case where the subject f the investigatin is a Clearing Firm, at least ne member f the Review Panel shall be a Clearing Firm. The Bard shall appint a chairman (the Review Panel Chairman ) f the Review Panel. At such time as may be required by the Cmmissin Regulatins, the Review Panel Chairman shall be a persn wh wuld nt be disqualified frm serving as a Public Directr. Three panel members shall cnstitute a qurum fr any actin, s lng as they are in attendance at the time f the relevant actin. The Review Panel may nt include any members f the Market Regulatin Staff, r any persn invlved in adjudicating any ther stage f the same Prceeding. (c) All infrmatin, recrds, and dcuments prvided t the Review Panel, and all related recrds and dcuments shall be treated as cnfidential and shall nt be disclsed, except as necessary t further a SEF investigatin r as required by Applicable Law. (d) Upn receipt f an investigatin reprt, the Review Panel shall prmptly review the reprt and, within thirty (30) days f receipt, take ne f the fllwing actins: (1) If the Review Panel determines that additinal investigatin r evidence is needed, it shall prmptly direct the Market Regulatin Staff t cnduct further investigatin; (2) If the Review Panel determines that n reasnable basis exists fr finding a Vilatin r that prsecutin is therwise unwarranted, it may direct that n further actin be taken. Such SEF Rulebk 38

50 determinatin must be in writing and must include a written statement setting frth the facts and analysis supprting the decisin; r (3) If the Review Panel determines that a reasnable basis exists fr finding a Vilatin and adjudicatin is warranted, it must direct that the SEF Subject Persn alleged t have cmmitted the Vilatin be served with a ntice f charges as set frth in Rule 504. (e) If the Review Panel determines that there may have been a Vilatin but that n adjudicatin is warranted, the Review Panel may issue a warning letter t the SEF Subject Persn infrming it that there may have been a Vilatin and that such cntinued activity may result in disciplinary sanctins. Where a Vilatin is determined t have ccurred, n mre than ne warning letter fr the same ptential Vilatin may be issued t the same persn during a rlling 12 mnth perid. Rule 504. Ntice f Charges (a) If the Review Panel determines that a reasnable basis exists fr finding a Vilatin and adjudicatin is warranted, the Chief Cmpliance Officer shall serve a ntice f charges (a Ntice ) n the SEF Subject Persn alleged t have been respnsible fr the Vilatin (such SEF Subject Persn, the Respndent ). Such Ntice shall state: (1) the acts, practices r cnduct with which the Respndent is charged; (2) the Rules allegedly vilated and hw such acts, practices r cnduct cnstitute a Vilatin f such Rules; (3) that the Respndent is entitled, upn written request filed with the SEF, within twenty (20) days f service f the Ntice, t a frmal hearing n the charges; (4) that the failure f the Respndent t request a hearing within twenty (20) days f service f the Ntice, except fr gd cause shwn, shall be deemed a waiver f its right t a hearing; (5) that the failure f the Respndent t file an Answer (as defined in Rule 505) with the Market Regulatin Staff within twenty (20) days f service f the Ntice shall be deemed an admissin f all f the acts, practices r cnduct alleged in the Ntice; and (6) that the failure f the Respndent t expressly deny a particular charge cntained in the Ntice shall be deemed an admissin f such acts, practices r cnduct. (b) A Respndent shall have the right t be represented by legal cunsel r any ther representative f its chsing in all succeeding stages f the disciplinary prcess, except by any member f the Bard, Review Panel r Hearing Panel, any emplyee f the SEF r any persn substantially related t the underlying investigatin, such as a material witness r Respndent. Rule 505. Answer; Request fr Hearing; Failure t Answer r Deny Charges (a) The Respndent shall serve n the Chief Cmpliance Officer a written answer (an Answer ) t the Ntice and a written request fr a hearing n the charges within thirty (30) days f the date f service f the Ntice. The Answer must include a statement that the Respndent admits, denies, r des nt have and is unable t btain sufficient infrmatin t deny each allegatin. A statement f lack f sufficient infrmatin shall have the effect f a denial f the allegatin. (b) The Respndent s failure t file an Answer within such thirty (30) day perid shall be deemed an admissin f all allegatins cntained in the Ntice. SEF Rulebk 39

51 (c) The Respndent s failure t expressly deny a particular charge cntained in the Ntice shall be deemed an admissin f such acts, practices r cnduct. (d) The Respndent s failure t request a hearing within such thirty (30) day perid, absent gd cause shwn, shall be deemed a waiver f Respndent s right t a hearing. Rule 506. Selectin f Hearing Panel (a) Frmal hearings n any Ntice shall be cnducted by the Hearing Panel selected by the Bard. The Hearing Panel shall include at least tw Participants and at least tw nn-participants. In the case where any Respndent is a Clearing Firm, at least ne member f the Hearing Panel shall be a Clearing Firm. The Bard shall als select a chairman f the Hearing Panel ( Hearing Panel Chairman ). At such time as may be required by the Cmmissin Regulatins, the Hearing Panel Chairman shall be a persn wh wuld nt be disqualified frm serving as a Public Directr. The Hearing Panel Chairman, in his r her sle discretin, shall set a date fr the hearing (the Hearing Date ). The Hearing Panel may nt include any members f the Market Regulatin Staff, r any persn invlved in adjudicating any ther stage f the same Prceeding. (b) The Hearing Panel Chairman shall ntify the Market Regulatin Staff and the Respndent f the Hearing Date and the names f the members f the Hearing Panel at least fifteen (15) days prir t the Hearing Date. (c) N member f the Hearing Panel shall hear a case in which that member has a direct financial, persnal r ther interest in the matter under cnsideratin. Rule 507. Challenge t Members f the Hearing Panel Within ten (10) days after service n the Respndent f ntice f the Hearing Date and names f the members f the Hearing Panel, the Respndent may challenge, in writing, the inclusin f any member f the Hearing Panel fr cause, including withut limitatin, if the member has a direct financial, persnal r ther interest in the matter under cnsideratin. The merits f such challenge shall be finally decided by the Regulatry Oversight Cmmittee. If said written challenge is nt received within such ten (10) day perid, absent gd cause shwn, any such right t challenge is deemed waived. Rule 508. Hearing n Sanctins in the Event f Failure t Deny Charges; Failure t Request Hearing Deemed Acceptance f Sanctins In the event the Respndent fails t file an Answer r admits r fails t deny the charge f a Vilatin cntained in the Ntice, the Hearing Panel shall find the Respndent guilty f each such Vilatin and may impse a sanctin fr each such Vilatin subject t the limitatins set frth in Rule 511(f). The Hearing Panel shall prmptly ntify the Respndent f any such sanctin and f the Respndent s right t a hearing n the sanctin within the perid f time which shall be stated in the ntice, after the impsitin f such sanctin. Failure t request a hearing n the sanctin in a timely manner, absent gd cause shwn, shall be deemed t be acceptance f the sanctin. Rule 509. Settlement Prir t Cmmencement f Hearing (a) Prir t the cmmencement f the hearing, the Hearing Panel may accept a written ffer f settlement frm the Respndent, whereby the Respndent, withut either admitting r denying any Vilatins, may agree t: (1) a cease and desist rder; (2) a fine fr each Vilatin plus the mnetary value f any benefit received as a result f the Vilatin (prvided that in n case shall any fine exceed $100,000 per Vilatin); SEF Rulebk 40

52 (3) restitutin f any cunterparty harm; and/r (4) revcatin r suspensin f Trading Privileges r Custmer r Clearing Firm status f the Respndent. (b) If the Hearing Panel accepts an ffer f settlement, it must issue a written decisin specifying each Rule Vilatin it has reasn t believe was cmmitted, including the basis fr the Hearing Panel s cnclusins. The sanctins must include full cunterparty restitutin where cunterparty harm is demnstrated, except where the amunt f restitutin r t whm it shuld be prvided cannt be reasnably determined. If an ffer f settlement is accepted withut the supprt f the Market Regulatin Staff, the decisin must adequately supprt the Hearing Panel s acceptance f the settlement. Where applicable, the decisin must include a statement that the Respndent has accepted the sanctins impsed withut either admitting r denying any Vilatins. Any sanctins impsed pursuant t an ffer f settlement must take int accunt the Respndent s disciplinary histry. (c) The Respndent may withdraw an ffer f settlement at any time befre final acceptance by the Hearing Panel. If an ffer is withdrawn after submissin, r is rejected by the Hearing Panel, the Respndent may nt be deemed t have made any admissins by reasn f the ffer f settlement and may nt be therwise prejudiced by having submitted the ffer f settlement. Rule 510. Hearing Prcedures (a) In every instance where a Respndent has requested a hearing n a charge that is denied, r n a sanctin set by the Hearing Panel pursuant t Rule 508, the Respndent will have the pprtunity fr a hearing in accrdance with the prcedures f this Rule. (b) The Hearing Panel shall determine the prcedures t be fllwed in any hearing befre it, except that the fllwing shall apply in every case: (1) The hearing must be fair and must be prmptly cnvened after reasnable ntice t the Respndent. (2) The prsecutin shall be cnducted by the Market Regulatin Staff. (3) The Respndent shall be allwed t appear persnally at the hearing, and t be represented by legal cunsel r any ther representative f its chsing and, either persnally r thrugh such representative, t present witnesses and dcumentary evidence and t crss-examine witnesses. (4) The Market Regulatin Staff and the Respndent shall deliver t each ther a statement listing the witnesses expected t be called and the dcuments expected t be intrduced int evidence, tgether with cpies f such dcuments, by ten (10) days ntice prir t the hearing r as the Hearing Panel may reasnably specify. Unless the Hearing Panel, in its discretin, waives cmpliance with this requirement, n witness may testify and n dcumentary evidence may be intrduced int evidence unless listed in and, in the case f dcuments, furnished with such statement. On written request, the Market Regulatin Staff shall prvide the Respndent with access t all bks, dcuments r ther tangible evidence in the pssessin r under the cntrl f the SEF which are t be relied upn by the Market Regulatin Staff r which are relevant t the charges; prvided, hwever, that prtected attrney wrk prduct, attrney-client cmmunicatins and investigative wrk prduct, including the investigatin reprt, are neither discverable by a Respndent nr subject t review by a Respndent as part f the investigatin file. (5) The SEF shall require that persns within its jurisdictin wh are called as witnesses participate in the hearing and prduce evidence, and will make reasnable effrts t secure the presence f all ther persns called as witnesses whse testimny wuld be relevant. Failure by a SEF Subject SEF Rulebk 41

53 Persn t s participate and prduce evidence when requested by the SEF shall be a Vilatin f these Rules. (6) N frmal rules f evidence shall apply, and the Hearing Panel shall be free t accept r reject any and all evidence it cnsiders prper, but the hearing may nt be s infrmal as t deny a fair hearing. (7) Neither the Market Regulatin Staff, the Respndent, any witnesses testifying befre the Hearing Panel nr any ther persn within the SEF s jurisdictin shall engage in cnduct that may impede the prgress f a hearing r the fair and just reslutin f the subject matter theref, and any such cnduct may itself cnstitute a Vilatin. (8) Ex parte cntacts by any f the parties with members f the Hearing Panel shall nt be permitted. (9) A substantially verbatim recrd capable f being accurately transcribed shall be made f the Prceeding, prvided, hwever, that such recrd need nt be transcribed, unless the transcript is requested by the Respndent r an applicable regulatr, r unless the decisin is appealed t the Cmmissin r reviewed by the Cmmissin n its wn mtin. In all ther instances, a summary recrd f the hearing is permitted. (10) The cst f transcribing the recrd f the hearing must be brne by a Respndent wh requests the transcript, r whse applicatin fr Cmmissin review f the disciplinary actin has been granted. In all ther instances, the cst f transcribing the recrd will be brne by the SEF. (11) The Ntice, the Answer, any stengraphic transcript f the hearing, the dcumentary evidence and any ther material presented t the Hearing Panel by either party with ntice t the ther shall cnstitute the recrd f the hearing (the Hearing Recrd ). (12) The burden f prf shall be n the prsecutin t prve a Vilatin by a prepnderance f the evidence. A finding f a Vilatin shall be made by majrity vte based n the Hearing Panel s decisin as t the weight f the evidence cntained in the Hearing Recrd. (13) All sanctins impsed by the Hearing Panel must be cmmensurate with the Vilatins cmmitted and must be clearly sufficient t deter additinal similar Vilatins by the Respndent and similar Vilatins by ther SEF Subject Persns. All sanctins must take int accunt the Respndent s disciplinary histry. In the event f demnstrated cunterparty harm, any sanctins must include full cunterparty restitutin, except where the amunt f restitutin r t whm it shuld be prvided cannt be reasnably determined. Rule 511. Written Decisin f Hearing Panel Prmptly fllwing a hearing cnducted in accrdance with Chapter 5 f the Rules, the Hearing Panel shall render a written decisin based upn the weight f evidence in the Hearing Recrd and must prvide a cpy t the Respndent. The written decisin shall include: (a) (b) a summary f the charges alleged in the Ntice; a summary f the Answer; (c) a summary f the evidence prduced at the hearing r, where apprpriate, incrpratin by reference f the investigatin reprt; SEF Rulebk 42

54 (d) a statement f the findings and cnclusins f the Hearing Panel with respect t each charge, and a cmplete explanatin f the evidentiary and ther basis fr such findings and cnclusins with respect t each charge; (e) an indicatin f each specific Rule that the Respndent was fund t have vilated; and (f) an rder stating any sanctins impsed, including the basis fr the sanctins, and the effective date f such sanctins; the sanctins that may be impsed n the Respndent shall be ne r mre f the fllwing: (1) a cease and desist rder; (2) a fine fr each Vilatin plus the mnetary value f any benefit received as a result f the Vilatin (prvided that in n case shall any fine exceed $100,000 per Vilatin); (3) restitutin f cunterparty harm, except where the amunt f restitutin r t whm it shuld be prvided cannt be reasnably determined; and/r (4) the issuance f a suspensin r revcatin f Trading Privileges r Custmer r Clearing Firm status f the Respndent. (g) The Hearing Panel shall take int cnsideratin the Respndent s disciplinary histry prir t impsing any disciplinary sanctins. Rule 512. Liability fr Expenses Any Respndent that, after ntice and pprtunity fr hearing, has been fund t have cmmitted a Vilatin may, in the discretin f the Hearing Panel appinted in the matter, be required t pay t the SEF an amunt equal t any and all reasnable and dcumented ut-f-pcket expenses incurred by the SEF in cnnectin with the prsecutin f such Vilatins, in additin t any fine r ther mnetary sanctin which may be impsed upn such Respndent by virtue f the Vilatins fund by the Hearing Panel. Rule 513. Effective Date f Sanctins (a) If a Respndent submits an ffer f a settlement t the Hearing Panel, any sanctin included as a part f such settlement shall becme final and effective n the date that the Hearing Panel apprves such settlement, r n such ther date as is specified in the decisin. (b) Any decisin (including any sanctins) by a Hearing Panel shall be the final decisin f the SEF and shall becme effective fifteen (15) days, r such lnger time as the Hearing Panel may specify, after a cpy f the written decisin f the Hearing Panel has been served n the Respndent; prvided, hwever, that in any case where the Respndent has cnsented t the actin taken and t the timing f its effectiveness, the Hearing Panel may cause the decisin invlving any disciplinary actin (including any sanctins) t becme effective prir t the fifteen (15) day perid. (c) Any fine r ther mnetary sanctin impsed by a Hearing Panel shall be due and payable n the effective date f the decisin impsing such fine r sanctin, r n such later date as the Hearing Panel may specify. Rule 514. Summary Suspensin (a) A SEF Subject Persn (as identified by Market Regulatin Staff in an investigatin r by a Trading Privilege Hlder acting as an Intermediary fr such SEF Subject Persn) may be summarily and immediately suspended frm trading n the SEF, upn a written determinatin based n a reasnable SEF Rulebk 43

55 belief, by the Chairman f the Regulatry Oversight Cmmittee that such immediate actin is necessary t prtect the best interest f the market place. (b) The SEF Subject Persn against whm such summary actin is taken shall be served with a ntice f the actin either befre the actin is taken r at the earliest pssible pprtunity thereafter. The ntice shall state the actin taken, the reasns fr the actin, the effective date and time, and the duratin f the actin. (c) The SEF Subject Persn may as sn as practicable, upn written request, have a hearing befre the Hearing Panel pursuant t the prcedures f Rule 510. (d) Prmptly fllwing the hearing, the Hearing Panel shall render a written decisin based upn the weight f the evidence in the recrd and shall prvide a cpy t the SEF Subject Persn. The decisin shall include a descriptin f the summary actin taken, the reasns fr the summary actin, a summary f the evidence prduced at the hearing, a statement f findings and cnclusins, a determinatin that the summary actin shuld be affirmed, mdified r reversed, a declaratin f any actin t be taken pursuant t the determinatin, and the effective date and duratin f the actin. Rule 515. Extensin f Time Limits Any time limit prvided fr in Rules 504, 505, 506, 507, 508, r 510 may be extended by mutual cnsent f the Respndent and the Market Regulatin Staff, r by the Hearing Panel Chairman. SEF Rulebk 44

56 CHAPTER 6 CONTRACTS TO BE TRADED Rule 601. Listing Prcedures Any Trading Privilege Hlder may prpse t the SEF the listing f a Swap n the SEF by submitting a listing applicatin t the SEF. The Chief Executive Officer f the SEF shall have authrity, subject t cmplying with Rule 602, t submit the cntract t the Cmmissin, either with a request fr prir apprval, r with a self-certificatin. Rule 602. Swaps Nt Readily Susceptible t Manipulatin Befre submitting a Swap t the Cmmissin fr prir apprval r with a self-certificatin, the Chief Executive Officer f the SEF shall determine that the Swap is nt readily susceptible t manipulatin, and shall submit t the Cmmissin the fllwing infrmatin required by Appendix C t Part 38 f Cmmissin Regulatins t shw that the Swap cmplies with Cre Principle 3: (a) Fr cash-settled Swaps, dcumentatin demnstrating that the settlement price index is a reliable indicatr f market values and cnditins, is highly regarded by industry/market agents, and is publicly available n a timely basis. (b) Where an independent, private-sectr third party calculates the referenced price index, verificatin that the third party utilizes business practices that minimize the pprtunity r incentive t manipulate the cash settlement prices included in the index. (c) Where the SEF generates the cash settlement prices included in the index, infrmatin demnstrating that the calculatin prcedures safeguard against ptential attempts t artificially influence the price, and a descriptin f hw the calculatin prcedures eliminate r reduce the impact f ptentially unrepresentative data. (d) Apprpriate speculative limits t prevent manipulatin. (e) Prcedures fr intraday market restrictins that pause r halt trading in the event f extrardinary price mves that may result in distrted prices. SEF Rulebk 45

57 Rule 701. Chice f Law CHAPTER 7 GOVERNING LAW, JURISDICTION AND DISPUTE RESOLUTION The laws f the State f New Yrk, withut regard t its cnflict f laws principles, will gvern this Rulebk and all disputes arising ut f r related t the SEF r any transactin n the SEF. Rule 702. Disputes Amng Trading Privilege Hlders, Authrized Traders, Authrized Trading Firms and Custmers All disputes between and amng SEF Subject Persns that arise ut f r relate t the SEF r any transactin that was made r attempted t be made n the SEF shall be reslved exclusively in the state r federal curts lcated in New Yrk, New Yrk except as fllws: (a) If all parties t the dispute are members r assciates f the NFA, the dispute will be reslved in NFA Member Arbitratin. (b) If all parties separately agree t anther frum, the dispute will be reslved in the ther frum. Rule 703. Disputes with the SEF (a) Subject t Rule 102, all disputes between and amng the SEF n the ne hand, and SEF Subject Persns n the ther hand, that arise ut f r relate t the SEF, r any transactin that was made r attempted t be made n the SEF, shall be reslved exclusively in the state r federal curts lcated in New Yrk, New Yrk. Suit n any such dispute must be brught within ne year frm the time the cause f actin has accrued. (b) Any current r frmer SEF Subject Persn wh des nt substantially prevail in a lawsuit r any ther type f legal prceeding instituted in a curt f law r therwise against the SEF r any f its fficers, directrs, cmmittee members, vlunteers, emplyees r agents, shall pay t the SEF any and all reasnable expenses and disbursements, including reasnable attrneys fees, incurred by the SEF t defend such lawsuit r prceeding. SEF Rulebk 46

58 CHAPTER 8 CONTRACT SPECIFICATIONS Rule 801. Interest Rate Swaps Prducts Descriptins Trading Hurs Unless therwise indicated in a Swap s specificatins, the trading hurs fr all Swaps gverned by this Rule 801 are as fllws: Order Bk: 24 Hurs, beginning at 3:00 p.m. Eastern Time n Sunday and ending at 5:30 p.m. Eastern Time n Friday. Prducts Rule 801: Vice RFQ: Nt Available. All Pre-Arranged Crsses: 24 Hurs, beginning at 3:00 p.m. Eastern Time n Sunday and ending at 5:30 p.m. Eastern Time n Friday. (1) Fixed fr Flating IRS (a) Clmbian IRS (b) Clmbian UVR (Inflatin) IRS (c) Clmbian Crss Currency IRS (d) Peruvian Crss Currency IRS (e) Peruvian IRS (f) Peruvian VAC (Inflatin) IRS (g) Argentine Crss Currency IRS (h) Argentine CER (Inflatin) IRS (i) Mexican IRS (j) General Cllateral Index Swaps (GCIS) (2) Basis Swaps (a) Clmbian Crss-Currency Basis Swaps (b) Crss Currency Mexican Basis (c) US Flating Libr Rate vs Camara Flating Rate Basis Swap (3) Frward Rate Agreements (FRA) (4) Overnight Index Swaps (OIS) (a) CLP Fixed vs Camara Flating Rate OIS (b) CLF Fixed vs Camara Flating Rate XCCY OIS (5) Nn Deliverables Swaps (a) Nn Deliverable Swap (NDS) (b) Nn Deliverable IRS (ND IRS) (c) Nn Deliverable OIS (ND OIS) (d) Crss Currency Swap (CCS) (6) Interest Rate Optins (a) Swap Optins (b) Inflatin Swaps (c) Inflatin Rate Optins (d) Extic Optins and Swaps (e) Interest Rate Optins n the Mexican Pes (f) TIPS Asset Swaps SEF Rulebk 47

59 Prduct Specificatins Rule 801(1) Fixed fr Flating IRS A Fixed fr Flating IRS is an Interest Rate Swap fr which settlement is in the frm f peridic fixed interest payments and a stream f peridic flating interest payments based n an interest rate ver a term t maturity. The interest rate payments are exchanged fr a specified perid based n a ntinal amunt. Currencies USD AUD HUF EUR CHF RON JPY SEK NZD GBP DKK SAR CLP NOK SGD COL ZAR HKD ARS PLN THB PEN TRY RUB MXN CZK KRW BRL ILS CAD AED Specificatins Trading Cnventins Swap Leg Cnventins Buyer (Payer) pays fixed interest rate and receives flating interest rate. Seller (Receiver) receives fixed interest rate and pays flating interest rate. The terms f Fixed versus Flating Interest Rate Swaps are based n a number f cmbinatins f the criteria belw. Fixed Leg Payment Frequency Mnthly, Quarterly, Semi-Annually, r Annually Day Cunt Cnventin Actual/360, actual/365, 360/360, 30/360, 30E/360, Actual Fixed/365, actual /366, actual / actual Hliday Calendar Applied in accrdance fr the cuntry currency dented fr the instrument Business Day Cnventin Mdified fllwing with adjustment t perid end dates. Business days in this cnventin must be valid business days fr the cuntries dented by the currency. If nt, it will be the next day that is a business day n bth calendars. Fixed Rate The traded interest rate yield r basis pints n Trade Date Flating Leg Reset Frequency Mnthly, Quarterly, Semi-Annual Day Cunt Cnventin Actual/360, actual/365, 360/360, 30/360, 30E/360, Actual Fixed/365, actual /366, actual / actual SEF Rulebk 48

60 Hliday Calendar Applied in accrdance fr the cuntry currency dented fr the instrument Business Day Cnventin Mdified Fllwing with adjustment t perid end dates. Business days in this cnventin must be valid business days fr the cuntries dented by the currency. If nt, it will be the next day that is a business day n bth calendars. Fixed Rate The traded interest rate yield r basis pints n Trade Date Interest Rate Benchmark Effective Date Trade Start Type Maturity Date Tenr Rll Day Cnventin EBOR, BBSW, LIBOR, EURIBOR, CIDOR, PRIBOR, CIBOR2, BUBOR, TELBOR, NIBOR, BKBM, WIBOR, STIBOR, JIBAR, SAIBOR, TIBOR, CZEONIA, TRLIBOR, MOSPRIME The first date frm which fixed and flating interest amunts accrue. It is als referred t as the Start Date r the Value Date. The Effective Date f the Swap must be a business day subject t the apprpriate Business Day Cnventin. Spt Starting A swap whse Effective Date is 2 business days frm the Trade Date (T+2). Frward Starting A swap whse Effective Date is anything after the Effective Date fr a Spt Starting swap. Same Day Starting A swap whse Effective Date is the same as the Trade Date (T+0) The final date until which Fixed and Flating amunts accrue The duratin f time frm the Effective Date t the Maturity Date. Tenrs f any duratin greater than 0 years t 50 years. Listed Tenrs, als knwn as On-the-Run, are whle calendar year Spt Starting Cntracts with a Tenr f 1 thrugh 60 years. Other Tenrs, als knwn as Off-the-Run, means any partial year Tenr (Mnths, Weeks, Days). The date used fr determining all fixed and flating Reset Dates. Rll Days define the beginning and end f Fixed and Flating interest accrual perids. Fr On-the-Run Cntracts, the Rll Day is the same date f the mnth as the Effective Date. Fr Off-the-Run Cntracts, it can be any date f the mnth, subject t the prvisins f the Business Day Cnventin. Rll Day marks the start f a new interest accrual perid, and is the date n which a Reset Rate takes effect. SEF Rulebk 49

61 Flating Reset Dates Dates utilized t determine the Flating Rate amunts fr each interest accrual perid during the Tenr f the cntract. Except in the case f a Stub Perid, the Reset Date is aligned with the flating rate frequency as determined. First Perid Fixing Date Fr Spt Starting swaps, the Interest Rate fr the first interest perid is fixed n the Trade Date, fr bth Flating and Fixed Rates. Fr Frward Starting swaps, the Fixed Rate fr the first interest perid is fixed n the Trade Date, and the Flating Rate fr the first interest perid is fixed 2 business days prir t the first flating payment date, taking int accunt agreed nn-wrking days Stub Perid Rate Fr swaps with partial year Tenrs, an interest perid that is shrter than the standard underlying Flating index interest perids may ccur between the Effective Date and the first r last Rll Date (knws as a Stub Perid). In these cases, the Interest Rate fr such Stub Perid is determined using linear interplatin based n the tw index rates that surrund the Stub Perid this can be applied either at the start r end f that perid: Frnt r Back. Trade Types Cntract Size The Platfrm may supprt the fllwing trade types: Outrights An Outright swap is where ne party is the payer f the fixed rate and receiver f the flating rate and the ther party is the receiver f the fixed fate and payer f the flating rate. Switches r Spreads Is the simultaneus purchase and sale f tw different Tenrs f the yield curve (e.g. 2 year by 10 year). Butterflies Butterflies are a cmbinatin f tw spreads/switches (e.g. 2 year by 5 year by 10 year). Minimum ntinal size is dependent n currency and tenr Minimum Price Fluctuatin Outrights Final Settlement Price The interest rate yield is quted in increments f a minimum f (1/40th f a basis pint). Spreads and Butterflies will be quted in basis pints dependent in multiples f the increments f the underlying Outrights Multiple payments take place during the term f the swap. Settlement price used fr the peridic exchange f fixed and flating payments is based n the fllwing factrs: Fixed Leg Payment amunt n the fixed leg is based n the traded price and ntinal amunts f the swap n Trade Date. Payment SEF Rulebk 50

62 Flating Leg timing n the fixed leg is based n the Payment Frequency, Day Cunt Cnventin, Business Day Cnventin, and Rll Day. Payment n the flating leg is based n the Interest Rate and ntinal amunts f the swap. Payments n the flating leg are based n the Payment Frequency, Day Cunt Cnventin, Business Day Cnventin, Rll Day Cnventin and Flating Reset Dates. Additinally, please see clearable cntract definitins at and Clmbian Interest Rate Swaps The plain vanilla swap, fixed Clmbian versus IBR (which is a Clmbian flating vernight lending rate) is quted with bth fixed and flating side payment frequencies f bullet (r at maturity) fr trades f 1 mnth t 18 mnths, r quarterly, 2 year thru 30 year. Value: T+2 Fixed/ Flating Rate Frequency: Bullet (1 mnth t 18 mnth), Quarterly (2 year t 30 year) Fixed/ Flating Rate Day cunt: ACT/360 This market is subject t mdified NY and Bgta business days. When a swap matures n a NY r Bgta hliday, we will rll frward t the next gd business day, unless mnth end, in which case we will rll back t the first gd business day. Clmbian UVR (Inflatin) Interest Rate Swaps The plain vanilla swap, fixed UVR (which is a Clmbian flating inflatin index) versus flating 6 Mnth US Dllar Libr, is quted with bth fixed and flating side payment frequencies f semi-annually, 1 year thru 30 year. Value: T+2 Fixed/ Flating Rate Frequency: Semi-Annually (1 year t 30 year) Fixed/ Flating Rate Day cunt: ACT/360 This market is subject t mdified NY and Bgta business days. When a swap matures n a NY r Bgta hliday, we will rll frward t the next gd business day, unless mnth end, in which case we will rll back t the first gd business day. Clmbian Crss Currency Interest Rate Swaps The plain vanilla swap, fixed Clmbian versus flating 6 Mnth US Dllar Libr, is quted with bth fixed and flating side payment frequencies f semi-annually, 1 year thru 30 year. Value: T+2 Fixed/ Flating Rate Frequency: Semi-Annually (1 year t 30 year) Fixed/ Flating Rate Day cunt: ACT/360 This market is subject t mdified NY and Bgta business days. When a swap matures n a NY r Bgta hliday, we will rll frward t the next gd business day, unless mnth end, in which case we will rll back t the first gd business day. SEF Rulebk 51

63 Peruvian Crss Currency Interest Rate Swaps The plain vanilla swap, fixed Peruvian versus flating 6 Mnth US Dllar Libr, is quted with bth fixed and flating side payment frequencies f semi-annually, 1 year thru 30 year. Value: T+2 Fixed/ Flating Rate Frequency: Semi-Annually (1 year t 30 year) Fixed/ Flating Rate Day cunt: ACT/360 This market is subject t mdified NY and Lima business days. When a swap matures n a NY r Lima hliday, we will rll frward t the next gd business day, unless mnth end, in which case we will rll back t the first gd business day. Peruvian Interest Rate Swaps The plain vanilla swap, fixed Peru versus TIS (which is a Peruvian flating vernight lending rate) is quted with bth fixed and flating side payment frequencies f bullet (r at maturity) fr trades f 1 mnth t 11 mnths, r quarterly, 1 year thru 30 year. Value: T+2 Fixed/ Flating Rate Frequency: Bullet (1 mnth t 11 mnth), Quarterly (1 year t 30 year) Fixed/ Flating Rate Day cunt: ACT/360 This market is subject t mdified NY and Lima business days. When a swap matures n a NY r Lima hliday, we will rll frward t the next gd business day, unless mnth end, in which case we will rll back t the first gd business day. Peruvian VAC (Inflatin) Interest Rate Swaps The plain vanilla swap, fixed VAC (which is a Peruvian flating inflatin index) versus flating 6 Mnth US Dllar Libr, is quted with bth fixed and flating side payment frequencies f semi-annually, 1 year thru 30 year. Value: T+2 Fixed/ Flating Rate Frequency: Semi-Annually (1 year t 30 year) Fixed/ Flating Rate Day cunt: ACT/360 This market is subject t mdified NY and Lima business days. When a swap matures n a NY r Lima hliday, we will rll frward t the next gd business day, unless mnth end, in which case we will rll back t the first gd business day. Argentine Crss Currency Interest Rate Swaps The plain vanilla swap, fixed Argentine versus flating 6 Mnth US Dllar Libr, is quted with bth fixed and flating side payment frequencies f semi-annually, 1 year thru 30 year. Value: T+2 Fixed/ Flating Rate Frequency: Semi-Annually (1 year t 30 year) Fixed/ Flating Rate Day cunt: 30/360 This market is subject t mdified NY and Buens Aires business days. When a swap matures n a NY r Buens Aires hliday, we will rll frward t the next gd business day, unless mnth end, in which case we will rll back t the first gd business day. SEF Rulebk 52

64 Argentine CER (Inflatin) Interest Rate Swaps The plain vanilla swap, fixed CER (which is a Argentine flating inflatin index) versus flating 6 Mnth US Dllar Libr, is quted with bth fixed and flating side payment frequencies f semi-annually, 1 year thru 30 year. Value: T+2 Fixed/ Flating Rate Frequency: Semi-Annually (1 year t 30 year) Fixed/ Flating Rate Day cunt: 30/360 This market is subject t mdified NY and Buens Aires business days. When a swap matures n a NY r Buens Aires hliday, we will rll frward t the next gd business day, unless mnth end, in which case we will rll back t the first gd business day. Mexican Interest Rates Swaps The plain vanilla swap is quted with bth fixed and flating side payment frequencies f 28 days. Since the payment perids are 28 day mnths, a ne year swap will have 13 payment perids and a maturity f 364 days, a tw year swap will have 26 perids, and s n. Value: T+1 Fixed/ Flating Rate Frequency: 28 day rlls Fixed/ Flating Rate Day cunt: ACT/360 This market is subject t Mexic fllwing business day cnventin. When a 28 day perid ends in a Mexican hliday, it is rlled frward t the next gd business day in Mexic. Prir t the 1998 inceptin f the Mexican TII IRS market, and in the absence f a viable rep market, frward freign exchange prvided the nly pprtunity t express bidirectinal interest rate views. The interest rate swap market evlved at this time, as an alternative vehicle fr bth hedgers and speculatrs t g shrt r lng, and at the same time reducing the credit prfile f the trade alng the term structure. General Cllateral Index Swaps (GCIS) Currencies USD Specificatins Trading Cnventins GCIS Terms Day Cunt Cnventin Buyer A buyer f GCIS will pay the Fixed Rate and receive the Flating Rate Seller A seller f GCIS will pay the Flating Rate and receive the Fixed Rate Effective Date Trade Date + 2 Terminatin Date End Date (Maturity f trade) Flating Rate DTCC GCF Rep Index Act/360 Hliday Calendar Cnventins SIFMA/FICC SEF Rulebk 53

65 Business Day Cnventins Mdified Fllwing Effective Date The effective date will be a valid business day Terminatin Date The maturity date will be a valid business day Settlement Cntract Size Tw business days after Terminatin date Minimum and Incremental Sizes Quting Cnventin 50mm minimum 25mm incremental GCIS are all quted in percentage r fractin Minimum and Incremental Price GCIS Reprting Clearing N minimum All GCIS trades are reprted in accrdance with NFA and SDR requirements GCIS traded n ICAP SEF are nt cleared SEF Rulebk 54

66 Rule 801(2) Basis Swaps A Basis Swap is an Interest Rate Swap fr which settlement is in the frm f peridic flating interest payments and peridic flating interest payments based n interest rate benchmarks ver a term t maturity. The interest rate payments are exchanged fr a specified perid based n a ntinal amunt. Currencies USD AUD HUF EUR CHF RON JPY SEK NZD GBP DKK SAR CLP NOK SGD COL ZAR HKD ARS PLN THB PEN TRY MXN CZK ISK ILS CAD RUB Specificatins Trading Cnventins Swap Leg Cnventins Buyer (Payer) pays flating interest rate plus/minus a spread and receives flating interest rate. Seller (Receiver) receives flating interest rate plus/minus a spread and pays flating interest rate. The terms f Flating vs. Flating Interest Rate Swaps are based n a number f cmbinatins f the criteria belw. Flating Leg 1 Payment Frequency Mnthly, Quarterly, Semi-Annually, r Annually Day Cunt Cnventin Mney Market Basis (actual/360), actual/365, actual/actual, actual/366, 360/360, 30/360, 30E/360 r AFI/365 Hliday Calendar Applied in accrdance fr the cuntry currency dented fr the instrument Business Day Cnventin Mdified Fllwing with adjustment t perid end dates. Business days in this cnventin must be valid business days n bth the calendars. If nt, it will be the next day that is a business day n bth calendars. Flating Rate The flating interest rate yield r basis pints n Trade Date Flating Leg 2 Reset Frequency Mnthly, Quarterly, Semi-Annual r Annually Day Cunt Cnventin Actual/360, actual/365, 360/360, 30/360, 30E/360, Actual Fixed/365, actual /366, actual / actual Hliday Calendar. Applied in accrdance fr the cuntry currency dented fr the instrument SEF Rulebk 55

67 Effective Date Trade Start Type Maturity Date Tenr Rll Day Cnventin Flating Reset Dates First Perid Fixing Date Business Day Cnventin Mdified Fllwing with adjustment t perid end dates Business days in this cnventin must be valid business days n bth calendars If nt, it will be the next day that is a business day n calendars. Interest Rate Benchmark LIBOR, EURIBOR, WIBOR, NIBOR, CIBOR, BBSW, STIBOR, PRIBOR, BUBOR, TELBOR, BKBM, MOSPRIME, JIBAR, TIBOR The first date frm which flating interest amunts accrue. It is als referred t as the Start Date r the Value Date. The Effective Date f the Swap must be a business day subject t the apprpriate Business Day Cnventin. Spt Starting A swap whse Effective Date is 2 business days frm the Trade Date (T+2). Frward Starting A swap whse Effective Date is anything after the Effective Date fr a Spt Starting swap. Same Day Starting A swap whse Effective Date is the same as the Trade Date (T+0) The final date until which Flating amunts accrue. The Maturity Date may als be referred t as the Terminatin Date r End Date. The duratin f time frm the Effective Date t the Maturity Date. The Exchange will supprt Tenrs f any duratin greater than 0 years t 50 years. Listed Tenrs, als referred t as On-the-Run, means whle year Spt Starting r Same Day Starting Instruments with a Tenr f 1 thrugh 15, 20, 25, 30, 35, 40,45 and 50 years. Other Tenrs means any whle year Tenrs ther than the Listed Tenrs and any partial year Tenr. The date used fr determining all fixed and flating Reset Dates. Rll Days define the beginning and end f Flating interest accrual perids. Fr On-the-Run Instruments, the Rll Day is the same date f the mnth as the Effective Date. Fr Off-the-Run Instruments, it can be any date f the mnth, subject t the prvisins f the Business Day Cnventin. Rll Day marks the start f a new interest accrual perid, and is the date n which a Reset Rate takes effect. Nte: Subject t gd business days as with all instruments, will never rll frward t the fllwing mnth. Dates utilized t determine the Flating Rate amunts fr each interest accrual perid during the Tenr f the Instrument. Except in the case f a Stub Perid, the Reset Date is 2 business days (USD, EUR) r zer business days (GBP) prir t the Rll Date fr that interest accrual perid. Fr Spt Starting and Same Day Starting swaps, the Interest Rate fr the first interest perid is fixed n the Trade Date, fr bth Flating Rates. Fr Frward Starting swaps, the Flating Rate fr the first interest perid is fixed n the Trade Date, and the Flating Rate fr the first interest perid is fixed 2 business days prir t the Effective Date. SEF Rulebk 56

68 Stub Perid Rate Fr swaps with partial year Tenrs, an interest perid that is shrter than the standard underlying Flating index interest perids may ccur between the Effective Date and the first r last Rll Date (knws as a Stub Perid). In these cases, the Interest Rate fr such Stub Perid is determined using linear interplatin based n the tw index rates that surrund the Stub Perid this can be applied either at the start r end f that perid: Frnt r Back. Trade Types The Platfrm may supprt the fllwing trade types: Outrights An Outright swap is where ne party is the payer f the flating rate 1 plus/minus a spread and receiver f the flating rate 2 and the ther party is the receiver f the flating rate 1 plus/minus a spread and payer f the flating rate 2. Switches Switches are the simultaneus purchase and sale f tw different Tenrs f the yield curve (e.g. 2 year by 10 year). Butterflies Butterflies are the simultaneus purchase(s) and sale(s) f three different tenrs f the yield curve (e.g. 2 year by 5 year by 10 year). Instrument minimum and incremental Size. Minimum ntinal size is dependent n currency and tenr Blck Trades Minimum ntinal size as stated by the Cmmissin and increments dependent n currency and tenr. Quting Cnventin Outrights are quted in interest rate yield in a minimum 1/10th f a basis pint increments. Spreads and Butterflies are quted in interest rate yield differential in minimum 1/10th basis pint increments. Spt Starting Clse f business n Trade Date. Frward Starting Clse f business three business days prir t the Effective Date f the swap. Blck Trades must ccur utside the Order Bk and in a quantity that meets r exceeds Cmmissin threshlds. Additinally, please see clearable cntract definitins at and Clmbian Crss-Currency Basis Swaps The plain vanilla basis swap, 3 mnth US Dllar Libr versus IBR (which is a Clmbian flating vernight lending rate) is quted with bth fixed and flating side payment frequencies f quarterly, 2 year thru 30 year. Value: T+2 Fixed/ Flating Rate Frequency: Quarterly (2 year t 30 year) Fixed/ Flating Rate Day cunt: ACT/360 This market is subject t mdified NY and Bgta business days. When a swap matures n a NY r Bgta hliday, we will rll frward t the next gd business day, unless mnth end, in which case we will rll back t the first gd business day. SEF Rulebk 57

69 Mexican Crss-Currency Basis Swaps Mexican TIIE/LIBOR basis swaps are quted 28-day TIIE FLAT and 1 Mnth USD Libr as a spread ver r under. On the day f trading, market cnventin is t use that days USD LIBOR fix and the same days TIIE fix fr 2 day value, thereafter the TIIE reverts t fixing 1 day prir. The market is quted as nn mark-t-market crss currency swap with principal exchanged frnt and back. Basis swaps trade mre infrequently than the IRS market but the same type f Participants are invlved. This is mre f a custmer based prduct histrically than the IRS and is much less vlatile. US Flating Libr Rate vs Camara Flating Rate Basis Swap This swap trades the 6 mnth Libr rate against the Camara Flating rate. Nrmal Price cnventin cnsiders the basis spread ver the Camara against a flat 6 mnth Libr. Value Date t+2 Rate Day Cunt ACT/360 Rate Frequency Semi-annual frm 6 mnths up t 30 years. Day Cnventin Mdified Fllwing Calendars New Yrk & Santiag SEF Rulebk 58

70 Rule 801(3) Frward Rate Agreement (FRA) A Frward Rate Agreement is an Interest Rate Swap fr which settlement is in the frm f ne fixed interest payment and ne flating interest payment based n an interest rate benchmark t be paid r received n an bligatin beginning at a future start date. The interest rate payments are exchanged based n a ntinal amunt. Currencies USD EUR JPY GBP AUD CHF SEK DKK NOK ZAR PLN CZK ILS AED HUF RUB NZD SAR Specificatins Trading Cnventins Swap Leg Cnventins Buyer (Payer) pays fixed interest rate and receives flating interest rate. Seller (Receiver) receives fixed interest rate and pays flating interest rate. The terms f FRAs are based n a number f cmbinatins f the criteria belw. Fixed Leg Payment Frequency Once Day Cunt Cnventin Mney Market Basis (actual/360), r actual/365, 30/360, 30E/360, AFI/360, 360/360 Hliday Calendar Applied in accrdance with the cuntry relating t the currency f the instrument Business Day Cnventin Mdified Fllwing with adjustment t perid end dates. Business days in this cnventin must be valid business days n bth the hliday calendars f that cuntry. If nt, it will be the next day that is a business day n bth calendars. Fixed Rate The traded interest rate yield r basis pints n Trade Date Flating Leg Reset Frequency Once Day Cunt Cnventin Mney Market Basis (actual/360), r actual/365, 30/360, 30E/360, AFI/360, 360/360 Hliday Calendar Applied in accrdance with the cuntry relating t the currency f the instrument SEF Rulebk 59

71 Effective Date Trade Start Type Maturity Date Tenr Flating Reset Dates First Perid Fixing Date Business Day Cnventin Mdified Fllwing with adjustment t perid end dates. Business days in this cnventin must be valid business days n bth the calendars fr each cuntry. If nt, it will be the next day that is a business day n bth respective cuntry hliday calendars. Interest Rate Benchmark EBOR, BBSW, LIBOR, EURIBOR, CDOR, PRIBOR, CIBOR2, BUBOR, TELBOR, NIBOR, BKBM, WIBOR, STIBOR, JIBAR, SAIBOR, TIBOR, MOSPRIME The first date frm which fixed and flating interest amunts accrue. It is als referred t as the Start Date r the Value Date. The Effective Date f the Swap must be a business day subject t the apprpriate Business Day Cnventin. The final date until which Fixed and Flating amunts accrue. The Maturity Date may als be referred t as the Terminatin Date r End Date. The duratin f time frm the Effective Date t the Maturity Date Tenrs will be supprt fr any duratin greater than 0 mnth t 12 mnths. Listed Tenrs, als referred t as On-the-Run, means whle year Spt Starting r Same Day Starting Instruments with a Tenr f an integer number f mnths. Other Tenrs means any Tenrs ther than the Listed Tenrs. Dates utilized t determine the Flating Rate amunt fr the interest accrual perid during the Tenr f the Instrument. Except in the case f a Stub Perid, the Reset Date is adjusted business days dependent n the currency prir t the Rll Date fr that interest accrual perid. The Fixed Rate fr the first interest perid is fixed n the Trade Date, and the Flating Rate fr the first interest perid is fixed 2 business days prir t the Effective Date Trade Types The Platfrm may supprt the fllwing trade types: Outrights An Outright swap is where ne party is the payer f the fixed rate and receiver f the flating rate and the ther party is the receiver f the fixed rate and payer f the flating rate. Switches als knwn as Spreads These are the simultaneus purchase and sale f tw different Tenrs f the yield curve (e.g.3x6 by 9x12). Instrument minimum and incremental Size. Minimum ntinal size is dependent n currency and tenr Blck Trades. Minimum ntinal size as stated by the Cmmissin and increments Dependent n currency and tenr Quting Cnventin Last Trading Day. Outrights are quted in interest rate yield in minimum f 1/40th f a basis pint increments. Spreads/Switches will be quted in basis pints dependent in multiples f the increments f the underlying Outrights Spt Starting Clse f business n Trade Date. Frward Starting SEF Rulebk 60

72 Clse f business three business days prir t the Effective Date f the swap. Blck Trades must ccur utside the Order Bk and in a quantity that meets r exceeds Cmmissin threshlds. SEF Rulebk 61

73 Rule 801(4) Overnight Index Swaps (0IS) Cntract Specificatin Prduct Descriptin Currencies Details An Overnight Index Swap is an interest rate swap fr which settlement is in the frm f peridic fixed interest payments and peridic flating interest payments based n an vernight rate being exchanged fr a fixed interest rate ver a term t maturity. The interest rate payments are exchanged fr a specified perid based n a ntinal amunt. The interest rate cash flws are net settled in the fllwing majr currencies n fixing date: USD AUD ILS EUR CHF CZK JPY SEK HUF GBP DKK NZD CAD PLN RUB Trading Cnventins Swap Leg Cnventins Buyer (Payer) pays fixed interest rate and receives flating interest rate. Seller (Receiver) receives fixed interest rate and pays flating interest rate. The terms f Fixed vs. Flating Interest Rate Swaps are based n a number f cmbinatins f the criteria belw. Fixed Leg Payment Frequency At Maturity Date, Annually, semi-annual, Quarterly, r mnthly. Day Cunt Cnventin Actual/360, actual/365, 360/360, 30/360, 30E/360, Actual Fixed/365, actual /366, actual / actual Hliday Calendar Applied in accrdance fr the cuntry currency dented fr the instrument Business Day Cnventin Mdified Fllwing with adjustment t perid end dates. Business days in this cnventin must be valid business days n bth the calendars. If nt, it will be the next day that is a business day n bth calendars. Fixed Rate The traded interest rate yield r basis pints n Trade Date Flating Leg Reset Frequency Daily Day Cunt Cnventin Actual/360, actual/365, 360/360, 30/360, 30E/360, Actual Fixed/365, actual /366, actual / actual Hliday Calendar Applied in accrdance fr the cuntry currency dented fr the instrument Business Day Cnventin Mdified Fllwing with adjustment t perid end dates. Business days in this cnventin must be valid business days n bth calendars. If nt, it will be the next day that is a business day n bth calendars. SEF Rulebk 62

74 Cntract Specificatin Details Effective Date Trade Start Type Overnight Rate Federal Funds, EONIA, SONIA, AONIA, CANADA OIS, TIS, PRIBOR, CITA, BUBOR, TELBOR01, TONAR, RBNZ02, POLONIA, MOSC, STINA, BRIBOR 01, TIBOR, RONIA The first date frm which fixed and flating interest amunts accrue. It is als referred t as the Start Date r the Value Date. The Effective Date f the Swap must be a business day subject t the apprpriate Business Day Cnventin. Spt Starting A swap whse Effective Date is 2 business days frm the Trade Date (T+2). Frward Starting A swap whse Effective Date is anything after the Effective Date fr a Spt Starting swap. Same Day Starting A swap whse Effective Date is the Trade Date (T+0) Day +1 Starting A swap whse Effective Date is the Trade Date (T+1) Maturity Date Tenr Rll Day Cnventin Flating Reset Dates First Perid Fixing Date. Stub Perid Rate The final date until which Fixed and Flating amunts accrue. The Maturity Date may als be referred t as the Terminatin Date r End Date. The duratin f time frm the Effective Date t the Maturity Date. The Exchange will supprt Tenrs f any duratin greater than 0 years t 50 years. Listed Tenrs, als referred t as On-the-Run, means whle year Spt Starting r Same Day Starting Instruments with a Tenr f 1 thrugh 15, 20, 25, 30, 35, 40, 45 and 50 years. Other Tenrs means any whle year Tenrs ther than the Listed Tenrs and any partial year Tenr. The date used fr determining all fixed and flating Reset Dates. Rll Days define the beginning and end f Fixed and Flating interest accrual perids. Fr On-the-Run Instruments, the Rll Day is the same date f the mnth as the Effective Date. Fr Off-the-Run Instruments, it can be any date f the mnth, subject t the prvisins f the Business Day Cnventin. Rll Day marks the start f a new interest accrual perid, and is the date n which a Reset Rate takes effect. Dates utilized t determine the Flating Rate amunts fr each interest accrual perid during the Tenr f the Instrument. Except in the case f a Stub Perid, the Reset Date is adjusted business days dependent n the currency prir t the Rll Date fr that interest accrual perid. Fr Spt Starting and Same Day Starting swaps, the Interest Rate fr the first interest perid is fixed n the Trade Date, fr bth Flating and Fixed Rates. Fr Frward Starting swaps, the Fixed Rate fr the first interest perid is fixed n the Trade Date, and the Flating Rate fr the first interest perid is fixed 2 business days prir t the Effective Date Fr swaps with partial year Tenrs, an interest perid that is shrter than the standard underlying Flating index interest perids may ccur between the SEF Rulebk 63

75 Cntract Specificatin Details Effective Date and the first r last Rll Date (knws as a Stub Perid). In these cases, the Interest Rate fr such Stub Perid is determined using linear interplatin based n the tw index rates that surrund the Stub Perid this can be applied either at the start r end f that perid: Frnt r Back. Trade Types The Platfrm may supprt the fllwing trade types: Outrights An Outright swap is where ne party is the payer f the fixed rate and receiver f the flating rate and the ther party is the receiver f the fixed rate and payer f the flating rate. Switches als knwn as Spreads These are the simultaneus purchase and sale f tw different Tenrs f the yield curve (e.g. 2 year by 10 year). Butterflies Butterflies are the simultaneus purchase(s) and sale(s) f three different tenrs f the yield curve (e.g. 2 year by 5 year by 10 year). Instrument minimum and incremental Size. Quting Cnventin Last Trading Day Minimum ntinal size is dependent n currency and tenr Blck Trades Minimum ntinal size as stated by the Cmmissin and increments dependent n currency and tenr. Outrights are quted in interest rate yield in minimum f 1/40th f a basis pint increments. Spreads and Butterflies will be quted in basis pints dependent in multiples f the increments f the underlying Outrights Spt Starting Clse f business n Trade Date. Frward Starting Clse f business three business days prir t the Effective Date f the swap. Blck Trades Blck Trades must ccur utside the Order Bk and in a quantity that meets r exceeds Cmmissin threshlds. CLP Fixed vs Camara Flating Rate OIS Camara is an vernight index calculated n a daily basis by an fficial entity (ABIF) based n the vernight lending rate published by the Chilean Central Bank. The swap is quted with bth fixed and flating side payment frequency f bullet (at maturity) fr trades f 1 mnth t 18 mnths r semi-annual frm 2 years and lnger (up t 30 years). Value Date t+2 Rate Day Cunt: ACT/360 Rate Frequency Zer Cupn frm 1 mnth t 18 mnths and s/a frm 2 years and lnger. Day Cnventin Mdified Fllwing Calendars New Yrk & Santiag SEF Rulebk 64

76 CLF Fixed vs Camara Flating Rate XCCY OIS CLF is an Inflatin currency derived frm the Inflatin Index called UF. This swap can be called UF vs Camara r CLF vs Camara. Bth (UF & CLF) names are synnymus. This swap can be cnsidered as Crss Currency Swap because the flating rate is CLP TNA against the Inflatin Index currency n the fixed side. This swap trades frm 1 mnth up t 18 mnths zer cupn (at maturity) with maturity n the day 9th f the crrespndent mnth, S can be lng stub at the beginning f the mnth and shrt stub at the end f the mnth. Example. Tday is 2013 Octber 1st, the Value Date is Oct 3rd (t+2), 1 year tenr will be fr Oct 9th 2014 (371 days fr 1 year trade), Nw if tday is Octber 22nd, Value Date Oct 24th then the 1 year trade will be fr Oct 9th 2014 (350 days fr 1 year trade). Frm 2 years and lnger, semi-annual frequency n regular swap dates cnventins. Value Date t+2 Rate Day Cunt ACT/360 Rate Frequency Zer Cupn frm 1 mnth t 18 mnths and s/a frm 2 years+ Day Cnventin Mdified Fllwing Calendars New Yrk & Santiag SEF Rulebk 65

77 Rule 801(5) Nn Deliverable Swaps An NDIRS/NDS trade has many trade terms. Fr example, ntinal amunt, fixed interest rate, flating rate, reference rate, hliday cnventin, etc. The deal is agreed n the basis that net settlement will be made in USD, r anther fully cnvertible currency, t reflect any differential between the agreed fixed rate and the actual flating rate n the settlement dates. Bth NDS and ND IRS are quted as Offer/Bid. Fr ND IRS the fixed leg is quted, hence it is Fixed Incme Swap. ND IRS An agreement between tw parties (knwn as cunterparties) where ne stream f future interest payments is exchanged fr anther based n a specified principal amunt. Interest rate swaps ften exchange a fixed payment fr a flating payment that is linked t an interest rate (mst ften the LIBOR). The interest rate cash flws are net settled in a majr currency n fixing date. A cmpany will typically use interest rate swaps t limit r manage expsure t fluctuatins in interest rates, r t btain a marginally lwer interest rate than it wuld have been able t get withut the swap. Interest rate swaps are simply the exchange f ne set f cash flws (based n interest rate specificatins) fr anther. Because they trade OTC, they are really just cntracts set up between tw r mre parties, and thus can be custmized in any number f ways. ND OIS: In Singapre, India IRS is traded as ND OIS. NDS NDS typically refers t a nn-deliverable crss currency Swap where the tw legs are a majr currency and a nn-cnvertible currency: Peridic interest amunt f the tw legs are exchanged and cnverted int a Majr currency fr net settlement after fixing. NDS can als refer t a nn-deliverable interest rate swap, with similar features t IRS, except that the interest rate cash flws are net settled in a majr currency n fixing date. Crss Currency Swap (CCS) On THB frm time t time we see CCS being traded nshre. A CCS, als referred t as crss currency interest rate swap is an agreement between tw parties t exchange principal and interest payments denminated in tw different currencies. The exchange f interest rate can be in the frm f fixed t fixed rate, r flating t fixed rate, r flating t flating rate. Currencies USD INR THB MYR Specificatins Trading Cnventins Buyer (Payer) pays fixed interest rate and receives flating interest rate. Seller (Receiver) receives fixed interest rate and pays flating interest rate. SEF Rulebk 66

78 Swap Leg Cnventins The terms f Fixed versus Flating Interest Rate Swaps are based n a number f cmbinatins f the criteria belw. Fixed Leg Payment Frequency Mnthly, Quarterly, Semi-Annually, r Annually Day Cunt Cnventin Actual/360, actual/365, 360/360, 30/360, 30E/360, Actual Fixed/365, actual /366, actual / actual Hliday Calendar Applied in accrdance fr the cuntry currency dented fr the instrument Business Day Cnventin Fixed Rate Mdified fllwing with adjustment t perid end dates. Business days in this cnventin must be valid business days fr the cuntries dented by the currency. If nt, it will be the next day that is a business day n bth calendars. The traded interest rate yield r basis pints n Trade Date Flating Leg Reset Frequency Mnthly, Quarterly, Semi-Annual Day Cunt Cnventin Actual/360, actual/365, 360/360, 30/360, 30E/360, Actual Fixed/365, actual /366, actual / actual Hliday Calendar Applied in accrdance fr the cuntry currency dented fr the instrument Business Day Cnventin Mdified Fllwing with adjustment t perid end dates. Business days in this cnventin must be valid business days fr the cuntries dented by the currency. If nt, it will be the next day that is a business day n bth calendars. Fixed Rate The traded interest rate yield r basis pints n Trade Date Interest Rate Benchmark EBOR, BBSW, LIBOR, EURIBOR, CIDOR, PRIBOR, CIBOR2, BUBOR, TELBOR, NIBOR, BKBM, WIBOR, STIBOR, JIBAR, SAIBOR, TIBOR, CZEONIA, TRLIBOR, MOSPRIME Effective Date The first date frm which fixed and flating interest amunts accrue. It is als referred t as the Start Date r the Value Date. The Effective Date f the Swap must be a business day subject t the apprpriate Business Day Cnventin. Trade Start Type Spt Starting. A swap whse Effective Date is 2 business days frm the Trade Date (T+2). Frward Starting SEF Rulebk 67

79 Maturity Date Tenr A swap whse Effective Date is anything after the Effective Date fr a Spt Starting swap. Same Day Starting A swap whse Effective Date is the same as the Trade Date (T+0) The final date until which Fixed and Flating amunts accrue The duratin f time frm the Effective Date t the Maturity Date. Tenrs f any duratin, greater than 0 years t 50 years. Rll Day Cnventin The date used fr determining all fixed and flating Reset Dates. Rll Days define the beginning and end f Fixed and Flating interest accrual perids. Fr On-the-Run Cntracts, the Rll Day is the same date f the mnth as the Effective Date. Fr Off-the-Run Cntracts, it can be any date f the mnth, subject t the prvisins f the Business Day Cnventin Rll Day marks the start f a new interest accrual perid, and is the date n which a Reset Rate takes effect. Trade Types Cntract Size The Platfrm may supprt the fllwing trade types: Outrights An Outright swap is where ne party is the payer f the fixed rate and receiver f the flating rate and the ther party is the receiver f the fixed fate and payer f the flating rate. Switches r Spreads Is the simultaneus purchase and sale f tw different Tenrs f the yield curve (e.g. 2 year by 10 year). Butterflies Butterflies are a cmbinatin f tw spreads/switches (e.g. 2 year by 5 year by 10 year). Minimum ntinal size is dependent n the assciated Risk. It is represented in terms f DV01. Fr Emerging Markets ND IRS and NDOIS the minimum is 5K DVO1. Fr NDS the minimum size is cnsidered USD 5 Mi. Risks assciated with interest rate swaps A party entering a swap takes n expsure t a given interest rate; the expsure can be lng r shrt depending n whether a cunterparty is paying r receiving the fixed rate. At the same time, each party take n the risk knwn as cunterparty credit risk f the ther party defaulting at sme time during the life f the cntract. SEF Rulebk 68

80 Rule 801(6) Interest Rate Optins Interest Rate Optins cntracts cver the fllwing prduct areas: Interest Rate Optins Swaptins Inflatin Swaps Inflatin Rate Optins Extic Optins and Swaps Currencies Interest Rate Optins USD EUR JPY GBP CHF SEK DKK NOK ZAR Swaptins USD EUR JPY GBP DKK ZAR Currencies RUB CHF Inflatin Swaps GBP EUR AUD Inflatin Rate Optins CHF EUR RUB USD ILS Extic Optins and Swaps USD EUR AUD NZD SAR SGD RUB ILS PLN TRY SEK ILS AUD HKD NZD SGD KRW nn deliverable ZAR ILS DKK GBP SEK ZAR GBP Specificatins Optin Type Interest Rate Swaptin Type Payer A buyer f a payer Swaptin has the ptin t pay the underlying swap at the agreed price Receiver A buyer f a receiver Swaptin has the ptin t receive the underlying swap at the agreed price Term The future length f the swap Exercise The date at which the ptin can be exercised n SEF Rulebk 69

81 Underlying Swap Fixed Leg Fixed Interest rate Flating Leg Underlying benchmark Optinal knckut clause Interest Rate Optins Type Cap The buyer f a Cap ptin receives the payments at the end f each perid in which the underlying interest rate exceeds an agreed strike price Flr The buyer f a Flr ptin receives the payments at the end f each perid in which the underlying interest rate is belw an agreed strike price Underlying Interest Rate Single Underlying Rate Single underlying interest rate as listed Strike Expiry Date Cnventin in the Interest Rate benchmarks Spread Spread between 2 underlying interest rates as listed in the interest rate benchmarks Payment Frequency Mnthly Quarterly Bi-Annually Annually Payment rate Digital Linear Payment currency Optinal n call perid must be an agreed number f calendar days Optin premium Optinal reset perid must be an agreed number f calendar days Start Type Immediate Frward Extic Optins and Swaps Type Buyer The buyer f the swap receives a series f payments in relatin t ne agreed swap leg (leg 1) and makes a series f Tenr Leg 1 payments based n anther agreed swap leg (leg 2) Seller The seller f the swap makes a series f payments in relatin t ne agreed swap leg (leg 1) and receives a series f payments based n anther agreed swap leg (leg 2) Rate type Fixed agreed spread Flating Single Underlying Rate Single underlying interest rate as listed in the Interest Rate benchmarks SEF Rulebk 70

82 Leg 2 Spread Spread between 2 underlying interest rates as listed in the interest rate benchmarks Currency Optinal agreed spread Optinal agreed rate range Optinal cap Optinal flr Rate type Fixed agreed spread Flating Flating Single Underlying Rate Single underlying interest rate as listed in the Interest Rate benchmarks Spread Spread between 2 underlying interest rates as listed in the interest rate benchmarks Currency Optinal agreed spread Optinal agreed rate range Optinal cap Optinal flr Optinal reset perid must be an agreed number f calendar days Optinal break clause Optinal crrelatin factr This will be a mathematical frmula n which the payut f the trade will be based. This frmula will be agreed at the time f trade. Start Type Immediate Frward Optinal cupn Optinal lckut perid Inflatin Swap Inflatin Swap The buyer f an inflatin swap pays a fixed interest rate and receives the agreed flating inflatin rate Tenr Fixed Rate (Traded Price) Inflatin Rate benchmark this can be any inflatin benchmark that settles in the listed currencies Optinal frward start Inflatin Optin Types Tenr Exercise Type American Eurpean Bermudan Cap The buyer f a cap ptin receives the right t receive a payment shuld the rate f the agreed underlying index rise abve a certain level Flr The seller f a flr ptin receives the right t receive a payment shuld the rate f the agreed underlying index fall belw a certain level SEF Rulebk 71

83 Premium (Traded Price x agreed ntinal) Premium Type Spt Annuity Frward Payment Frequency Day Cunt Cnventin Interest Rate Swaptins the payment frequency will be an agreed, valid, calendar integer Interest Rate Optins the payment frequency will be an agreed, valid, calendar integer Extic Optins and Swaps the payment frequency will be an agreed, valid, calendar integer Inflatin Swaps the payment frequency will be an agreed, valid, calendar integer Inflatin Rate Optins the payment frequency will be an agreed, valid, calendar integer Interest Rate Swaptins 30/360 Act/360 Act/ /360 30E/360 AFI/365 ACT/366 ACT/ACT Interest Rate Optins ACT/360 ACT/ /360 30/360 30E/360 AFI/365 ACT/366 ACT/ACT Extic Optins and Swaps ACT/360 ACT/ /360 30/360 30E/360 AFI/365 ACT/366 ACT/ACT Inflatin Swaps ACT/360 ACT/ /360 30/360 30E/360 SEF Rulebk 72

84 AFI/365 ACT/3613 ACT/ACT Hliday Calendar Cnventins Interest Rate Swaptins ABU DHABI SYDNEY TORONTO PRAGUE COPENHAGEN HONG KONG BUDAPEST LONDON TEL AVIV JAFFA TOKYO WELLINGTON SEOUL BANGKOK TARGET WARSAW MOSCOW RIYADH SINGAPORE ISTANBUL NEW YORK OSLO STOCKHOLM JOHNNESBURG KUALA LUMPAR Interest Rate Optins ABU DHABI SYDNEY TORONTO PRAGUE COPENHAGEN HONG KONG BUDAPEST LONDON TEL AVIV JAFFA TOKYO WELLINGTON SEOUL BANGKOK TARGET WARSAW MOSCOW RIYADH SINGAPORE ISTANBUL NEW YORK OSLO STOCKHOLM SEF Rulebk 73

85 JOHNNESBURG KUALA LUMPAR Extic Optins and Swaps ABU DHABI SYDNEY TORONTO PRAGUE COPENHAGEN HONG KONG BUDAPEST LONDON TEL AVIV JAFFA TOKYO WELLINGTON SEOUL BANGKOK TARGET WARSAW MOSCOW RIYADH SINGAOPRE ISTANBUL NEW YORK OSLO STOCKHOLM JOHNNESBURG KUALA LUMPAR Inflatin Swaps NEW YORK LONDON EUROPE Australia Inflatin Rate Optins NEW YORK LONDON EUROPE Business Day Cnventins Interest Rate Swaptins Mdified Mdified Fllwing Interest Rate Optins Mdified Mdified Fllwing Extic Optins and Swaps Mdified Mdified Fllwing Inflatin Swaps Mdified SEF Rulebk 74

86 Mdified Fllwing Effective Date Maturity Date Tenrs Rll Dates Fixing Dates Settlement Inflatin Rate Optins Mdified Mdified Fllwing Interest Rate Swaptins The effective date will be a valid business day Interest Rate Optins The effective date will be a valid business day Extic Optins and Swap The effective date will be a valid business day Inflatin Swaps The effective date will be a valid business day Inflatin Rate Optins The effective date will be a valid business day Interest Rate Swaptins The maturity date will be a valid calendar day Interest Rate Optins The maturity date will be a valid calendar day Extic Optins and Swaps The maturity date will be a valid calendar day Inflatin Swaps effective date + tenr f swap Inflatin Rate Optins Nt applicable Interest Rate Swaptins years inclusive Interest Rate Optins years inclusive Extic ptins and swaps years inclusive Inflatin Swap years inclusive Inflatin Rate Optins years inclusive Interest Rate Swaptins Calendar dates End f mnth IMM Dates Interest Rate Optins Calendar dates End f mnth IMM Dates Extic Optins and Swaps Calendar dates End f mnth IMM Dates Nne Inflatin Swaps 0 50 years inclusive Inflatin Rate Optins 0 50 years inclusive Interest Rate Swaptins The fixing date will be a valid business day Interest Rate Optins The fixing date will be a valid business day Extic Optins and Swaps The fixing date will be a valid business day Inflatin Swaps The fixing date(s) will be a valid calendar day Inflatin Optins The fixing date(s) will be a valid calendar day Interest Rate Swaptins Swaptins will be settled by either SEF Rulebk 75

87 Cntract Size Cash Delivery f the swap Part Cash; Part Delivery The settlement date(s) will be valid business days Interest Rate Optins All ptins cntracts are cash settled The settlement date(s) will be valid business days Extic Optins and Swaps Cntracts will be settled by either Cash Delivery f the swap Part Cash; Part Delivery The settlement date(s) will be valid business days Inflatin Swaps Are cash settled in line with the payment frequency Inflatin Rate Optins Are cash settled in line with the payment frequency Minimum and Incremental Sizes Interest Rate Swaptins The minimum size fr a Swaptin is 1,000 f the agreed currency f the trade There is n minimum incremental size fr a Swaptin Interest Rate Optins The minimum size fr an ptin is 1,000 f the currency f the underlying index f the trade There is n minimum incremental size fr an ptin Extic Optins and Swaps The minimum size fr an instrument in this categry is 1,000 units f the currency f the underlying index f the trade There is n minimum incremental size fr instruments in this categry Inflatin Swaps The minimum size fr an instrument in this categry is 1,000 units f the currency f the underlying index f the trade There is n minimum incremental size fr instruments in this categry Inflatin Rate Optins The minimum size fr an instrument in this categry is 1,000 units f the currency f the underlying index f the trade There is n minimum incremental size fr instruments in this categry Accreting Size Any prduct can be traded n An accreting basis A nn-accreting basis Quting Cnventin Interest Rate Swaptins are all quted in basis pints Interest Rate Optins are all quted in basis pints Extic Optins and Swaps are all quted in basis pints Inflatin Swaps are all quted in basis pints Inflatin Optins are all quted in basis pints SEF Rulebk 76

88 Benchmark Interest Rates Cntracts will be limited t all r a subset f the fllwing underlying benchmark indices: EBOR BBR CDOR LIBOR PRIBOR CIBOR CIBOR2 HIBOR BUBOR TELBOR01 WIBOR MOSPRIME SAIBOR TRILIBOR NIBOR STIBOR JIBAR EURIBOR ISDAFIX ICAP Listed Interest Rates Swaps Minimum and Incremental Price Interest Rate Swaptins There is n minimum price There is n minimum incremental price Reprting Clearing Interest Rate Optins There is n minimum price There is n minimum incremental price Extic Optins and Swaps There is n minimum price There is n minimum incremental price Inflatin Swaps There is n minimum price There is n minimum incremental price Inflatin Optins There is n minimum price There is n minimum incremental price All Interest Rate Optins trades are reprted in accrdance with NFA and SDR requirements Interest Rate Optins traded n ICAP SEF are nt cleared Interest Rate Optins n the Mexican Pes TIIE Swap Optins The Mexican Swap ptin market allws cunterparties t buy r sell SEF Rulebk 77

89 Eurpean style ptins f varius maturities n the MXN fixed/flat TIIE interest rate swap market. These ptins enable ptin buyers the right but nt the bligatin t pay r receive a fixed interest rate at a given strike price n a given date in an agreed upn amunt fr a given swap maturity. Delta neutral strategies are fr the mst part quted as Black and Schles vlatility expressed as a percentage f yield / underlying swap rate. Live premium prices fr given structures are als quted. Optin Style: Eurpean style Expiratin: 12:30pm New Yrk time Premium Payment: Paid in MXN by buyer t ptin writer value ne Mexican business day fllwing trade date (T+2). Optin Maturities: Optin maturities are by default, calculated using the Mexican TIIE 28- day calendar but can be date specific r cnfrm t regular calendar maturities. Maturities are calculated frm the trade date (T0) t the expiratin date. Mexican TIIE calendar example: In the case f a six mnth ptin using the 28-day TIIE calendar, ptin expiratin will ccur 168-days (6 cupns f 28-day TIIE) (T+168) frm the trade date (T0). T0 = September Expiratin = March :30pm New Yrk time. In the case f expiratin falling n a hliday, the expiratin date will be adjusted accrding t Mexican business day fllwing cnventin. USD Swap Optin example: In the case f plain vanilla calendar year calculatins, a six-mnth ptin expiratin will be calculated as the date exactly six calendar mnths after the trade date (T0). T0 = September Expiratin = March :30pm New Yrk time. In the case f a MXN ptin, using this calendar with expiratin falling n a hliday, the expiratin date will be adjusted accrding t Mexican business day mdified fllwing cnventin. Optin Settlement: Currently, in the event f ptin exercise the physically delivered Interest Rate swap has an effective date ne Mexican business day fllwing ptin expiry. SEF Rulebk 78

90 Cash Settlement: ICAP is currently taking the initiative in creating a daily Interest Rate Swap fixing mechanism t allw cunterparties t cash settle swaptins: dramatically reducing the trade s credit prfile. ICAP is currently the calculatin agent fr USD swap fixings. TIIE Caps & Flrs MXN TIIE caps and flrs share the exact same payment calendar as TIIE interest rate swaps except fr the initial TIIE reference. Caps and flrs initially reference TIIE n trade date + 28 days, prviding fr ne less calculatin perid than the crrespnding interest rate swap maturity. Intrinsic value, if any, fr each caplet r flrlet, is paid by ptin writer t ptin buyer in arrears fr each subsequent calculatin perid n an Actual/360 day cunt basis using a fllwing Mexican business day payment cnventin. Premium Payment: Paid in MXN by buyer t ptin writer value ne Mexican business day fllwing trade date (T+2). UDI/LIBOR Crss Currency Swap The UDI vs LIBOR crss currency swap is structured as MXN pes fixed vs USD LIBOR flating swap where the MXN rate is paid as a Real rate f interest calculated t a Mexican Pes ntinal that is adjusted peridically t inflatin using the UDI Index. The UDI Index is published n Reuters Page MEX14, Blmberg and can als be fund n the Banxic website, and is adjusted n a daily basis accrding t published inflatin rates. Althugh UDI/LIBOR swaps are quted in USD the value f the UDI Index in tandem with the fair value f Spt USD/MXN at the trade s inceptin, allws us t determine the structure s UDI ntinal amunt which in turn enables the cunterparties t adjust the MXN ntinal t inflatin fr each relevant calculatin perid. The UDI ntinal is calculated as fllws: USD Ntinal x Spt USD/MXN / UDI Index as published fr value spt. The structure f this swap requires an initial and final exchange f currencies. Initial Exchange: The UDI rate payer sells USD ntinal t the USD rate payer The USD rate payer sells USD x Spt F/X in MXN t the UDI rate payer Final Exchange: The UDI Rate Payer sells UDI Ntinal t USD Rate Payer The USD Rate payer sells USD ntinal t the UDI rate payer. The vanilla structure is: Effective date value spt. Semi-annual cupns f UDI vs 6-mnth USD LIBOR paid in arrears n an Act/360 mdified fllwing day cunt basis. The mst traded maturity is currently the 10-year. SEF Rulebk 79

91 On ccasin UDI swaps are traded with 28-day TIIE as the flating rate. Price is adjusted using the LIBOR/TIIE crss currency basis swap value fr the equivalent maturity vs the UDI/LIBOR fair value. TIPS Asset Swaps Several variatins f the inflatin asset swap structure exist. In its simplest frm it can be treated as cnsisting f tw separate trades. In return fr an upfrnt payment f par (par inflatin asset swap) r the dirty price (market asset swap), the asset swap buyer: Receives an inflatin-linked bnd frm the asset swap seller. Typically the bnd is trading away frm par. Depending n the passed life f the trade the bnd can trade substantially away frm par. Enters int a series f inflatin swaps (equivalent t the OTC inflatin bnd described in Sectin 7.1) t pay the asset swap seller inflatin cupns equal t that f the asset. In return the asset swap buyer receives regular flating rate payments f Libr plus (r minus) an agreed fixed spread. The transactin is shwn in Figure 7.6. The fixed spread t Libr paid by the asset swap seller is knwn as the asset swap spread and it is set at a breakeven value such that the net present value f the transactin is zer at inceptin. Ntinal Tenrs Typically 25mm and abve Published frm the TIPS Fixed Payment Dates Flat Payment Dates Semi-Annually cmmencing 07/15/2013. In the event that a payment date discrepancy exists between the swap and the Reference Security, the payment date n Reference Security will gvern. Quarterly n an Act/360 basis, cmmencing 04/15/2013 (Mdified fllwing). Final Principal Amunt (FPA) The final principal value f the Reference Security at Maturity SEF Rulebk 80

92 Rule 802. Credit Derivatives Prducts Descriptins Trading Hurs Unless therwise indicated in a Swap s specificatins, the trading hurs fr all Swaps gverned by this Rule 802 are as fllws: Order Bk: 24 Hurs, beginning at 3:00 p.m. Eastern Time n Sunday and ending at 5:30 p.m. Eastern Time n Friday. Prducts Rule 802: Vice RFQ: Nt Available. All Pre-Arranged Crsses: 24 Hurs, beginning at 3:00 p.m. Eastern Time n Sunday and ending at 5:30 p.m. Eastern Time n Friday. (1) Credit Derivatives Indices (2) Credit Derivatives Tranches (3) [Reserved] (4) IOS Index Credit Default Swaps (5) ibxx Ttal Return Swaps (6) ibxx Liquid Leveraged Lans Ttal Return Swaps SEF Rulebk 81

93 Rule 802(1) Credit Derivatives Indices Prduct Specificatins A credit default swap index is a credit derivative used t hedge credit risk r t take a psitin n a basket f credit entities (a CDS index is a prtfli f actively traded liquid names in a particular sectr f the market). A credit default swap index is standardized, therefre highly liquid and trades n a very small bid-ffer spread. This makes it is a primary market vehicle fr gaining diversified credit expsure. A new series f CDS indices are issued every six mnths and attributed a Series indicatr by Markit Partners (previusly issued series cntinue t be traded until their expiry date). Prir t the annuncement f each series a grup f investment banks is plled t determine the credit entities that will frm the cnstituents f the new issue. On the day f issue a fixed cupn is decided fr the each index based n the credit spread f the entities in the index. Once this has been decided the index cnstituents and the fixed cupn are published, and the indices can be actively traded. They are traded accrding t set rules, which cannt be altered. Fr example, each series has its wn set f expiry dates. The index is based n the belw CDX indices. CDX indices cntain Nrth American and Emerging Market cmpanies and are administered by CDS Index Cmpany (CDSIndexC) and marketed by Markit Grup. New series are determined n the basis f liquidity every 6 mnths. Indices CDX.NA.IG CDX.NA.HY CDX.EM CDX.LatAm.Crp Tenrs 3Y, 5Y, 7Y, 10Y 5Y 5Y 3Y, 5Y Currencies USD EUR JPY CDX.NA.HY Index is cmpsed f ne hundred liquid cnstituents with high yield credit rating. The index is further divided int sub indices: CDX.NA.HY.BB CDX.NA.HY.B Each HY Index and related sub-indices will begin n September 27 (r the Business Day immediately thereafter in the event that September 27 is nt a Business Day) and March 27 (r the Business Day immediately thereafter in the event that March 27 is nt a Business Day) f each calendar year (each such date, a Rll Date ). CDX.NA.IG Index is cmpsed f ne hundred and twenty five liquid cnstituents with investment grade credit rating. The index is further divided int sub indices: Cnsumer: CDX.NA.IG.CONS Energy: CDX.NA.IG.ENRG Financials: CDX.NA.IG.FIN Industrial: CDX.NA.IG.INDU SEF Rulebk 82

94 Telecm, Media and Technlgy: CDX.NA.IG.TMT Hi Vlatility CDX.NA.IG.HVOL Each IG Index and related sub-indices will begin n September 20 (r the Business Day immediately thereafter in the event that September 20 is nt a Business Day) and March 20 (r the Business Day immediately thereafter in the event that March 20 is nt a Business Day) f each calendar year (each such date, a Rll Date ). CDX.EM Index is cmpsed f furteen svereign issuers frm the fllwing regins: Latin America, Middle East, Eastern Eurpe, Africa and Asia. The EM Index rlls every six mnths n September 20 th and March 20 th. Index Specificatins Trading cnventins Swap Leg cnventins Buyer (Payer). This is the party t a CDS cntract which pays a premium fr prtectin in case a credit event ccurs. The Prtectin Buyer can als speculate that the cst f prtectin will rise and prfit frm selling the CDS cntract at a higher price than was paid Seller (Receiver). This is the party t a CDS cntract receiving the premium payments, and wh is expsed t the credit risk f the reference entity. Business Day cunt: Actual/360 Business day cnventin: Fllwing Business Day calendar: fllw the currency calendar EUR: Lndn and TARGET Settlement Day USD: Lndn and New Yrk Credit Event: Failure t pay, Bankruptcy, (Mdified) Restructuring Term/Tenr: Refers t the duratin f a Credit Default Swap Index cntract. Indices are traded at 3, 5, 7 and 10-year maturities and a new series is determined n the basis f liquidity every 6 mnths. Maturity Date: Unadjusted date that falls n the 20 th f Mar and Sep Cupn Payments: Each cupn is equal t (actual/360), (# f days in accrual perid). The accrual perid always stretches frm (previus cupn payment date) thrugh (this cupn payment date-1), inclusive; except a cntract s last accrual perid, which ends with (and includes) the unadjusted maturity date. Cupn Payment Dates: Business day adjusted date that falls n 20 th f Mar, Jun, Sep, and Dec and accrue n a Actual/360. The date will be adjusted t the next business day if 20 th falls n a weekend. The first cupn payment date is determined by the trade date, fr example: Example (Table 1): Cnsider a 1y $36mm 100bp standard CDS traded in Feb09, maturing 20Mar10: Cupn Accrual Start Accrual End # Payment Payment Date Days 1 st Mn 22Dec08 Thu 19Mar09 88 $88k Fri 20Mar09 2 nd Fri 20Mar09 Sun 21Jun09 94 $94k Mn 22Jun09 3 rd Mn 22Jun09 Sun 20Sep09 91 $91k Mn 21Sep09 4 th Mn 21Sep09 Sun 20Dec09 91 $91k Mn 21Dec09 5 th (final) Mn 21Dec09 Sat 20Mar10 90 $90k Mn 22Mar10 SEF Rulebk 83

95 Cupn Rates: 25bp, 100bp, 500bp, 1000bp Rlling dates: CDS Index rll semi-annually in March and September. Recvery rate Estimate f percentage f par value bndhlders will receive after a credit event. CDS fr investment grade bnds generally assume a 40% recvery rate. Hwever, CDS fr lwer rated bnds are mre dynamic and ften reflect lwer estimated recvery rates. Trade types. CDS Index instruments can be traded either n an utright basis, r as a switch. Outrights: An agreement between tw parties whereby ne party pays the ther party peridic payments fr the specified life f the agreement Rlls/Switches/Spreads: A switch is a single Transactin that results in a simultaneus buy and sell f tw r mre underlying utright cntracts. CDS indices are traded either in spread r in price terms, a generic term describing the difference, generally in basis pints, between the levels f tw reference values. Settlement: if a credit event ccurs then CDS Index cntracts are cash settled. Cash settlement: The prtectin seller pays the buyer the difference between par value and the market price f a debt bligatin f the reference entity. Upfrnt payments: upfrnt payments are made at initiatin f the trade. It incrprates the difference between the traded level and the index cupn, as well as accrued interest. Order size: A minimum rder size can be defined at the time f rder entry. Clearing Huse: ICE and LCH. The chice f clearing huse is determined at the time f rder entry and is based n qualificatin f each participant s clearing firm. Fr mre infrmatin n these instruments, including detailed specificatins, please see and Additinally, please see clearable cntract definitins at SEF Rulebk 84

96 Rule 802(2) Credit Derivatives Tranches Sme f the credit indices are als available in a tranched frmat, which allws investrs t gain expsure n a particular prtin f the index lss distributin. Tranches are defined by attachment and detachment pints. Defaults affect the tranches accrding t the senirity f the tranche in the capital structure. Indices Tranches CDX.NA.HY 0-10, 10-15, 15-25, 25-35, CDX.NA.IG 0-3, 3-7, 7-15, LCDX 0-5, 5-8, 8-12, 12-15, Currencies USD EUR Tranche Mechanics The prtectin buyer f a tranche makes quarterly cupn payments t the prtectin seller and receives a payment in case there is a credit event in the underlying prtfli. Upfrnt payments are made at initiatin and clse f the trade t reflect the change in price. Cupn payments (500bps r 100bps per annum) are made until the ntinal amunt f the tranche gets fully written dwn due t a series f credit events r until maturity whichever is earlier. Payments are made by the prtectin seller as lng as the lsses are greater than the attachment pint and less than the detachment pint fr that tranche. Once the ttal lss reaches the detachment pint, that tranche ntinal is fully written dwn. The premium payments are made n the reduced ntinal after each credit event. Fr mre infrmatin n these instruments, please see SEF Rulebk 85

97 Rule 802(3) [Reserved] SEF Rulebk 86

98 Rule 802(4) IOS Index Credit Default Swaps Cntract Specificatin Details Prduct Descriptin An agreement t buy r sell prtectin n a synthetic ttal return swap index f 30- year, fixed-rate Fannie Mae mrtgage pls. Index Name Qutatin Units f Trading Expiratin Date Settlement Markit IOS Index Cntract prices are quted in dllars and cents per cntract. Cntract(s) Trading shall cease at the end f the last day f the cntract designated settlement perid. Cntingent payment - Payments related t credit event settlement will be determined pursuant t the 2009 ISDA Credit Derivatives Determinatin Cmmittees and Auctin Settlement Supplement, (i.e., the Big Bang Prtcl). Fixed Quarterly cash payments - reflected in basis pints and paid by the prtectin buyer t the prtectin seller. Upfrnt fee payment - The upfrnt fee is a prtin f the payments, expressed in percentage pints f the ntinal, which is present valued and paid immediately t the seller. Swap Cnventins Minimum Price Fluctuatin/Price Tick Size Cntract Size Effective Date Maturity Date Tenr Trade Types Fixed cupn payments are calculated at a spread f 100 bps and exchanged n a quarterly basis. As agreed t by the parties. As agreed t by the parties As agreed t by the parties. As agreed t by the parties. The Maturity Date may als be referred t as the Terminatin Date r End Date. The duratin f the time frm the Effective Date t the Maturity Date. IOS Index CDS can be traded as ne f the fllwing trade type: a) Outright b) Rll trades c) Curve trades Last Trading Day Trading Mnths As agreed t by the parties. All mnths. SEF Rulebk 87

99 Cntract Specificatin Trading Hurs Trading Cnventins Details 00:01 24:00 (ET) Sunday t Friday a) Buy = Buy prtectin. The buyer pays a premium t the seller in case f a credit event ccurring. Credit events include bankruptcy and failure t pay. b) Sell = Sell prtectin. The seller f prtectin receives the premium payments frm the prtectin buyer. The seller wns the credit risk f the instrument. Investment grade indices are traded n spread. Speculative Limits Reprtable Levels N speculative limits are currently required. N reprtable levels are currently applicable. SEF Rulebk 88

100 Rule 802(5) ibxx Ttal Return Swaps Cntract Specificatin Prduct Descriptin Details The Cntract is a ttal return swap where ne party (the Buyer ) is bliged t pay a predetermined set rate, fixed r variable, t the ther party (the Seller ) in exchange fr the ntinal-based return perfrmance f ne f the fllwing indices: Markit ibxx EUR Crprates Markit ibxx EUR Liquid HY Markit ibxx GBP Crprates Markit ibxx USD Dmestic Crprates Markit ibxx USD Liquid HY Qutatin Units f Trading Expiratin Date Settlement Terms As agreed t between the parties. Cntract(s) Trading shall cease at the end f the last day f the cntract designated settlement perid. Cash settled. a) Buyer (Payer): receives appreciatin and incme f the index; pays depreciatin f, if any, the index; pays a fixed rate f interest f a rate f interest plus a differential n the underlying ntinal amunt f the cntract, as agreed t between the parties. b) Seller (Receiver): pays appreciatin and incme f the index; receives depreciatin f, if any, the index; receives a fixed rate f interest r a rate f interest plus a differential n the underlying ntinal amunt f the cntract, as agreed t between the parties. Minimum Price Fluctuatin/Price Tick Size Settlement Price Cntract Size Effective Date Maturity Date Tenr Trade Types As agreed t between the parties. The settlement price will be the price agreed at the cmmencement f the cntract, measured in increments f the applicable minimum price fluctuatin. 1 cntract, incremental size is 1 cntract. As agreed t between the parties. The Maturity Date may als be referred t as the Terminatin Date r End Date; as agreed t between the parties. The duratin f the time frm the Effective Date t the Maturity Date; as agreed t between the parties. Cntracts can be traded as ne f the fllwing trade type: a) Outright b) Spread (calendar and/r between indices) SEF Rulebk 89

101 Cntract Specificatin Last Trading Day Trading Mnths Trading Hurs Swap Leg Cnventins Speculative Limits Reprtable Levels Details Trading terminates at the clse f business n the last business day f each cntract mnth. All mnths. 07:00 16:00 (ET) Mnday t Friday a) Payment Frequency: Mnthly, Quarterly, Semi-Annually, r Annually b) Hliday Calendar: New Yrk and Lndn c) Business Day Cnventin: Mdified Fllwing. d) Business Days: If settlement is in GBP r EUR, Lndn and TARGET2, and if USD, New Yrk. d) Set Rate: The agreed rate f the prduct traded. N speculative limits are currently required. N reprtable levels are currently applicable. SEF Rulebk 90

102 Rule 802(6) ibxx Liquid Leveraged Lans Ttal Return Swaps Cntract Specificatin Prduct Descriptin Qutatin Units f Trading Expiratin Date Settlement Terms Details The Cntract is a ttal return swap where ne party (the Buyer ) is bliged t pay a predetermined set rate, fixed r variable, t the ther party (the Seller ) in exchange fr the ntinal-based return perfrmance f the Markit ibxx USD Liquid Leveraged Lans Index. As agreed t between the parties. Cntract(s) Trading shall cease at the end f the last day f the cntract designated settlement perid. Cash settled. a) Buyer (Payer): receives appreciatin and incme f the index; pays depreciatin f, if any, the index; pays a fixed rate f interest f a rate f interest plus a differential n the underlying ntinal amunt f the cntract, as agreed t between the parties. b) Seller (Receiver): pays appreciatin and incme f the index; receives depreciatin f, if any, the index; receives a fixed rate f interest r a rate f interest plus a differential n the underlying ntinal amunt f the cntract, as agreed t between the parties. Minimum Price Fluctuatin/Price Tick Size Settlement Price Cntract Size Effective Date Maturity Date Tenr Trade Types As agreed t between the parties. The settlement price will be the price agreed at the cmmencement f the cntract, measured in increments f the applicable minimum price fluctuatin. 1 cntract, incremental size is 1 cntract. As agreed t between the parties. The Maturity Date may als be referred t as the Terminatin Date r End Date; as agreed t between the parties. The duratin f the time frm the Effective Date t the Maturity Date; as agreed t between the parties. Cntracts can be traded as ne f the fllwing trade type: a) Outright b) Spread (calendar and/r between indices) Last Trading Day Trading Mnths Trading terminates at the clse f business n the last business day f each cntract mnth. All mnths. SEF Rulebk 91

103 Cntract Specificatin Trading Hurs Swap Leg Cnventins Speculative Limits Reprtable Levels Details 07:00 16:00 (ET) Mnday t Friday a) Payment Frequency: Mnthly, Quarterly, Semi-Annually, r Annually b) Hliday Calendar: New Yrk and Lndn c) Business Day Cnventin: Mdified Fllwing. d) Business Days: If settlement is in GBP r EUR, Lndn and TARGET2, and if USD, New Yrk. d) Set Rate: The agreed rate f the prduct traded. N speculative limits are currently required. N reprtable levels are currently applicable. SEF Rulebk 92

104 Rule 803. [Reserved] SEF Rulebk 93

105 Rule 804. Equity Derivatives Prducts Descriptins Trading Hurs Unless therwise indicated in a Swap s specificatins, the trading hurs fr all Swaps gverned by this Rule 804 are as fllws: Order Bk: 24 Hurs, beginning at 3:00 p.m. Eastern Time n Sunday and ending at 5:30 p.m. Eastern Time n Friday. Prducts Rule 804: Vice RFQ: Nt Available. All Pre-Arranged Crsses: 24 Hurs, beginning at 3:00 p.m. Eastern Time n Sunday and ending at 5:30 p.m. Eastern Time n Friday. (1) Ttal Return Swaps & Price Return Swaps (2) Ttal Return Index Swaps SEF Rulebk 94

106 Prduct Specificatins SEF Rule 804(1) Ttal Return Swaps & Price Return Swaps The Ttal Return and Price Return Swap cntract is an agreement where cash flws are exchanged between parties where the first party makes payments based n returns n an equity prduct and the cunterparty makes payments f a fixed amunt and/r flating amunt r payments based n the returns f the equity prduct. Name Quted Tenr Ttal Return Swap Basis Pints (+35 / +39) SPTR (3M/3ML) Currencies USD GBP EUR JPY AUD SEK CHF DKK CAD NOK PLN CZK TRY HKD KRW Instrument Specificatins Trading Cnventins Buyer - The buyer f a cntract will pay the rate f interest n the underlying leg plus the swap premium, and in return receive the appreciatin in value f the underlying equity. Seller - The seller f a cntract will receive the rate f interest plus the swap premium and in return pay the value f the appreciatin f the underlying equity. TRS Leg Cnventins Equity Leg Underlying Equity Index This must be a brad-based security index, as defined by the Cmmissin Regulatin 41.1(c). Multiplier This will be equal at all times t the exchange multiplier f the underlying equity index. Initial Price Immediate This is when the initial price is agreed at the time f trade. Future This is when the initial price is set at an agreed time in the future. Fixed Fee A fixed fee may be agreed that will be added r subtracted t price f the Equity Leg. SEF Rulebk 95

107 Interest Rate Leg Leg Type Fixed Rate This will be an agreed rate. Flating Rate Type This will be an agreed market interest rate Rate Validatin Surce The agreed surce frm which the Interest Rate Leg Fixings prices shall be taken. Tenr ICAP SEF will supprt Tenrs f any duratin greater than 0 years and less than 50 years. Trade Date The trade date f the cntract refers t the date n which the swap cntract was agreed. Initial Equity Valuatin Date The initial settlement date f the cntract will be an agreed calendar date. Equity Effective Date The initial settlement date f the cntract will be an agreed calendar date. Equity Reset Frequency This is an agreed perid f time in any valid time integer. Final Equity Valuatin Date The final valuatin date f the cntract will be an agreed calendar date. Interest Rate Reset Frequency This is an agreed perid f time in any valid time integer. Terminatin Date The maturity date f the cntract will be an agreed calendar date. On this date bligatins under the cntract n lnger accrue. Trade Types Ttal Return Swap (TRS) The calculatin f the value f which the equity leg is based will be the appreciatin/depreciatin f the underlying equity leg plus any returns due frm the underlying index. Price Return Swap (PRS) The calculatin f the value f which the equity index leg is based will be the appreciatin/depreciatin f the underlying equity index leg. Business Day Cnventin The business day cnventin will be agreed t be ne f the fllwing standard cnventin: Actual Fllwing Mdified Fllwing Previus Mdified Previus Cntract Size The minimum size available t trade n the SEF is 1 unit, and sizes are incremental in amunts f 1 unit. SEF Rulebk 96

108 Quting Cnventin Cntracts are quted in basis pints. Minimum and Incremental Price There is n minimum price fr a cntract. There is n minimum incremental price fr a cntract. Reprting All trades are reprted in accrdance with SDR requirements. Clearing Equity Derivative Swap Cntracts traded n ICAP SEF are nt cleared. Dividend If a return payment is due as part f the Cntract, a frmula used t calculate that return shall be agreed. SEF Rulebk 97

109 SEF Rule 804(2) Ttal Return Index Swaps The Markit TRX indices are ttal return swap indices referencing riginally rated AAA CMBS securities issued since late TRX Indices are tradable tls allwing investrs t gain expsure t cash CMBS via TRS cntracts. The liquidity and standardizatin f TRX index cntracts allw investrs t accurately gauge market sentiment arund the asset-class, and t take shrt r lng psitins accrdingly. Indices TRX.NA.AAA TRX.II SEF Rulebk 98

110 Rule 805. Cmmdities Prduct Descriptins Trading Hurs Unless therwise indicated in a Swap s specificatins, the trading hurs fr all Swaps gverned by this Rule 805 are as fllws: Order Bk: 24 Hurs, beginning at 3:00 p.m. Eastern Time n Sunday and ending at 5:30 p.m. Eastern Time n Friday. Prducts Rule 805: Vice RFQ: Nt Available. All Pre-Arranged Crsses: 24 Hurs, beginning at 3:00 p.m. Eastern Time n Sunday and ending at 5:30 p.m. Eastern Time n Friday. (1) Cal Optins (2) Cal Swaps (3) Eurpean Natural Gas (4) Irn Ore Optins (5) Irn Ore Swaps (6) UK Natural Gas (7) UK & Eurpean Natural Gas Optins (8) UK Pwer (9) Agricultural Swaps & Optins (a) Swap Cntract (b) Optin Cntract (10) Cmmdity Index Swaps & Optins (a) Swap Cntract (b) Optin Cntract (11) Sft Swaps & Optins (a) Swap Cntract (b) Optin Cntract (12) Electricity Swaps & Optins (a) Day Ahead Lcatinal Marginal Pricing Swaps (b) Day Ahead Lcatinal Marginal Pricing Optins (c) Real Time Lcatinal Marginal Pricing Swaps (d) Real Time Lcatinal Marginal Pricing Optins (e) Day Ahead Settlement Price Pint Swaps (f) Real Time Settlement Price Pint Swaps (g) Day Ahead Market Lcatinal Marginal Pricing Swaps (h) Day Ahead Market Lcatinal Marginal Pricing Optins (i) Real Time Market Lcatinal Marginal Pricing Swaps (j) ERCOT Ancillary Services (k) [Reserved] (l) Heat Rate Index Optins (13) Crude Oil (14) Dry Freight Swaps (15) Dry Freight Optins (16) Emissins Swaps (17) Emissins Optins (18) Fuel Oil Swaps (19) LNG Swaps (20) Middle Distillates Swaps (21) Precius Metals Frwards (22) Precius Metals Optins (23) Henry Hub Natural Gas Swaps & Optins SEF Rulebk 99

111 (a) (b) (c) (d) (e) Henry Hub NYMEX Last Day Settlement Swaps Henry Hub NYMEX Penultimate Settlement Swaps Henry Hub NYMEX Last Day Settlement Optins Henry Hub NYMEX Penultimate Settlement Optins Henry Hub Natural Gas Basis Swaps SEF Rulebk 100

112 Prduct Specificatins Rule 805(1) Cal Optins Cntract Specificatin Prduct Descriptin Details The ICAP SEF (US) LLC ICAP SEF Cal Optins are listed with respect t an underlying ICAP SEF Cal Swap. ICAP SEF ffers ptins based n the fllwing: API 2: cal delivered int Amsterdam, Rtterdam and Antwerp API 4: cal exprted frm Richard s Bay, Suth Africa gc Newcastle: cal laded at Newcastle, Australia Ind Sub-bit: cal laded at Kalimantan, Indnesia API 5: cal exprted frm Australia API 8: cal delivered int Suth China Trading Perid/Tenr ICAP SEF ffers ptins n the fllwing swap tenrs: Up t 60 cnsecutive mnths. Quarter, seasn, calendar, and any perid f cnsecutive mnthly cntracts can be registered as a strip. Fr example, a Q1 ptin is an ptin n Jan, an ptin n Feb, and an ptin n Mar, with each ptin expiring thirty calendar days befre the start f the relevant cntract mnth. Units f Trading Minimum Trading Size Trading Price/Price Tick Size Traded at 1 SEF Lt equivalent t 1,000 MT f Thermal Cal 1 SEF lt is equivalent t 1,000 MT The cntract price is quted in US dllars and in US cents per metric tnne ($0.01/MT) The minimum price fluctuatin is quted in increments f ne US dllar cent per metric tnne ($0.01/MT) Delivery/Settlement Terms Trade Types ICAP SEF Cal ptins are exercised int the relevant ICAP SEF Cal Swap ICAP SEF ffers the fllwing ptin strategies: Call Put Optin Premium Optin Style Equity Style ptin premiums must be exchanged within 2 business days f the transactin being executed. ICAP SEF ffers the fllwing ptin styles: Eurpean Style American Style SEF Rulebk 101

113 Cntract Specificatin Details Asian Style Strike Price Increments Psitin Limits Last Trading Day Strike prices are in increments f US dllar and cents per metric tnne f underlying Cal Swap ($0.01/MT) Refer t ICAP SEF Rule Bk, Rule 408 fr psitin limits Trading will cease n Natural Gas Optins at 15:00 (LLT) n expiry date. Trading Cnventins Buyer Optin Seller Optin Cal Optins expire as per market cnventin. SEF Rulebk 102

114 Rule 805(2) Cal Swaps Cntract Specificatin Prduct Descriptin Details A cmmdity swap is a cntract where the buyer is bliged t buy/sell a Cal prduct at a predetermined fixed rate and sell/buy the same Cal prduct at an average rate determined by the price f the underlying Cal prduct ver a single pint in time r a series f predefined fixings. ICAP SEF (US) LLC ICAP SEF ffers Cal swaps based n the fllwing: API 2: cal delivered int Amsterdam, Rtterdam and Antwerp API 4: cal exprted frm Richard s Bay, Suth Africa gc Newcastle: cal laded at Newcastle, Australia Ind Sub-bit: cal laded at Kalimantan, Indnesia API 5: cal exprted frm Australia API 8: cal delivered int Suth China Trading Perid / Tenr Units f Trading Minimum Trading Size Trading Price/Price Tick Size Cntract terms available fr trading include: 48 cnsecutive mnth cntracts 12 cnsecutive quarters 8 cnsecutive seasns 4 cnsecutive years Traded at 1 SEF Lt equivalent t 1,000 metric tnnes (MT) f Thermal Cal 1 SEF lt is equivalent t 1,000 MT The cntract price is in US dllars and US dllar cents per metric tnne ($0.01/MT) The minimum price fluctuatin is quted in increments f ne US dllar cent per metric tnne ($0.01/MT) Delivery/Settlement Terms Trade Types Psitin Limits Last Trading Day The API 2, API 4, API 5 and API 8 indexes are cash settled against the mnthly average f the indexes published in the Argus/McClskey Cal Price Index Reprt. The gc Newcastle index is cash settled against the mnthly average f the glbalcal Weekly NEWC Index. The Ind Sub-bit is cash settled against the mnthly average f the index published in the IHS McClskey Cal Reprt. Outright; and/r Spread Refer t ICAP SEF Rule Bk, Rule 408 fr psitin limits Mnth cntracts cease trading at the clse f business n the last Friday f the cntract delivery perid. Quarters, seasns and calendar years cease trading as a quarter/seasn/calendar year at the clse f business n the last Friday f the first mnth cntract in that quarter/seasn/calendar year. SEF Rulebk 103

115 Cntract Specificatin Details Trading Cnventins Buyer is the Fixed Payer party f the cntract wh is Lng the cmmdity Seller is the Flating Payer party f the cntract wh is Shrt the cmmdity SEF Rulebk 104

116 Rule 805(3) Eurpean Natural Gas Cntract Specificatin Prduct Descriptin Details Eurpean Natural Gas cntracts are fr physical delivery thrugh the transfer f rights in respect f Natural Gas at the relevant physical r virtual gas hub. Delivery is made equally each hur thrughut the delivery perid. ICAP SEF (US) LLC ICAP SEF ffers Natural Gas frwards. Trading Perid / Tenr Cntract terms available fr trading include: Within Day Daily cntracts (including Day Ahead) Balance f Week Weekend Wrking Days Next Week Balance f Mnth Mnth Quarter Seasn Calendar Year Gas Year Units f Trading Traded as 1 SEF lt equivalent t 1 MWh/Hr/Day/delivery perid Delivery Perid: Feb (nn Leap year): 672 MWh Feb (leap year): 696 MWh Jan, May, Jul, Aug, Dec: 744 MWh Oct: 745 MWh Apr, Jun, Sep, Nv: 720 MWh March: 743 MWh Minimum Trading Size Trading Price/Price Tick Size Delivery/Settlement Terms Trade Types Psitin Limits 35 SEF lts with increments f 35 SEF lts Cntract price are quted in Eur 0.01/MWh Physical delivery in accrdance with the rules f the relevant physical r virtual hub peratr. Outright r Spread Refer t ICAP SEF Rule Bk, Rule 408 fr psitin limits Last Trading Day Trading f Within Day cntracts will cease at the clse f business n the cntract day. Trading f Daily, Weekends and Wrking Days Next Week cntracts will cease at the clse f business n the business day prir t the start f the delivery perid. SEF Rulebk 105

117 Cntract Specificatin Details Trading f Balance f Mnth cntracts will cease at the clse f business n tw Business Days prir t the end f the mnth. Trading f Mnth, Quarter, Seasn and Year will cease at the clse f business ne Business Day prir t the first calendar day f the delivery mnth, quarter, seasn, calendar and gas years. Trading Cnventins Buyer is the party f the cntract wh is Lng the cmmdity Seller is the party f the cntract wh is Shrt the cmmdity SEF Rulebk 106

118 Rule 805(4) Irn Ore Optins Cntract Specificatin Prduct Descriptin Details Irn re is a mineral with metallic irn (Fe) cntent. High grade irn re cntains at least 60% Fe cntent, and the industry has adpted the 62% Fe specificatin as a standard benchmark fr derivative transactins. The Irn Ore Swap is based upn The Steel Index (TSI) Ore 62% Fe index. ICAP SEF (US) LLC ICAP SEF ffers ptins based n the fllwing: TSI Irn Ore 62% FE Daily Index Trading Perid / Tenr Units f Trading Minimum Trading Size Trading Price/Price Tick Size Delivery/Settlement Terms Trade Types Optin Premium Optin Style Strike Price Increments Psitin Limits Last Trading Day ICAP SEF ffers ptins n the fllwing swap tenrs: Mnthly Quarterly Calendar Year Traded at 1 SEF Lt equivalent t 1 Kil tnne (kt) One half f a kil tnne (0.05 kt) The cntract price is in US dllars and in US cents per kil tnne ($0.01/kt) ICAP SEF Irn Ore ptins are exercised int the relevant ICAP SEF Irn Ore Swap ICAP SEF ffers the fllwing ptin strategies: Call Put Equity Style such that premiums are paid at the time the transactin is executed ICAP SEF ffers the fllwing ptin styles: Eurpean Style American Style Asian Style The strike range is any price assciated with the underlying Irn Ore Swap greater than $0.00 per metric tnne Increments f $0.01 per metric tnne Refer t ICAP SEF Rule Bk, Rule 408 fr psitin limits Trading will cease n Irn Ore Optins at 15:00 (LLT) n expiry date. Irn Ore Optins expire as per market cnventin. Trading Cnventins Buyer Optin Seller Optin SEF Rulebk 107

119 Rule 805(5) Irn Ore Swaps Cntract Specificatin Prduct Descriptin Details A cmmdity swap is a cntract where the buyer is bliged t buy /sell an irn re prduct (any listed belw) at a predetermined fixed rate and sell /buy the same irn re prduct at an average rate determined by the price f the underlying prduct ver a series f predefined fixings. Irn re is a mineral with metallic irn (Fe) cntent. High grade irn re cntains at least 60% Fe cntent, and the industry has adpted the 62% Fe specificatin as a standard benchmark fr derivative transactins. The Irn Ore Swap is based upn The Steel Index (TSI) Ore 62% Fe index. ICAP SEF (US) LLC ICAP SEF ffers Irn Ore based n the fllwing: Trading Perid / Tenr Units f Trading Minimum Trading Size Trading Price/Price Tick Size Delivery/Settlement Terms Trade Types Psitin Limits Last Trading Day TSI Irn Ore 62% FE Daily Index Cntract terms available fr trading include: Up t 60 cnsecutive mnth cntracts 25 t 28 cnsecutive quarters 6 cnsecutive years Traded at 1 SEF Lt equivalent t 1 Kil tnne (kt) One half f a kil tnne (0.05 kt) The cntract price is in US dllars and in US cents per kil tnne ($0.01/kt) Irn Ore Swaps are cash settled using The Steel Index (TSI) irn re reference prices In respect f final settlement, the Flating Price will be a price in US dllar and US cents per metric tnne based n the average f the relevant qutatins published in The Steel Index s Irn Ore Daily Editin. Outright r Spread Refer t ICAP SEF Rule Bk, Rule 408 fr psitin limits Trading will cease at the clse f business n the last Business Day f the traded mnth, quarter, r calendar year as applicable. Trading Cnventins Buyer is the party f the cntract wh is Lng the cmmdity Seller is the party f the cntract wh is Shrt the cmmdity SEF Rulebk 108

120 Rule 805(6) UK Natural Gas Cntract Specificatin Prduct Descriptin Trading Perid / Tenr Units f Trading Details UK Natural Gas cntracts are fr physical delivery thrugh the transfer f rights in respect f Natural Gas at the Natinal Balancing Pint (NBP) Virtual Trading Pint, perated by Natinal Grid, the transmissins system peratr in the UK. Delivery is made equally each day thrughut the delivery perid. ICAP SEF (US) LLC ICAP SEF ffers UK Natural Gas frwards. Cntract terms available fr trading include: Within Day Daily cntracts (frm day ahead t six days ahead) Balance f Week Weekends Wrking Days Next Week Balance f Mnth Mnth Quarter Seasn Calendar Year Gas Year Traded as 1 SEF lt equivalent t 1,000 Therms/day/delivery perid Cntract size per mnth: Feb (nn Leap year): 28,000 Therms Feb (leap year): 29,000 Therms Jan, May, Jul, Aug, Dec: 31,000 Therms Apr, Jun, Sep, Nv: 30,000 Therms Minimum Trading 25 SEF lts with increments f 25 SEF lts Size Trading Price/Price Cntract price is quted in UK punds sterling 0.01/ Therm Tick Size Delivery/Settlement Terms Physical delivery in accrdance t the rules f delivery f the hub peratr, the Natinal Grid. Trade Types Outright r Spread Psitin Limits Refer t ICAP SEF Rule Bk, Rule 408 fr psitin limits Last Trading Day Trading f Within Day cntracts will cease at the clse f business n the cntract day. Trading f Daily, Weekends and Wrking Days Next Week cntracts will cease at the clse f business n the business day prir t the start f the delivery perid. Trading f Balance f Mnth cntracts will cease at the clse f business n tw Business Days prir t the end f the mnth. Trading f Mnth, Quarter, Seasn and Year will cease at the clse f business ne Business Day prir t the first calendar day f the delivery mnth, quarter, seasn, calendar and gas years. Trading Cnventins Buyer is the party f the cntract wh is Lng the cmmdity Seller is the party f the cntract wh is Shrt the cmmdity SEF Rulebk 109

121 Rule 805(7) UK & Eurpean Natural Gas Optins Cntract Specificatin Prduct Descriptin Trading Perid / Tenr Units f Trading Minimum Trading Size Trading Price/Price Tick Size Delivery/Settlement Terms Trade Types Optin Premium Optin Style Strike Price Increments Psitin Limits Last Trading Day Trading Cnventins Details The ICAP SEF (US) LLC ICAP SEF ffers Natural Gas Optins based n the fllwing: UK Natural Gas Eurpean Natural Gas ICAP SEF ffers ptins n the fllwing frward tenrs: Mnths Quarters Seasns Calendar Years Gas Years UK Natural Gas: 1 SEF Lt equivalent t 1,000 Therms f natural gas/day Eurpean Natural Gas: 1 SEF Lt equivalent t 1 MWh f natural gas/hur/day 1 SEF lt is equivalent t 1,000 Therms per day r 1 MWh/hur /day UK Natural Gas: Cntract price is in UK Sterling and is 0.01/ Therm Eurpean Natural Gas: Cntract price is in Eur cent and is 0.01/MWh ICAP SEF Natural Gas Optins exercise int the relevant ICAP SEF Natural Gas frward ICAP SEF ffers the fllwing ptin strategies: Call Put Equity Style ptin premiums must be exchanged within 2 business days f the transactin being executed. ICAP SEF ffers the fllwing ptin styles: Eurpean Style American Style Asian Style UK Natural Gas: Multiples f 0.01/Therm. (The strike range is any price assciated with the underlying Natural Gas Swap greater than 0.00/Therm.) Eurpean Natural Gas: Multiples f 0.01 Eur cent per MWh. (The strike range is any price assciated with the underlying Natural Gas Swap greater than 0.00 per MWh.) Refer t ICAP SEF Rule Bk, Rule 408 fr psitin limits Trading will cease n Natural Gas Optins at 15:00 (LLT) n expiry date. Gas Optins expire as per market cnventin. Buyer Optin Seller Optin SEF Rulebk 110

122 Rule 805(8) UK Pwer Cntract Specificatin Prduct Descriptin Details UK Electricity cntracts are fr physical delivery f Electricity thrugh the Natinal Grid, the transmissins system peratr in the UK. Delivery is made equally each hur thrughut the delivery perid. Cntracts are based n the Electricity Frwards Agreement (EFA) calendar (Pwer Trading Cmmittee (PTC) f the Futures and Optins Assciatin (FOA)). ICAP SEF (US) LLC ICAP SEF ffers the fllwing blck shapes: Weekday (Mnday t Friday) (WD) Weekend (WE) Blcks 1/2/3/4/5/6 (and cmbinatins therf) Baselad cnsists f WD 1/2/3/4/5/6 and WE 1/2/3/4/5/6 UK Peaks cnsist f WD 3/4/5* UK Off Peaks cnsist f WD1/2/6 and WE 1/2/3/4/5/6** Extended Peaks cnsist f WD and WE 3/4/5/6 Overnights cnsist f WD and WE 1/2 Trading Perid / Tenr Units f Trading Minimum Trading Size Trading Price/Price Tick Size Delivery/Settlement Terms Trade Types Psitin Limits Effective Date * Except where Day-ahead dentes Saturday, Sunday r bank hliday in which case applies t blcks 3/4/5. (Nte: a bank hliday is always categrised as WD nt WE.) ** When trading a single day, the ff peak is always blcks 1/2 and 6 irrespective f it being a wrking day r weekend. The Cntract terms available t be traded include: Day-ahead* 1,2,3,4 Weekend Weeks Mnths Quarters Seasns Annual *Day-ahead when traded n a Friday, refers t the fllwing Mnday NOT Saturday. When trading Day-ahead, and where that dentes a Saturday, Sunday r bank hliday, blcks 3/4/5 can be traded tgether and is ften referred t as a Peak prduct althugh, by definitin, this term applies nly t a weekday. If in dubt please check. Traded as 1 SEF Lt equivalent t 1 MWH/ hur / day 1 SEF lt is equivalent t 1 MWH / hur/ day Cntract price is in GBP and pence per MWH ( 0.01 / MHW) Physical delivery is fulfilled by the debit f electricity frm the Energy Accunt f ne party and the credit f electricity t the Energy Accunt f the ther party fr every half hur settlement perid f the delivery perid. Outright; Spreads; r Spark Spreads *Spark Spreads is a spread between a Gas cntract and an Electricity cntract Refer t ICAP SEE Rule Bk, Rule 408 fr psitin limits. The Effective Date is the first date f the trading perid als knwn as Trade Date SEF Rulebk 111

123 Cntract Details Specificatin Last Trading Day Gate Clsure Trading Cnventins Buyer is the party f the cntract wh is Lng the cmmdity Seller is the party f the cntract wh is Shrt the cmmdity SEF Rulebk 112

124 Rule 805 (9) Agricultural Swaps & Optins (a) Agricultural Swaps Cntract Specificatin Prduct Descriptin Details A cmmdity swap is a cntract where the buyer is bliged t buy (sell) an asset at a predetermined fixed rate and sell (buy) the same asset at an average rate determined by the price f the underlying asset ver single pint in time r a series (r a strip) f predefined fixings. The fllwing Agricultural prducts are traded at ICAP: Crn (CBOT) Sybeans (CBOT) Wheat (CBOT) Sybean Oil (CBOT) Sybean Meal (CBOT) KCBT Hard Red Winter Wheat (KCBT) Lean Hgs (CME) MGE Hard Red Spring Wheat (MGE) Milling Wheat (Eurnext Paris) Live Cattle (CME) Lndn Cca (ICE Lndn) Cca (ICE US) Cffee (ICE US) Rbusta Cffee (ICE Lndn) Sugar N. 11 (ICE US) White Sugar (ICE Lndn) Cttn N. 2 (ICE US) Frzen Cncentrated Orange Juice ( FCOJ ) (ICE US) Qutatin Units f Trading Expiratin Date Settlement Terms Minimum Price Fluctuatin/Price Tick Size Settlement Price Cntract Size Cntract prices are quted in dllars and cents per cntract Cntract(s) Trading shall cease at the end f the last day f the cntract designated settlement perid Cash settled, referencing the equivalent futures cntract at the relevant exchange (CBOT, KCBT, CME, MGE, Eurnext Paris, ICE Lndn r ICE US) n the daily settlement price n the equivalent futures exchange listed abve. Flating price settled based n the futures cntract n specified settlement date. The minimum price fluctuatin is quted in increments f $0.01 per cntract. The settlement price will be the price agreed at the cmmencement f the cntract, measured in ne cent ($0.01) per cntract. 1 cntract is defined as fllws fr each prduct: Crn Sybeans Wheat 5,000 Bushels 5,000 Bushels 5,000 Bushels SEF Rulebk 113

125 Cntract Specificatin Details Sybean Oil Sybean Meal KCBT Hard Red Winter Wheat Lean Hgs MGE Hard Red Spring Wheat Milling Wheat Live Cattle Lndn Cca Cca Cffee Rbusta Cffee Sugar N. 11 White Sugar Cttn N. 2 FCOJ 60,000 Punds 100 Shrt Tns 5,000 Bushels 40,000 Punds 5000 Bushels 50 Metric Tns 40,000 Punds 10 Metric Tns 10 Metric Tns 37,500 punds 10 Metric Tns 112,000 Punds 50 Metric Tns 50,000 Punds 50,000 Punds Effective Date Maturity Date Tenr Trade Types Last Trading Day Trading Cnventins Swap Leg Cnventins The Effective Date f the Swap must be a business day subject t the apprpriate Business Day Cnventin. The Maturity Date may als be referred t as the Terminatin Date r End Date. The duratin f the time frm the Effective Date t the Maturity Date. Agricultural Prducts can be traded as ne f the fllwing trade type: a) Outright b) Spread/Switch Trading terminates at the clse f business n the last business day f each cntract mnth a) Buyer (Payer), the fixed payer is the party f the cntract wh has bught the cmmdity r knwn t be lng. b) Seller (Receiver), the flating payer is the party f the cntract wh has sld the cmmdity r knwn t be shrt a) Payment Frequency. Mnthly, Quarterly, Semi-Annually, r Annually b) Hliday Calendar. New Yrk and Lndn c) Business Day Cnventin. Mdified Fllwing with adjustment t perid end dates. Business days in this cnventin must be valid business days n bth the New Yrk and Lndn calendar. If nt, it will be the next day that is a business day n bth the New Yrk and Lndn calendar. d) Fixed Rate. The agreed rate f the prduct traded SEF Rulebk 114

126 ( b) Agricultural Cmmdity Optins Cntract Specificatin Prduct Descriptin Details The ICAP SEF (US) LLC ICAP SEF Agricultural Cmmdity Optins are listed with respect t an underlying ICAP SEF Agricultural Swap. ICAP SEF ffers ptins based n the fllwing: Crn (CBOT) Sybean (CBOT) Wheat (CBOT) Sybean Oil (CBOT) Sybean Meal (CBOT) KCBT Hard Red Winter Wheat (KCTB) Lean Hgs (CME) MGE Hard Red Spring Wheat (MGE) Milling Wheat (Eurnext Paris) Live Cattle (CME) Lndn Cca (ICE Lndn) Cca (ICE US) Cffee (ICE US) Rbusta Cffee (ICE Lndn) Sugar N. 11 (ICE US) White Sugar (ICE Lndn) Cttn N. 2 (ICE US) Frzen Cncentrated Orange Juice ( FCOJ ) (ICE US) Trading Perid/Tenr Trading Hurs Qutatin Units f Trading Expiratin Date Settlement Terms Minimum Price Fluctuatin/Price ICAP SEF ffers ptins n the fllwing swap tenrs: Up t 60 cnsecutive mnths. Quarter, seasn, calendar, and any perid f cnsecutive mnthly cntracts can be registered as a strip. Fr example, a Q1 ptin is an ptin n Jan, an ptin n Feb, and an ptin n Mar, with each ptin expiring thirty calendar days befre the start f the relevant cntract mnth. 24 hurs a day, Mnday t Friday Cntract prices are quted in dllars and cents per cntract. Cntract(s) Trading shall cease at the end f the last day f the cntract designated settlement perid. Cash settled 5 business days after expiratin based n the settlement price f the underlying Agricultural Swap, which references the equivalent futures cntract at the relevant exchange. Flating price f the Agricultural Swap is settled based n the futures cntract n specified settlement date. Fr Asian style ptins, the payment is determined by the average underlying price ver the pre-set perid f time. Fr Eurpean style ptin, the payment is determined by the underlying price n a specific date. The minimum price fluctuatin is quted in increments f $0.01 per cntract. SEF Rulebk 115

127 Cntract Specificatin Tick Size Settlement Price Cntract Size Details The settlement price will be the price agreed at the cmmencement f the cntract, measured in ne cent ($0.01) per cntract. 1 cntract is defined as fllws fr each prduct: Crn Sybean Wheat Sybean Oil Sybean Meal KCBT Hard Red Winter Wheat Lean Hgs MGE Hard Red Spring Wheat Milling Wheat Live Cattle Lndn Cca Cca Cffee Rbusta Cffee Sugar N. 11 White Sugar Cttn N. 2 FCOJ 5,000 Bushels 5,000 Bushels 5,000 Bushels 60,000 Punds 100 Shrt Tns 5,000 Bushels 40,000 Punds 5000 Bushels 50 Metric Tns 40,000 Punds 10 Metric Tns 10 Metric Tns 37,500 punds 10 Metric Tns 112,000 Punds 50 Metric Tns 50,000 Punds 50,000 Punds Effective Date Maturity Date Tenr Trade Types The Effective Date f the Optin must be a business day subject t the apprpriate Business Day Cnventin. The Maturity Date may als be referred t as the Terminatin Date r End Date. The duratin f the time frm the Effective Date t the Maturity Date. Agricultural ptins can be traded as ne f the fllwing trade types: a) Put (Eurpean and Asian) b) Call (Eurpean and Asian) Optin Premium Last Trading Day Trading Cnventins Swap Leg Cnventins Optin premiums must be exchanged within 2 business days f the transactin being executed. Optin premium t be quted and exchanged in US Dllars. Trading terminates at the clse f business n the last business day f each cntract mnth. Buyer Optin Seller Optin a) Payment Frequency: Mnthly, Quarterly, Semi-Annually, r Annually b) Hliday Calendar: New Yrk and Lndn c) Business Day Cnventin: Mdified Fllwing with adjustment t perid end dates. Business days in this cnventin must be valid business days n bth the New Yrk and Lndn calendar. If nt, it will be the next day that is a business day n bth the New Yrk and Lndn calendar. SEF Rulebk 116

128 Rule 805 (10) Cmmdity Index Swaps & Optins (a) Cmmdity Index Swaps Cntract Specificatin Prduct Descriptin Indices Details A Cmmdity Index Swap is a cash-settled cntract where ne party (the buyer ) is bliged t pay a predetermined fixed price t the ther party (the seller ) at a specified date and the seller is bligated t pay a flating price t the buyer based n the Cmmdity Index at the specified date, r alternatively the average price f a series (r a strip) f predefined fixings ver the life f the cntract. The fllwing Cmmdity Index prducts are traded at ICAP: Qutatin Basis Pints Cmmdity Index settled upn specified S&P Gldman Sachs Cmmdity Index Cmmdity Index settled upn specified Blmberg Cmmdity Index Cmmdity Index settled upn specified Rger Index Cmmdity Index settled upn specified S&P Gldman Sachs Cmmdity Sub- Index Cmmdity Index settled upn specified Blmberg Cmmdity Sub-Index Cmmdity Index settled upn specified Credit Suisse Cmmdity Benchmark Index Units f Trading Ntinal Value f the Swap Expiratin Date Settlement Terms Cash settled. Trading shall cease at the end f the designated swap settlement perid. Minimum Price The minimum price fluctuatin is quted in increments f.25 Basis Pints. Fluctuatin/Price Tick Size Settlement Price The settlement price will be the published price f the publically available index, measured in.001 index pints. Cntract Size The minimum cntract size is 5 millin USD. Effective Date Maturity Date Tenr The Effective Date f the Swap must be a business day subject t the apprpriate Business Day Cnventin. The Maturity Date may als be referred t as the Terminatin Date r End Date. The duratin f time frm the Effective Date t the Maturity Date. The cntract terms available t be traded include frm 1 day 5 years. Rll Day The date used fr determining all fixed and flating Reset Dates. Cnventin Trade Types Outrights Last Trading Day Trading terminates at the clse f business n the last business day f each cntract mnth. Trading Cnventins (a) Buyer (Payer), the fixed payer is the party f the cntract wh has bught the cmmdity r knwn t be lng. (b) Seller (Receiver), the flating payer is the party f the cntract wh has sld the cmmdity r knwn t be shrt. SEF Rulebk 117

129 Cntract Specificatin Swap Leg Cnventins Details (a) Payment Frequency. Mnthly, Quarterly, Semi-Annually, r Annually. (b) Hliday Calendar. New Yrk and Lndn. (c) Business Day Cnventin. Mdified Fllwing with adjustment t perid and end dates. Business days in this cnventin must be valid business days n bth the New Yrk and Lndn calendar. If nt, it will be the next day that is a business day n bth the New Yrk and Lndn calendar. (d) Fixed Rate. The agreed rate f the prduct traded. Optins Available Cntracts fr Optins will be available fr each f the Cmmdity Index Prducts, quted in percentage f ntinal value. (b) Cmmdity Index Optins Cntract Specificatin Prduct Descriptin Details The ICAP SEF (US) LLC ICAP SEF Cmmdity Index Optins are listed with respect t an underlying ICAP SEF Cmmdity Index Swap. ICAP SEF ffers ptins based n the fllwing: Trading Perid/Tenr Cmmdity Index settled upn specified S&P Gldman Sachs Cmmdity Index Cmmdity Index settled upn specified Blmberg Cmmdity Index Cmmdity Index settled upn specified Rger Index Cmmdity Index settled upn specified S&P Gldman Sachs Cmmdity Sub- Index Cmmdity Index settled upn specified Blmberg Cmmdity Sub-Index Cmmdity Index settled upn specified Credit Suisse Cmmdity Benchmark Index ICAP SEF ffers ptins n the fllwing swap tenrs: Up t 60 cnsecutive mnths. Quarter, seasn, calendar, and any perid f cnsecutive mnthly cntracts can be registered as a strip. Fr example, a Q1 ptin is an ptin n Jan, an ptin n Feb, and an ptin n Mar, with each ptin expiring thirty calendar days befre the start f the relevant cntract mnth. Trading Hurs Qutatin Units f Trading Expiratin Date Settlement Terms 24 hurs a day, Mnday t Friday Cntract prices are quted in dllars and cents per cntract. Cntract(s) Trading shall cease at the end f the last day f the cntract designated settlement perid. Cash settled 5 business days after expiratin based n the settlement price f the underlying Cmmdity Index Swap. Fr Asian style ptins, the payment is determined by the average underlying price SEF Rulebk 118

130 Cntract Specificatin Details ver the pre-set perid f time. Fr Eurpean style ptin, the payment is determined by the underlying price n a specific date. Minimum Price Fluctuatin/Price Tick Size Settlement Price Cntract Size Effective Date Maturity Date Tenr Trade Types The minimum price fluctuatin is quted in increments f $ per cntract. The settlement price will be the published price f the publically available index, measured in.001 index pints. The minimum cntract size is 5 millin USD. The Effective Date f the Optin must be a business day subject t the apprpriate Business Day Cnventin. The Maturity Date may als be referred t as the Terminatin Date r End Date. The duratin f the time frm the Effective Date t the Maturity Date. The ptins can be traded as ne f the fllwing trade types: a) Put (Eurpean and Asian) b) Call (Eurpean and Asian) Optin Premium Optin premiums must be exchanged within 2 business days f the transactin being executed. Optin premium t be quted and exchanged in US Dllars. Last Trading Day Trading Cnventins Trading terminates at the clse f business n the last business day f each cntract mnth. Buyer Optin Seller Optin Swap Leg Cnventins a) Payment Frequency: Mnthly, Quarterly, Semi-Annually, r Annually b) Hliday Calendar: New Yrk and Lndn c) Business Day Cnventin: Mdified Fllwing with adjustment t perid end dates. Business days in this cnventin must be valid business days n bth the New Yrk and Lndn calendar. If nt, it will be the next day that is a business day n bth the New Yrk and Lndn calendar. d) Fixed Rate: The agreed rate f the prduct traded. SEF Rulebk 119

131 Rule 805 (11) Sft Swaps & Optins (a) Sft Swaps Cntract Specificatin Prduct Descriptin Details A Sft Swap is a cash-settled cntract where ne party (the buyer ) is bliged t pay a predetermined fixed price t the ther party (the seller ) at a specified date and the seller is bligated t pay a flating price t the buyer based n the price f a crrespnding futures cntract at the specified date, r alternatively the average price f a series (r a strip) f predefined fixings ver the life f the cntract. The fllwing sft cmmdity prducts are traded at ICAP: Cca Cffee Cttn Sugar White Sugar (NYSE Liffe) Qutatin Units f Trading Expiratin Date Settlement Terms Minimum Price Fluctuatin/Price Tick Size Cntract prices are quted in dllars and cents per cntract. Cntract(s) Trading shall cease at the end f the last day f the cntract designated settlement perid. Cash settled, referencing the equivalent futures cntract at the ICE Futures U.S. r the equivalent exchange listed abve. The flating price is settled based n the relevant futures cntract n the specified settlement date. The minimum price fluctuatin is quted in the same minimum increments as the crrespnding futures cntract, currently: Cca Cffee Cttn Sugar White Sugar $1.00 per Metric Tn $ per Pund $ per Pund $ per Pund $0.10 per Metric Tn Settlement Price Cntract Size The settlement price will be the price agreed at the cmmencement f the cntract, measured in increments f the applicable minimum price fluctuatin. 1 cntract is defined as fllws fr each prduct: Cca Cffee Cttn Sugar White Sugar 10 Metric Tns 37,500 Punds 50,000 Punds 112,000 Punds 50 Metric Tns Effective Date The Effective Date f the Swap must be a business day subject t the apprpriate Business Day Cnventin. SEF Rulebk 120

132 Cntract Specificatin Maturity Date Tenr Trade Types Details The Maturity Date may als be referred t as the Terminatin Date r End Date. The duratin f the time frm the Effective Date t the Maturity Date. Sft Prducts can be traded as ne f the fllwing trade type: a) Outright b) Spread/Switch - calendar Last Trading Day Trading Mnths Trading Hurs Trading Cnventins Swap Leg Cnventins Speculative Limits Reprtable Levels Trading terminates at the clse f business n the last business day f each cntract mnth. All mnths. 07:00 16:00 (ET) Mnday t Friday a) Buyer (Payer): the fixed payer is the party f the cntract wh has bught the cmmdity r knwn t be lng. b) Seller (Receiver): the flating payer is the party f the cntract wh has sld the cmmdity r knwn t be shrt. a) Payment Frequency: Mnthly, Quarterly, Semi-Annually, r Annually b) Hliday Calendar: New Yrk and Lndn c) Business Day Cnventin: Mdified Fllwing with adjustment t perid end dates. Business days in this cnventin must be valid business days n bth the New Yrk and Lndn calendar. If nt, it will be the next day that is a business day n bth the New Yrk and Lndn calendar. d) Fixed Rate: The agreed rate f the prduct traded. N speculative limits are currently required. N reprtable levels are currently applicable. SEF Rulebk 121

133 (b) Sft Cmmdity Optins Cntract Specificatin Prduct Descriptin Details The ICAP SEF (US) LLC ICAP SEF Sft Cmmdity Optins are listed with respect t an underlying ICAP SEF Sft Swap. ICAP SEF ffers ptins based n the fllwing: Cca Cffee Cttn Sugar White Sugar (NYSE Liffe) Trading Perid/Tenr ICAP SEF ffers ptins n the fllwing swap tenrs: Up t 60 cnsecutive mnths. Quarter, seasn, calendar, and any perid f cnsecutive mnthly cntracts can be registered as a strip. Fr example, a Q1 ptin is an ptin n Jan, an ptin n Feb, and an ptin n Mar, with each ptin expiring thirty calendar days befre the start f the relevant cntract mnth. Trading Hurs Qutatin Units f Trading Expiratin Date Settlement Terms 24 hurs a day, Mnday t Friday Cntract prices are quted in dllars and cents per cntract. Cntract(s) Trading shall cease at the end f the last day f the cntract designated settlement perid. Cash settled 5 business days after expiratin based n the settlement price f the underlying Sft Swap, which references the equivalent futures cntract at the ICE Futures U.S. r the equivalent exchange listed abve. Flating price f the Sft Swap is settled based n the futures cntract n specified settlement date. Fr Asian style ptins, the payment is determined by the average underlying price ver the pre-set perid f time. Fr Eurpean style ptin, the payment is determined by the underlying price n a specific date. Minimum Price Fluctuatin/Price Tick Size Settlement Price Cntract Size The minimum price fluctuatin is quted in increments f $0.01 cent per cntract. The settlement price will be the price agreed at the cmmencement f the cntract, measured in ne cent ($0.01) per cntract. 1 cntract is defined as fllws fr each prduct: Cca 10 Metric Tns SEF Rulebk 122

134 Cntract Specificatin Details Cffee Cttn Sugar White Sugar 37,500 Punds 50,000 Punds 112,000 Punds 50 Metric Tns Effective Date Maturity Date Tenr Trade Types The Effective Date f the Optin must be a business day subject t the apprpriate Business Day Cnventin. The Maturity Date may als be referred t as the Terminatin Date r End Date. The duratin f the time frm the Effective Date t the Maturity Date. Sft ptins can be traded as ne f the fllwing trade type: a) Put (Eurpean and Asian) b) Call (Eurpean and Asian) Optin Premium Last Trading Day Trading Cnventins Optin premiums must be exchanged within 2 business days f the transactin being executed. Optin premium t be quted and exchanged in US Dllars. Trading terminates at the clse f business n the last business day f each cntract mnth. Buyer Optin Seller Optin Swap Leg Cnventins a) Payment Frequency: Mnthly, Quarterly, Semi-Annually, r Annually b) Hliday Calendar: New Yrk and Lndn c) Business Day Cnventin: Mdified Fllwing with adjustment t perid end dates. Business days in this cnventin must be valid business days n bth the New Yrk and Lndn calendar. If nt, it will be the next day that is a business day n bth the New Yrk and Lndn calendar. d) Fixed Rate: The agreed rate f the prduct traded. SEF Rulebk 123

135 Rule 805 (12) Electricity Swaps & Optins (a) Day Ahead Lcatinal Marginal Pricing - Swaps Cntract Specificatin Prduct Descriptin Details Cash settled swap cntracts based n day ahead prices published by Independent System Operatrs ("ISO") fr the specific electricity lcatins. The fllwing Electricity prducts based n day ahead Lcatinal Marginal Pricing settlements are traded at ICAP: CAISO Suth Path 15 EZ Gen Hub Jersey Central Pwer & Light Zne Midwest ISO - Arkansas Hub Midwest ISO - Illinis Hub Midwest ISO - Indiana Hub Midwest ISO - Luisiana Hub Midwest ISO - Michigan Hub Minnesta Hub MISO.AMIL.BGS 6 Ladzne MISO.AMIL.BGS 9 Pennsylvania, New Jersey & Maryland AEP Zne Pennsylvania, New Jersey & Maryland APS Zne Pennsylvania, New Jersey & Maryland - ATSI Zne Pennsylvania, New Jersey & Maryland - Baltimre Gas & Electric Zne Pennsylvania, New Jersey & Maryland - DPL Zne Pennsylvania, New Jersey & Maryland - East Pennsylvania, New Jersey & Maryland - MetEd Zne Pennsylvania, New Jersey & Maryland - PECO Zne Pennsylvania, New Jersey & Maryland - Pepc Zne Pennsylvania, New Jersey & Maryland - PPL Zne Pennsylvania, New Jersey & Maryland - PSEG Zne Pennsylvania, New Jersey & Maryland - West PJM AEP Daytn Hub PJM Cmmnwealth Edisn PJM Nrthern Illinis Hub Suthwest Pwer Pl - Nrth Hub Suthwest Pwer Pl - Suth Hub Trading Hurs Flw Perids Qutatin Units f Trading Expiratin Date Settlement Terms Minimum Price Fluctuatin/Price Tick Size Settlement Price 08:00 17:00, Lcal Eastern Time (LET), Mnday Friday. Cntracts may be agreed upn fr the fllwing types f flw perids: Peak, Off-Peak and Flat Cntract prices are quted in dllars and cents per MWh Any multiple f 1 MWh Trading shall cease at the end f the last business day f the cntract perid designated settlement perid Cash The minimum price fluctuatin is quted in increments f $0.01 cent per MWh DAY AHEAD Lcatinal Marginal Pricing - the price fr a pricing date will be that day's U.S. Dllar specified price per MWh f electricity fr delivery n the agreed upn delivery date, published by the respective Independent System Operatr ("ISO") fr Daily Day-Ahead Lcatinal Marginal Pricing SEF Rulebk 124

136 (LMP)at the delivery lcatin specified in the cntract fr the prices effective n agreed upn date. Cntract Size Effective Date Maturity Date Tenr The minimum cntract size is 1 MWh and can be defined at the time f agreement The Effective Date f the Swap must be a business day subject t the apprpriate Business Day Cnventin. The Maturity Date may als be referred t as the Terminatin Date r End Date. The duratin f the time frm the Effective Date t the Maturity Date. The cntract terms available t be traded include: a) Balance Of Mnth b) Mnths c) Quarters d) Seasns e) Half Year f) Calendar Year Trade Types Last Trading Day Trading Cnventins Swap Leg Cnventins Electricity can be traded as ne f the fllwing trade type: a) Outright b) Spread calendar Trading terminates at the clse f business n the n the last business day f each cntract mnth a) Buyer (Payer), the fixed payer is the party f the cntract wh has bught the cmmdity r knwn t be lng. b) Seller (Receiver), the flating payer is the party f the cntract wh has sld the cmmdity r knwn t be shrt a) Payment Frequency. Mnthly, Quarterly, Semi-Annually, r Annually b) Hliday Calendar. NERC c) Business Day Cnventin. Mdified Fllwing with adjustment t perid end dates. Business days in this cnventin must be valid business days n bth the New Yrk and Lndn calendar. If nt, it will be the next day that is a business day n bth the New Yrk and Lndn calendar. d) Fixed Rate. The agreed rate f the prduct traded (b) Day Ahead Lcatinal Marginal Pricing Optins Cntract Specificatin Prduct Descriptin Details Optin cntracts based n day ahead electricity prices published by Independent System Operatrs ("ISO") fr the specific lcatins. The fllwing Electricity prducts based n day ahead Lcatinal Marginal Pricing settlements are traded at ICAP: CAISO Suth Path 15 EZ Gen Hub Pennsylvania, New Jersey & Maryland West Optin Style Trading Hurs Eurpean 08:00 17:00, Lcal Eastern Time (LET), Mnday Friday. SEF Rulebk 125

137 Flw Perids Qutatin Units f Trading Expiratin Date Settlement Terms Minimum Price Fluctuatin/Price Tick Size Settlement Price Strike Prices Cntract Size Effective Date Maturity Date Tenr Cntracts may be agreed upn fr the fllwing types f flw perids: Peak, Off-Peak and Flat Cntract prices are quted in dllars and cents per MWh Any multiple f 1 MWh Trading shall cease at the end f the last business day f the cntract perid designated settlement perid Exercise int underlying swap The minimum price fluctuatin is quted in increments f $0.01 cent per MWh DAY AHEAD Lcatinal Marginal Pricing - the price fr a pricing date will be that day's U.S. Dllar specified price per MWh f electricity fr delivery n the agreed upn delivery date, published by the respective Independent System Operatr ("ISO") fr Daily Day-Ahead Lcatinal Marginal Pricing (LMP)at the delivery lcatin specified in the cntract fr the prices effective n agreed upn date. Strike prices are available in increments f $0.01 cent per MWh The minimum cntract size is 1 MWh and can be defined at the time f agreement The Effective Date f the Swap must be a business day subject t the apprpriate Business Day Cnventin. The Maturity Date may als be referred t as the Terminatin Date r End Date. The duratin f the time frm the Effective Date t the Maturity Date. The cntract terms available t be traded include: a) Daily b) Balance Of Mnth c) Mnths d) Quarters e) Seasns f) Half Year g) Calendar Year Exercise Trade Types Last Trading Day Trading Cnventins Swap Leg Cnventins Daily Tenrs: Autmatic All Other Tenrs: (i.e. mnthly): Manual Electricity can be traded as ne f the fllwing trade type: a) Outright b) Spread strike price and/ r Maturity Date Trading terminates at the clse f business n the n the last business day f each cntract mnth a) Buyer (Payer), the fixed payer is the party f the cntract wh has bught the cmmdity r knwn t be lng. b) Seller (Receiver), the flating payer is the party f the cntract wh has sld the cmmdity r knwn t be shrt a) Payment Frequency. Mnthly, Quarterly, Semi-Annually, r Annually b) Hliday Calendar. NERC c) Business Day Cnventin. Mdified Fllwing with adjustment t perid end dates. Business days in this cnventin must be valid business days n bth the New Yrk and Lndn calendar. If nt, it will be the next day that is a business day n bth the New Yrk and Lndn calendar. d) Fixed Rate. The agreed rate f the prduct traded SEF Rulebk 126

138 (c) Real Time Lcatinal Marginal Pricing Swaps Cntract Specificatin Prduct Descriptin Details Cash settled swap cntracts based n real time prices published by Independent System Operatrs ("ISO") fr the specific electricity lcatins. The fllwing Electricity prducts based n real time Lcatinal Marginal Pricing settlements are traded at ICAP: Midwest ISO - Indiana Hub Midwest ISO Arkansas Hub Midwest ISO Luisiana Hub Pennsylvania, New Jersey & Maryland ATSI Zne Pennsylvania, New Jersey & Maryland - Baltimre Gas & Electric Zne Pennsylvania, New Jersey & Maryland - East Pennsylvania, New Jersey & Maryland - West PJM AEP Daytn Hub PJM Nrthern Illinis Hub Suthwest Pwer Pl - Nrth Hub Suthwest Pwer Pl - Suth Hub Trading Hurs Flw Perids Qutatin Units f Trading Expiratin Date Settlement Terms Minimum Price Fluctuatin/Price Tick Size Settlement Price Cntract Size Effective Date Maturity Date Tenr 08:00 17:00, Lcal Eastern Time (LET), Mnday Friday. Cntracts may be agreed upn fr the fllwing types f flw perids: Peak, Off-Peak and Flat Cntract prices are quted in dllars and cents per MWh l Any multiple f 1 MWh Trading shall cease at the end f the last business day f the cntract perid designated settlement perid. Cash The minimum price fluctuatin is quted in increments f $0.01 cent per MWh REAL TIME Lcatinal Marginal Pricing - the price fr a pricing date will be that day's U.S. Dllar specified price per MWh f electricity fr delivery n the agreed upn delivery date, published by the respective Independent System Operatr ("ISO") fr Daily Real-Time Lcatinal Marginal Pricing (LMP) at the delivery lcatin specified in the cntract fr the prices effective n agreed upn date. The minimum cntract size is 1 MWh and can be defined at the time f agreement The Effective Date f the Swap must be a business day subject t the apprpriate Business Day Cnventin. The Maturity Date may als be referred t as the Terminatin Date r End Date. The duratin f the time frm the Effective Date t the Maturity Date. The cntract terms available t be traded include: a) Balance Of Mnth b) Mnths c) Quarters d) Seasns e) Half Year f) Calendar Year SEF Rulebk 127

139 Trade Types Last Trading Day Trading Cnventins Swap Leg Cnventins Optins Available Electricity can be traded as ne f the fllwing trade type: a) Outright b) Spread calendar Trading terminates at the clse f business n the n the last business day f each cntract mnth a) Buyer (Payer), the fixed payer is the party f the cntract wh has bught the cmmdity r knwn t be lng. b) Seller (Receiver), the flating payer is the party f the cntract wh has sld the cmmdity r knwn t be shrt a) Payment Frequency. Mnthly, Quarterly, Semi-Annually, r Annually b) Hliday Calendar. NERC c) Business Day Cnventin. Mdified Fllwing with adjustment t perid end dates. Business days in this cnventin must be valid business days n bth the New Yrk and Lndn calendar. If nt, it will be the next day that is a business day n bth the New Yrk and Lndn calendar. d) Fixed Rate. The agreed rate f the prduct traded Cntracts fr Optins will be available fr the fllwing Lcatins: Pennsylvania, New Jersey & Maryland - West (d) Real Time Lcatinal Marginal Pricing Optins Cntract Specificatin Prduct Descriptin Details Optin cntracts based n real time electricity prices published by Independent System Operatrs ("ISO") fr the specific lcatins. The fllwing Electricity prducts based n real time Lcatinal Marginal Pricing settlements are traded at ICAP: Pennsylvania, New Jersey & Maryland West Optin Style Trading Hurs Flw Perids Qutatin Units f Trading Expiratin Date Settlement Terms Minimum Price Fluctuatin/Price Tick Size Settlement Price Eurpean 08:00 17:00, Lcal Eastern Time (LET), Mnday Friday. Cntracts may be agreed upn fr the fllwing types f flw perids: Peak, Off-Peak and Flat Cntract prices are quted in dllars and cents per MWh Any multiple f 1 MWh Trading shall cease at the end f the last business day f the cntract perid designated settlement perid Exercise int underlying swap The minimum price fluctuatin is quted in increments f $0.01 cent per MWh REAL TIME Lcatinal Marginal Pricing - the price fr a pricing date will be that day's U.S. Dllar specified price per MWh f electricity fr delivery n the agreed upn delivery date, published by the respective Independent System Operatr ("ISO") fr Daily Real-Time Lcatinal Marginal Pricing (LMP) at the delivery lcatin specified in the cntract fr the prices effective n agreed upn date. SEF Rulebk 128

140 Strike Prices Cntract Size Effective Date Maturity Date Tenr Strike prices are available in increments f $0.01 cent per MWh The minimum cntract size is 1 MWh and can be defined at the time f agreement The Effective Date f the Swap must be a business day subject t the apprpriate Business Day Cnventin. The Maturity Date may als be referred t as the Terminatin Date r End Date. The duratin f the time frm the Effective Date t the Maturity Date. The cntract terms available t be traded include: a) Daily b) Balance Of Mnth c) Mnths d) Quarters e) Seasns f) Half Year g) Calendar Year Exercise Trade Types Last Trading Day Trading Cnventins Swap Leg Cnventins Daily Tenrs: Autmatic All Other Tenrs: (i.e. mnthly): Manual Electricity can be traded as ne f the fllwing trade type: a) Outright b) Spread strike price and/ r Maturity Date Trading terminates at the clse f business n the n the last business day f each cntract mnth a) Buyer (Payer), the fixed payer is the party f the cntract wh has bught the cmmdity r knwn t be lng. b) Seller (Receiver), the flating payer is the party f the cntract wh has sld the cmmdity r knwn t be shrt a) Payment Frequency. Mnthly, Quarterly, Semi-Annually, r Annually b) Hliday Calendar. NERC c) Business Day Cnventin. Mdified Fllwing with adjustment t perid end dates. Business days in this cnventin must be valid business days n bth the New Yrk and Lndn calendar. If nt, it will be the next day that is a business day n bth the New Yrk and Lndn calendar. d) Fixed Rate. The agreed rate f the prduct traded (e) Day Ahead Settlement Price Pint Swaps Cntract Specificatin Prduct Descriptin Details Cash settled swap cntracts based n day ahead prices published by Independent System Operatrs ("ISO") fr the specific electricity lcatins. The fllwing Electricity prducts based n Day Ahead Settlement Price Pint settlements are traded at ICAP: ERCOT-West 345KV Hub ERCOT-Nrth 345KV Hub SEF Rulebk 129

141 Trading Hurs Flw Perids Qutatin Units f Trading Expiratin Date Settlement Terms Minimum Price Fluctuatin/Price Tick Size Settlement Price Cntract Size Effective Date Maturity Date Tenr Trade Types 08:00 17:00, Lcal Eastern Time (LET), Mnday Friday. Cntracts may be agreed upn fr the fllwing types f flw perids: Peak, Off-Peak and Flat, Cntract prices are quted in dllars and cents per MWh Any multiple f 1 MWh Trading shall cease at the end f the last business day f the cntract perid designated settlement perid Cash The minimum price fluctuatin is quted in increments f $0.01 cent per MWh Day Ahead Settlement Price Pint - the price fr a pricing date will be that day's U.S. Dllar specified price per MWh f electricity fr delivery n the agreed upn delivery date, published by the respective Independent System Operatr ("ISO") fr Day Ahead Settlement Price Pint (SPP)at the delivery lcatin specified in the cntract fr the prices effective n agreed upn date. The minimum cntract size is 1 MWh and can be defined at the time f agreement The Effective Date f the Swap must be a business day subject t the apprpriate Business Day Cnventin. The Maturity Date may als be referred t as the Terminatin Date r End Date. The duratin f the time frm the Effective Date t the Maturity Date. The cntract terms available t be traded include: a) Balance Of Mnth b) Mnths c) Quarters d) Seasns e) Half Year f) Calendar Year Electricity can be traded as ne f the fllwing trade type: a) Outright b) Spread calendar Last Trading Day Trading Cnventins Swap Leg Cnventins Trading terminates at the clse f business n the n the last business day f each cntract mnth a) Buyer (Payer), the fixed payer is the party f the cntract wh has bught the cmmdity r knwn t be lng. b) Seller (Receiver), the flating payer is the party f the cntract wh has sld the cmmdity r knwn t be shrt a) Payment Frequency. Mnthly, Quarterly, Semi-Annually, r Annually b) Hliday Calendar. NERC c) Business Day Cnventin. Mdified Fllwing with adjustment t perid end dates. Business days in this cnventin must be valid business days n bth the New Yrk and Lndn calendar. If nt, it will be the next day that is a business day n bth the New Yrk and Lndn calendar. d) Fixed Rate. The agreed rate f the prduct traded SEF Rulebk 130

142 (f) Real Time Settlement Price Pint Swaps Cntract Specificatin Prduct Descriptin Details Cash settled swap cntracts based n real time prices published by Independent System Operatrs ("ISO") fr the specific electricity lcatins. The fllwing Electricity prducts based n Real Time Settlement Price Pint settlements are traded at ICAP: ERCOT-West 345KV Hub ERCOT-Nrth 345KV Hub Trading Hurs Flw Perids Qutatin Units f Trading Expiratin Date Settlement Terms Minimum Price Fluctuatin/Price Tick Size Settlement Price Cntract Size Effective Date Maturity Date Tenr 08:00 17:00, Lcal Eastern Time (LET), Mnday Friday. Cntracts may be agreed upn fr the fllwing types f flw perids: Peak, Off-Peak and Flat, Cntract prices are quted in dllars and cents per MWh Any multiple f 1 MWh Trading shall cease at the end f the last business day f the cntract perid designated settlement perid Cash The minimum price fluctuatin is quted in increments f $0.01 cent per MWh Real Time Settlement Price Pint - the price fr a pricing date will be that day's U.S. Dllar specified price per MWh f electricity fr delivery n the agreed upn delivery date, published by the respective Independent System Operatr ("ISO") fr Real Time Settlement Price Pint (SPP)at the delivery lcatin specified in the cntract fr the prices effective n agreed upn date. The minimum cntract size is 1 MWh and can be defined at the time f agreement The Effective Date f the Swap must be a business day subject t the apprpriate Business Day Cnventin. The Maturity Date may als be referred t as the Terminatin Date r End Date. The duratin f the time frm the Effective Date t the Maturity Date. The cntract terms available t be traded include: a) Balance Of Mnth b) Mnths c) Quarters d) Seasns e) Half Year f) Calendar Year Trade Types Last Trading Day Trading Cnventins Electricity can be traded as ne f the fllwing trade type: a) Outright b) Spread calendar Trading terminates at the clse f business n the n the last business day f each cntract mnth a) Buyer (Payer), the fixed payer is the party f the cntract wh has bught the cmmdity r knwn t be lng. SEF Rulebk 131

143 Swap Leg Cnventins b) Seller (Receiver), the flating payer is the party f the cntract wh has sld the cmmdity r knwn t be shrt a) Payment Frequency. Mnthly, Quarterly, Semi-Annually, r Annually b) Hliday Calendar. NERC c) Business Day Cnventin. Mdified Fllwing with adjustment t perid end dates. Business days in this cnventin must be valid business days n bth the New Yrk and Lndn calendar. If nt, it will be the next day that is a business day n bth the New Yrk and Lndn calendar. d) Fixed Rate. The agreed rate f the prduct traded (g) Day Ahead Market Lcatinal Marginal Pricing Swaps Cntract Specificatin Prduct Descriptin Details Cash settled swap cntracts based n day ahead prices published by Independent System Operatrs ("ISO") fr the specific electricity lcatins. The fllwing Electricity prducts based n Day Ahead Market Lcatinal Marginal Pricing settlements are traded at ICAP: New England Pwer Pl - Cnnecticut New England Pwer Pl - Massachusetts Hub New England Pwer Pl - Nrtheast Massachusetts New England Pwer Pl - Rhde Island New England Pwer Pl - West Central Massachusetts Hub New Yrk Independent System Operatr, Zne A New Yrk Independent System Operatr, Zne C New Yrk Independent System Operatr, Zne D New Yrk Independent System Operatr, Zne E New Yrk Independent System Operatr, Zne F New Yrk Independent System Operatr, Zne G New Yrk Independent System Operatr, Zne J Trading Hurs Flw Perids Qutatin Units f Trading Expiratin Date Settlement Terms Minimum Price Fluctuatin/Price 08:00 17:00, Lcal Eastern Time (LET), Mnday Friday. Cntracts may be agreed upn fr the fllwing types f flw perids: Peak, Off-Peak and Flat Cntract prices are quted in dllars and cents per MWh Any multiple f 1 MWh Trading shall cease at the end f the last business day f the cntract perid designated settlement perid. Cash The minimum price fluctuatin is quted in increments f $0.01 cent per MWh SEF Rulebk 132

144 Tick Size Settlement Price Cntract Size Effective Date Maturity Date Tenr Day Ahead Market Lcatinal Marginal Pricing -the price fr a pricing date will be that day's U.S. Dllar specified price per MWh f electricity fr delivery n the agreed upn delivery date, published by the respective Independent System Operatr ("ISO") fr Day Ahead Market Lcatinal Marginal Pricing (LMP) prices fr the average f each hur published as day-ahead at the delivery lcatin specified in the cntract fr the prices effective n agreed upn date. The minimum cntract size is 1 MWh and can be defined at the time f agreement The Effective Date f the Swap must be a business day subject t the apprpriate Business Day Cnventin. The Maturity Date may als be referred t as the Terminatin Date r End Date. The duratin f the time frm the Effective Date t the Maturity Date. The cntract terms available t be traded include: a) Balance Of Mnth b) Mnths c) Quarters d) Seasns e) Half Year f) Calendar Year Trade Types Last Trading Day Trading Cnventins Swap Leg Cnventins Electricity can be traded as ne f the fllwing trade type: a) Outright b) Spread calendar Trading terminates at the clse f business n the n the last business day f each cntract mnth a) Buyer (Payer), the fixed payer is the party f the cntract wh has bught the cmmdity r knwn t be lng. b) Seller (Receiver), the flating payer is the party f the cntract wh has sld the cmmdity r knwn t be shrt a) Payment Frequency. Mnthly, Quarterly, Semi-Annually, r Annually b) Hliday Calendar. NERC c) Business Day Cnventin. Mdified Fllwing with adjustment t perid end dates. Business days in this cnventin must be valid business days n bth the New Yrk and Lndn calendar. If nt, it will be the next day that is a business day n bth the New Yrk and Lndn calendar. d) Fixed Rate. The agreed rate f the prduct traded (h) Day Ahead Market Lcatinal Marginal Pricing Optins Cntract Specificatin Prduct Descriptin Details Optin cntracts based n day ahead electricity prices published by Independent System Operatrs ("ISO") fr the specific lcatins. The fllwing Electricity prducts based n day ahead Lcatinal Marginal Pricing settlements are traded at ICAP: New England Pwer Pl - Massachusetts Hub New Yrk Independent System Operatr, Zne A SEF Rulebk 133

145 Optin Style Trading Hurs Flw Perids Qutatin Units f Trading Expiratin Date Settlement Terms Minimum Price Fluctuatin/Price Tick Size Settlement Price Strike Prices Cntract Size Effective Date Maturity Date Tenr Eurpean 08:00 17:00, Lcal Eastern Time (LET), Mnday Friday. Cntracts may be agreed upn fr the fllwing types f flw perids: Peak, Off-Peak and Flat Cntract prices are quted in dllars and cents per MWh Any multiple f 1 MWh Trading shall cease at the end f the last business day f the cntract perid designated settlement perid Exercise int underlying swap The minimum price fluctuatin is quted in increments f $0.01 cent per MWh Day Ahead Market Lcatinal Marginal Pricing -the price fr a pricing date will be that day's U.S. Dllar specified price per MWh f electricity fr delivery n the agreed upn delivery date, published by the respective Independent System Operatr ("ISO") fr Day Ahead Market Lcatinal Marginal Pricing (LMP) prices fr the average f each hur published as day-ahead at the delivery lcatin specified in the cntract fr the prices effective n agreed upn date. Strike prices are available in increments f $0.01 cent per MWh The minimum cntract size is 1 MWh and can be defined at the time f agreement The Effective Date f the Swap must be a business day subject t the apprpriate Business Day Cnventin. The Maturity Date may als be referred t as the Terminatin Date r End Date. The duratin f the time frm the Effective Date t the Maturity Date. The cntract terms available t be traded include: a) Daily b) Balance Of Mnth c) Mnths d) Quarters e) Seasns f) Half Year g) Calendar Year Exercise Trade Types Last Trading Day Trading Cnventins Swap Leg Cnventins Daily Tenrs: Autmatic All Other Tenrs: (i.e. mnthly): Manual Electricity can be traded as ne f the fllwing trade type: a) Outright b) Spread strike price and/ r Maturity Date Trading terminates at the clse f business n the n the last business day f each cntract mnth a) Buyer (Payer), the fixed payer is the party f the cntract wh has bught the cmmdity r knwn t be lng. b) Seller (Receiver), the flating payer is the party f the cntract wh has sld the cmmdity r knwn t be shrt a) Payment Frequency. Mnthly, Quarterly, Semi-Annually, r Annually b) Hliday Calendar. NERC c) Business Day Cnventin. Mdified Fllwing with adjustment t perid end dates. Business days in this cnventin must be valid business days n bth the New Yrk and Lndn SEF Rulebk 134

146 calendar. If nt, it will be the next day that is a business day n bth the New Yrk and Lndn calendar. d) Fixed Rate. The agreed rate f the prduct traded (i) Real Time Market Lcatinal Marginal Pricing Swaps Cntract Specificatin Prduct Descriptin Details Cash settled swap cntracts based n real time prices published by Independent System Operatrs ("ISO") fr the specific electricity lcatins. The fllwing Electricity prducts based n Real Time Market Lcatinal Marginal Pricing settlements are traded at ICAP: New England Pwer Pl - Massachusetts Hub New Yrk Independent System Operatr, Zne G Trading Hurs Flw Perids Qutatin Units f Trading Expiratin Date Settlement Terms Minimum Price Fluctuatin/Price Tick Size Settlement Price Cntract Size Effective Date Maturity Date Tenr 08:00 17:00, Lcal Eastern Time (LET), Mnday Friday. Cntracts may be agreed upn fr the fllwing types f flw perids: Peak, Off-Peak and Flat Cntract prices are quted in dllars and cents per MWh Any multiple f 1 MWh Trading shall cease at the end f the last business day f the cntract perid designated settlement perid.. Cash The minimum price fluctuatin is quted in increments f $0.01 cent per MWh Real Time Market Lcatinal Marginal Pricing -the price fr a pricing date will be that day's U.S. Dllar specified price per MWh f electricity fr delivery n the agreed upn delivery date, published by the respective Independent System Operatr ("ISO") fr LMP prices fr the average f each hur published as Real-time at the delivery lcatin specified in the cntract fr the prices effective n agreed upn date. The minimum cntract size is 1 MWh and can be defined at the time f agreement The Effective Date f the Swap must be a business day subject t the apprpriate Business Day Cnventin. The Maturity Date may als be referred t as the Terminatin Date r End Date. The duratin f the time frm the Effective Date t the Maturity Date. The cntract terms available t be traded include: a) Balance Of Mnth b) Mnths c) Quarters d) Seasns e) Half Year f) Calendar Year Trade Types Electricity can be traded as ne f the fllwing trade type: a) Outright SEF Rulebk 135

147 b) Spread calendar Last Trading Day Trading Cnventins Swap Leg Cnventins Trading terminates at the clse f business n the n the last business day f each cntract mnth a) Buyer (Payer), the fixed payer is the party f the cntract wh has bught the cmmdity r knwn t be lng. b) Seller (Receiver), the flating payer is the party f the cntract wh has sld the cmmdity r knwn t be shrt a) Payment Frequency. Mnthly, Quarterly, Semi-Annually, r Annually b) Hliday Calendar. NERC c) Business Day Cnventin. Mdified Fllwing with adjustment t perid end dates. Business days in this cnventin must be valid business days n bth the New Yrk and Lndn calendar. If nt, it will be the next day that is a business day n bth the New Yrk and Lndn calendar. d) Fixed Rate. The agreed rate f the prduct traded (j) ERCOT Ancillary Services Cntract Specificatin Prduct Descriptin Trading Hurs Flw Perids Qutatin Units f Trading Expiratin Date Settlement Terms Minimum Price Fluctuatin/Price Tick Size Settlement Price Cntract Size Effective Date Maturity Date Tenr Details Cash settled swap cntracts based n Market Clearing Price fr Capacity ( MCPC ) fr ancillary standby pwer services published by the Electricity Reliability Cuncil f Texas ( ERCOT ). The fllwing Electricity prducts based n MPCP settlements are traded at ICAP: ERCOT-Respnse Reserve ( RRS ) ERCOT-Regulatin Dwn Service ( Reg-Dwn ) ERCOT Regulatin Up ( Reg-Up ) ERCOT Nn-Spinning Reserve Service ( Nn-Spin ) 08:00 17:00, Lcal Eastern Time (LET), Mnday Friday. Cntracts may be agreed upn fr the fllwing types f flw perids: Peak, Off-Peak and Flat, Cntract prices are quted in dllars and cents per MWh Any multiple f 1 MWh Trading shall cease at the end f the last business day f the cntract perid designated settlement perid Cash The minimum price fluctuatin is quted in increments f $0.01 per MWh Day Ahead Market Clearing Price - the price fr the specified ancillary service fr a pricing date will be that day's U.S. Dllar specified price per MWh f the electricity service available n the agreed upn date, as published by ERCOT. The minimum cntract size is 1 MWh and can be defined at the time f agreement The Effective Date f the Swap must be a business day subject t the apprpriate Business Day Cnventin. The Maturity Date may als be referred t as the Terminatin Date r End Date. The duratin f the time frm the Effective Date t the Maturity Date. The cntract terms available t be traded include: SEF Rulebk 136

148 Trade Types Last Trading Day Trading Cnventins Swap Leg Cnventins a) Daily b) Balance Of Mnth c) Mnths d) Quarters e) Seasns f) Half Year g) Calendar Year Electricity can be traded utright nly. Trading terminates at the clse f business n the n the last business day f each cntract mnth a) Buyer (Payer), the fixed payer is the party f the cntract wh has bught the cmmdity r knwn t be lng. b) Seller (Receiver), the flating payer is the party f the cntract wh has sld the cmmdity r knwn t be shrt a) Payment Frequency. Mnthly, Quarterly, Semi-Annually, r Annually b) Hliday Calendar. NERC c) Business Day Cnventin. Mdified Fllwing with adjustment t perid end dates. Business days in this cnventin must be valid business days n bth the New Yrk and Lndn calendar. If nt, it will be the next day that is a business day n bth the New Yrk and Lndn calendar. d) Fixed Rate. The agreed rate f the prduct traded (k) [Reserved] (l) Heat Rate Index Optins Cntract Specificatin Prduct Descriptin Details Optin cntracts fr pwer lcatins based n agreed Heat Rate prices derived frm published indices f natural gas prices. Such ptins are available fr the fllwing electricity pricing lcatins electricity prducts based n the agreed upn multiple f natural gas prices at the specified cmbinatin f electricity lcatin and natural gas hub: Optin Style Trading Hurs Flw Perids Qutatin Units f Trading Expiratin Date Settlement SCal GD Daily Index vs. Day Ahead LMP at CAISO Suth Path 15 EZ Gen Hub TETCO M3 GD Daily Index vs. Real-Time LMP at PJM-W Algnquin city-gates GD Daily Index vs. Day Ahead Market at New England Pwer Pl - Massachusetts Hub Eurpean 08:00 17:00, Lcal Eastern Time (LET), Mnday Friday. Cntracts may be agreed upn fr the fllwing types f flw perids: Peak Cntract premium prices are quted in dllars and cents per MWh Any multiple f 1 MWh Trading shall cease at the end f the last business day f the cntract perid designated settlement perid Exercise int the respective swap cmpnents fr gas and pwer in the frm custmary fr such SEF Rulebk 137

149 Terms Minimum Price Fluctuatin/Price Tick Size Strike Price Cntract Size Effective Date Maturity Date Tenr swaps n the OTC market. The minimum price fluctuatin is quted in increments f $0.01 per MWh Strike prices are cmputed based upn the agreed multiple f the specified cmbinatin fr the electricity lcatin and gas index lcatin. Gas indices lcatins as published by Platts. The minimum cntract size is 1 MWh and can be defined at the time f agreement The Effective Date f the Swap must be a business day subject t the apprpriate Business Day Cnventin. The Maturity Date may als be referred t as the Terminatin Date r End Date. The duratin f the time frm the Effective Date t the Maturity Date. The cntract terms available t be traded include: a) Daily b) Balance Of Mnth c) Mnths d) Quarters e) Seasns f) Half Year g) Calendar Year Exercise Trade Types Last Trading Day Trading Cnventins Swap Leg Cnventins Daily Tenrs: Autmatic All Other Tenrs: (i.e. mnthly): Manual Electricity can be traded as ne f the fllwing trade type: a) Outright b) Spread (strike price r Maturity Date) Trading terminates at the clse f business n the last business day f each cntract mnth a) Buyer (Payer), the fixed payer is the party f the cntract wh has bught the cmmdity r knwn t be lng. b) Seller (Receiver), the flating payer is the party f the cntract wh has sld the cmmdity r knwn t be shrt a) Payment Frequency. Mnthly, Quarterly, Semi-Annually, r Annually b) Hliday Calendar. NERC c) Business Day Cnventin. Mdified Fllwing with adjustment t perid end dates. Business days in this cnventin must be valid business days n bth the New Yrk and Lndn calendar. If nt, it will be the next day that is a business day n bth the New Yrk and Lndn calendar. d) Fixed Rate. The agreed rate f the prduct traded SEF Rulebk 138

150 Rule 805 (13) Crude Oil Cntract Specificatin Prduct Descriptin Details A Crude Oil swap is a cntract where tw parties agree t pay/receive a predetermined fixed price n a Crude Oil (any listed belw), and receive/pay a flating price based n the same Crude Oil at predefined times. ICAP SEF (US) LLC ICAP SEF ffers Crude Oil swaps in the fllwing: Brent 25 Day BFOE Brent CFD Frnt Line Brent Dated Brent Dated Frnt Line Brent Dubai Crude Oil WTI Crude Oil Trading Perid / Tenr Units f Trading Minimum Trading Size Trading Price/Price Tick Size Delivery/Settlement Terms Trade Types Psitin Limits Last Trading Day Trading Cnventins Cntract terms available fr trading include: Daily Weeks Balance Of Mnth Mnths Quarters Calendar Years 1 SEF Lt equivalent t 1,000 Barrels (bbl) 1 SEF lt with increments f 1 SEF lt Cntract prices are quted US Dllar and US Dllar cents per Barrel ($0.01/bb1). Crude Oil swaps trade in increments f $0.01/bbl. Crude Oil cntracts are cash settled against the crrespnding Platts daily assessment price and/r futures cntract. Outright r Spread Refer t ICAP SEF Rule Bk, Rule 408 fr psitin limits The last business day f the cntract perid. a) Buyer pays fixed price / receives flating price n a Crude Oil b) Seller receives fixed price / pays flating price n a Crude Oil SEF Rulebk 139

151 Rule 805 (14) Dry Freight Swaps Cntract Specificatin Prduct Descriptin Details A Dry Frward Freight Agreement (FFA) swap is a cntract where tw parties agree t pay/receive a predetermined fixed price n a Dry Freight rute r a time charter average (any listed belw), and receive/pay a flating price based n the same Dry Freight rute r a time charter average. ICAP SEF (US) LLC ICAP SEF ffers Dry Freight swaps based n the fllwing rutes and time charter averages: C3 AVG: Capesize, Tubara Qingda, 160,000 mt C4 AVG: Capesize, Richards Bay Rtterdam, 150,000 mt C5 AVG: Capesize, W Australia Qingda, 160,000 mt C7 AVG: Capesize, Blivar - Rtterdam, 150,000 mt P1A: Panamax, T/C, Transatlantic RV P1A AVG, Panamax, T/C Transatlantic RV P2A: Panamax, T/C Skaw Gibraltar - Far East P2A AVG: Panamax, T/C Skaw Gibraltar - Far East P3A: Panamax, T/C S.Krea - Japan Pacific R/V P3A AVG: Panamax, T/C S.Krea - Japan Pacific R/V CS 4 TC, Capesize, T/C Average PM 4 TC, Panamax, T/C Average HS 6 TC, Handysize, T/C Average SM 6 TC, Supramax, T/C Average Trading Perid / Tenr Units f Trading Minimum Trading Size Trading Price/Price Tick Size Delivery/Settlement Terms Trade Types Psitin Limits Last Trading Day Trading Cnventins Cntract terms available fr trading include: Mnths Quarters Calendar Years 1 SEF lt equivalent t 1 day f time charter r 1,000 Metric Tnnes 1 SEF lt, with increments f 1 SEF lt Cntract prices are quted in US Dllars per day r US Dllar r US Dllar cents per Metric Tnne ($1/day r $0.01/MT) Dry FFA swaps trade in increments f $1/day r $0.01/MT Dry FFA swap cntracts are cash settled against the crrespnding average f the spt assessments as made public by the Baltic Exchange Outright r Spread Refer t ICAP SEF Rule Bk, Rule 408 fr psitin limits The last business day f the cntract perid a) Buyer pays fixed price / receives flating price based n a Dry FFA rute r time charter average b) Seller receives fixed price / pays flating price based n a Dry FFA rute r time charter average SEF Rulebk 140

152 Rule 805 (15) Dry Freight Optins Cntract Specificatin Prduct Descriptin Trading Perid / Tenr Units f Trading Minimum Trading Size Trading Price/Price Tick Size Delivery/Settlement Terms Trade Types Optin Premium Optin Style Strike Price Increments Psitin Limits Last Trading Day Details The ICAP SEF (US) LLC ICAP SEF Dry Freight Optins are listed with respect t an underlying ICAP SEF Dry Frward Freight Agreement (FFA) Swap. ICAP SEF ffers Dry Freight Optins based n the fllwing rutes and time charter averages: C3 AVG: Capesize, Tubara Qingda, 160,000 mt C4 AVG: Capesize, Richards Bay Rtterdam, 150,000 mt C5 AVG: Capesize, W Australia Qingda, 160,000 mt C7 AVG: Capesize, Blivar - Rtterdam, 150,000 mt P1A: Panamax, T/C, Transatlantic RV P1A AVG, Panamax, T/C Transatlantic RV P2A: Panamax, T/C Skaw Gibraltar - Far East P2A AVG: Panamax, T/C Skaw Gibraltar - Far East P3A: Panamax, T/C S.Krea - Japan Pacific R/V P3A AVG: Panamax, T/C S.Krea - Japan Pacific R/V CS 4 TC, Capesize, T/C Average PM 4 TC, Panamax, T/C Average HS 6 TC, Handysize, T/C Average SM 6 TC, Supramax, T/C Average Cntract terms available fr trading include: Mnths Quarters Calendar Years 1 SEF lt equivalent t 1 day f time charter r 1,000 Metric Tnnes (MT) 1 SEF lt, with increments f 1 SEF lt Cntract prices are quted in US Dllars per day r US Dllar r US Dllar cents per Metric Tnne ($1/day r $0.01/MT) Dry FFA Optins trade in increments f $1.00/day r $0.01/MT ICAP SEF Dry Freight Optins are exercised int the relevant ICAP SEF Dry Frward Freight Agreement (FFA) Swap ICAP SEF ffers the fllwing ptin strategies: Call Put Equity Style ptin premiums must be exchanged within 2 business days f the transactin being executed ICAP SEF ffers the fllwing ptin styles: Asian Style Strike prices are in increments f $1.00/day r $0.01/MT f the underlying Dry Frward Freight Agreement (FFA) Swap Refer t ICAP SEF Rule Bk, Rule 408 fr psitin limits Trading will cease n Dry Freight Optins at 13:15 (LLT) n expiry date SEF Rulebk 141

153 Cntract Specificatin Trading Cnventins Details Dry Freight Optins expire as per market cnventin Buyer Optin Seller Optin SEF Rulebk 142

154 Rule 805 (16) Emissins Swaps Cntract Specificatin Prduct Descriptin Trading Perid / Tenr Units f Trading Minimum Trading Size Trading Price/Price Tick Size Delivery/Settlement Terms Trade Types Details Carbn (CO2) Emissin frward cntracts are fr physical delivery t an fficial Registry. Market participants can efficiently manage their carbn price risk with carbn (CO2) emissin frward cntracts. ICAP SEF (US) LLC ICAP SEF ffers CO2 emissins frward cntracts in the fllwing: EU Allwances (EUAs) EU Aviatin Allwances (EUAAs) Certified Emissin Reductins (CERs) Emissins Reductins Units (ERUs). Cntract terms available fr trading include: Daily Quarterly Calendar Cntracts terms are available up t December 2020 Traded as 1 SEF lt equivalent t: EUA: 1,000 CO2 EU Allwances. Each EU Allwance being an entitlement t emit ne tnne f carbn dixide equivalent gas. EUAAs: 1,000 Eurpean Unin Aviatin Allwances (EUAA) nly t the extent such EUAAs are valid, as f the time f their delivery, fr the purpses f meeting the requirements f the Directive. ICAP SEF des nt make any representatin r warranty whatsever as t whether any EUAAs delivered pursuant t a EUAA Cntract are r are nt valid in this regard. CERs: 1,000 Certified Emissin Reductin units ( CERs ), being units issued pursuant t Article 12 f the Kyt Prtcl (as amended frm time t time) prvided that, as f the time f delivery, such CERs may be used fr determining cmpliance with emissins limitatin cmmitments pursuant t and in accrdance with the Scheme, by the issuance f an EUA by the cmpetent authrity, valid in the third cmpliance perid f the Scheme, in exchange fr a CER. ERUs: 1,000 Emissin Reductin Units (ERU) (i.e. units issued pursuant t Article 6 f the Kyt Prtcl and the decisins adpted pursuant t the UNFCCC t the Kyt Prtcl with the exceptin f allwances generated by hydrelectric prjects with a generating capacity exceeding 20MW, LULUCF activities and nuclear facilities). Each ERU being an entitlement t emit ne tnne f carbn dixide equivalent gas. 25 SEF lts, with increments f 1 SEF lt Cntract price is quted in Eur and Eur cent per Metric Tnne ( 0.01/MT) Minimum price fluctuatin is 0.01 per Metric Tnne (i.e. 10 per SEF lt) The cntracts are physically settled and delivered by the transfer f the specified CO2 emissin allwances frm the seller s accunt t the buyer s accunt in an fficial Registry. Outright r Spread SEF Rulebk 143

155 Cntract Specificatin Psitin Limits Last Trading Day Details Refer t ICAP SEF Rule Bk, Rule 408 fr psitin limits Daily cntracts cease trading at 16:00(LLT) n the cntract day. Trading Cnventins Buyer is the party f the cntract wh is Lng the CO2 Emissin Allwances Seller is the party f the cntract wh is Shrt the CO2 Emissin Allwances SEF Rulebk 144

156 Rule 805 (17) Emissins Optins Cntract Specificatin Prduct Descriptin Trading Perid / Tenr Units f Trading Minimum Trading Size Trading Price/Price Tick Size Delivery/Settlement Terms Trade Types Optin Premium Details Carbn (CO2) Emissin ptin cntracts, prvide the buyer the right, but nt the bligatin, t buy r t sell a defined CO2 emissin allwances at a specified future time at a price (the strike price) agreed upn at time f trade. Market participants can efficiently manage their carbn price risk with carbn (CO2) emissin ptin cntracts. ICAP SEF (US) LLC ICAP SEF ffers CO2 emissin ptin cntracts in the fllwing: EU Allwances (EUAs) EU Aviatin Allwances (EUAAs) Certified Emissin Reductins (CERs) Emissins Reductins Units (ERUs). Cntract terms available fr trading include: Quarterly Traded as 1 SEF lt equivalent t 1 SEF lt f underlying ICAP SEF Carbn Emissin frward cntract. 50 SEF lts, with increments f 1 SEF lt Cntract price is quted in Eur and Eur cent per Metric Tnne ( 0.01/MT) Minimum price fluctuatin is 0.01 per metric tnne (i.e. 10 per SEF lt) ICAP SEF CO2 Emissin Optins exercise int the relevant ICAP SEF Carbn Emissin frward. ICAP SEF CO2 Emissin Optins aut-exercise if in the mney. ICAP SEF ffers the fllwing ptin strategies: Call Put Equity Style ptin premiums must be exchanged within 2 business days f the transactin being executed. Optin Premium t be quted and exchanged in Eur ( ) and Eur cent (c) per metric tnne ( 0.01/MT) Optin style Strike Price Increments Psitin Limits Last Trading Day Trading Cnventins Buyer Optin Seller Optin ICAP SEF ffers the fllwing ptin styles: Eurpean Style Strike prices are in increments f Eur cents ( 0.01) Refer t ICAP SEF Rule Bk, Rule 408 fr psitin limits Trading will cease n CO2 Emissin Optins at the clse f business n tw Business Days prir t the ptin expiry. SEF Rulebk 145

157 Rule 805 (18) Fuel Oil Swaps Cntract Specificatin Prduct Descriptin Trading Perid / Tenr Units f Trading Minimum Trading Size Trading Price/Price Tick Size Delivery/Settlement Terms Trade Types Psitin Limits Last Trading Day Trading Cnventins Details A Fuel Oil swap is a cntract where tw parties agree t pay/receive a predetermined fixed price n a Fuel Oil (any listed belw), and receive/pay a flating price based n the same Fuel Oil at predefined times. ICAP SEF (US) LLC "ICAP SEF" ffers Fuel Oil swaps fr the fllwing: Eurpean Fuel Oil Singapre Fuel Oil Cntract terms available fr trading include: Balance Of Mnth Mnths Quarters Calendar Years 1 SEF lt equivalent t 1,000 Metric Tnnes (MT) 1 SEF lt with increments f 1 SEF lt Cntract prices are quted US Dllar and US Dllar cents per Metric Tnne ($0.01/MT) Fuel Oil trades in increments f $0.01/MT, $0.05/MT, and/r $0.025/MT Fuel Oil cntracts are cash settled against the crrespnding Platts daily assessment price and/r futures cntract Outright r Spread Refer t ICAP SEF Rule Bk, Rule 408 fr psitin limits The last business day f the cntract perid a) Buyer pays fixed price / receives flating price n a Fuel Oil b) Seller receives fixed price / pays flating price n a Fuel Oil SEF Rulebk 146

158 Rule 805 (19) LNG Swap Cntract Specificatin Prduct Descriptin Trading Perid / Tenr Units f Trading Minimum Trading Size Trading Price/Price Tick Size Delivery/Settlement Terms Trade Types Psitin Limits Last Trading Day Trading Cnventins Details A Liquefied Natural Gas (LNG) swap is a cntract where tw parties agree t pay/receive a predetermined fixed price n LNG, and receive/pay a flating price based n LNG at predefined times. ICAP SEF (US) LLC ICAP SEF ffers LNG swaps in the fllwing: JKM Cntract terms available fr trading include: Mnths Quarters Seasns Calendar Years 1 SEF Lt is equivalent t 10,000 Millin British Thermal Units (MMBtu) 1 SEF lt, with increments f 1 SEF lt The cntract price is in US Dllar and US Dllar cents per Millin British Thermal Units ( 0.01/MMBtu) LNG trades in increments f $0.01/MMBtu LNG cntracts are cash settled against the crrespnding Platts daily assessment price. Outright r Spread Refer t ICAP SEF Rule Bk, Rule 408 fr psitin limits Trading will cease The Last Trading Day is the 15th day r, if a nn business day, the business day preceding the 15th day f the mnth prir t the first cntract mnth. LNG trading fllws the Singapre business day calendar. a) Buyer pays fixed price / receives flating price based n LNG b) Seller receives fixed price / pays flating price based n LNG SEF Rulebk 147

159 Rule 805 (20) Middle Distillate Oil Swaps Cntract Specificatin Prduct Descriptin Trading Perid / Tenr Units f Trading Minimum Trading Size Trading Price/Price Tick Size Delivery/Settlement Terms Trade Types Psitin Limits Last Trading Day Trading Cnventins Details A Middle Distillate Oil swap is a cntract where tw parties agree t pay/receive a predetermined fixed price n a Middle Distillates Oil (any listed belw), and receive/pay a flating price based n the same Middle Distillates Oil at predefined times. Middle Distillate Oils are defined as Hydrcarbns that fall within the middle biling range f refinery distillatin. ICAP SEF (US) LLC ICAP SEF ffers Middle Distillate Oil swaps in the fllwing: Diesel Gasil Heating Oil Jet Fuel Cntract terms available fr trading include: Balance Of Mnth Mnths Quarters Calendar Years 1 SEF lt is equivalent t: Diesel: 1,000 Metric Tnnes (MT) Gasil: 1,000 Metric Tnnes Heating Oil: 42,000 Gallns Jet Fuel: 1,000 Metric Tnnes 1 SEF lt with increments f 1 SEF lt Cntract prices are quted US Dllar and US Dllar cents per Metric Tnne ($0.01/MT). Middle Distillate Oil swaps trade in increments f $0.01/MT and/r $0.25/MT. Middle Distillate cntracts are cash settled against the crrespnding Platts daily assessment price and/r futures cntract. Outright r Spread Refer t ICAP SEF Rule Bk, Rule 408 fr psitin limits The last business day f the cntract perid. a) Buyer pays fixed price / receives flating price n a Middle Distillate Oil b) Seller receives fixed price / pays flating price n a Middle Distillate Oil SEF Rulebk 148

160 Rule 805 (21) Precius Metals Frwards Cntract Specificatin Prduct Descriptin Trading Perid / Tenr Details Physical Precius Metal frwards are cntracts between tw parties t buy r t sell a defined precius metal at a specified future time at a price agreed upn at time f trade. Precius Metals are hedging tls fr cmmercial prducers and users f the relevant precius metals referred t in the cntract. They als prvide glbal price discvery and pprtunities fr prtfli diversificatin. ICAP SEF (US) LLC ICAP SEF ffers Physical Precius Metal frwards based n the fllwing: Gld: minimum 99.5% purity Silver: minimum 99.9% purity Platinum: minimum 99.95% purity Palladium: minimum 99.95% purity ICAP SEF ffers precius metal frwards frm spt (T+2) t 10 years. Units f Trading Traded at 1 SEF Lt equivalent t 1 Try Ounce (z t) Minimum Trading Size Trading Price/Price Tick Size Delivery/Settlement Terms Trade Types Psitin Limits Trading Cnventins 1 SEF lt, with increments f 1 SEF lt. Cntract price fr Gld, Platinum and Palladium is quted in US Dllar and tenths f US Dllar cents per Try Ounce ($0.001/z t). Minimum. price fluctuatin is $0.001/z t. Cntract price fr Silver is quted in US Dllar and thusandths f US Dllar cents per Try Ounce ($ /z t). Minimum price fluctuatin is $ /z t. Physically delivered Delivery fr gld and silver t ccur in Lndn Delivery fr platinum and palladium t ccur in Lndn r Zurich Settlement ccurs in US Dllars, with mdified fllwing business day cnventin. Outright r Spread Refer t ICAP SEF Rule Bk, Rule 408 fr psitin limits. a) Buyer is the party f the cntract wh is Lng the cmmdity b) Seller is the party f the cntract wh is Shrt the cmmdity SEF Rulebk 149

161 Rule 805 (22) Precius Metals Optins Cntract Specificatin Prduct Descriptin Trading Perid / Tenr Details Precius metal ptins cntracts prvide the buyer the right, but nt the bligatin, t buy r t sell a defined precius metal at a specified future time at a price (the strike price) agreed upn at time f trade They give hedgers and investrs a mre flexible alternative t futures. When buying an ptin the purchaser is nt entering int a firm bligatin they are simply buying a chice f actin. ICAP SEF (US) LLC ICAP SEF ffers ptins based n the fllwing Precius Metals: Gld: minimum 99.5% purity Silver: minimum 99.9% purity Platinum: minimum 99.95% purity Palladium: minimum 99.95% purity ICAP SEF ffers ptins n tenrs frm ne week t 10 years. Units f Trading Traded at 1 SEF Lt equivalent t 1 Try Ounce (z t) Minimum Trading Size Trading Price/Price Tick Size Delivery/Settlement Terms Trade Types Optin Premium Optin Style Optin expiry Strike Price Increments 1 SEF lt, with increments f 1 SEF lt. Cntract price fr Gld, Platinum and Palladium is quted in US Dllar and tenths f US Dllar cents per Try Ounce ($0.001/z t). Minimum price fluctuatin is $0.001/z t. Cntract price fr Silver is quted in US Dllar and thusandths f US Dllar cents per Try Ounce ($ /z t). Minimum price fluctuatin is $ /z t. ICAP SEF Precius Metal Optins exercise int the relevant ICAP SEF Physical Precius Metal frwards. ICAP SEF ffers the fllwing ptin strategies: Call Put Currency style ptin premiums must be exchanged within 2 business days f the transactin being executed. Optin Premium t be quted and exchanged in US Dllars. ICAP SEF ffers the fllwing ptin styles: Eurpean Style American Style Fr ICAP SEF Precius metal ptins, the expiry date is agreed as part f the cntract at pint f executin. Value date is T+2, based n the mdified fllwing business day cnventin. Strike prices fr Gld, Platinum and Palladium are in increments f US Dllar and tenths f US Dllar cents per Try Ounce ($0.001/z t) f underlying precius metal. Strike prices fr Silver are in increments f US Dllar and thusandths f US Dllar cents per Try Ounce ($ /z t). SEF Rulebk 150

162 Cntract Specificatin Psitin Limits Trading Cnventins Details Refer t ICAP SEF Rule Bk, Rule 408 fr psitin limits Buyer Optin Seller Optin SEF Rulebk 151

163 Rule 805 (23) Henry Hub Natural Gas Swaps & Optins (a) Henry Hub NYMEX Last Day Settlement - Swaps Prduct Descriptin Trading Hurs Price Qutatin Units f Trading Expiratin Date Settlement Terms Minimum Price Fluctuatin Flating Price Cash settled swap where the parties exchange an agreed upn fixed price fr natural gas at the Henry Hub and a flating price based n the price f the Henry Hub Natural Gas Futures Cntract (cde NG) as published by the New Yrk Mercantile Exchange ( NYMEX )n the last day f trading fr the cntract mnth. 08:00 17:00, Lcal Eastern Time (LET), Mnday Friday. Prices shall be quted in dllars and tenths f cents per British thermal units (MMBtu). Any multiple f 2,500 MMBtus Trading shall cease n the last business day trading fr the crrespnding cntract mnth f the NYMEX Henry Hub Natural Gas Futures Cntract (cde NG). Cash $0.001 per MMBtu The Flating Price fr each cntract mnth will be equal t the NYMEX Henry Hub Natural Gas Futures Cntract (cde NG) settlement price fr the crrespnding cntract mnth n the last trading day fr that cntract mnth. Final settlement, fllwing terminatin f trading fr a cntract mnth, will be based n the Flating Price. Cntract Size 2,500 millin MMBtus. Tenr Effective Date Maturity Date Trade Types Trading Cnventins The cntract terms available t be traded include: a) Mnths b) Quarters c) Seasns d) Half Year e) Calendar Year The Effective Date f the Swap must be a business day subject t the apprpriate Business Day Cnventin. The Maturity Date may als be referred t as the Terminatin Date r End Date. Natural Gas can be traded as ne f the fllwing trade type: a) Outright b) Spread calendar a) Buyer (Payer), the fixed payer is the party f the cntract wh has bught the cmmdity r knwn t be lng. b) Seller (Receiver), the flating payer is the party f the cntract wh has sld the cmmdity r knwn t be shrt SEF Rulebk 152

164 Swap Leg Cnventins Speculative Limits Reprtable Levels c) Payment Frequency: Mnthly, Quarterly, Semi-Annually, r Annually a) Hliday Calendar: New Yrk and Lndn b) Business Day Cnventin: Mdified Fllwing with adjustment t perid end dates. Business days in this cnventin must be valid business days n bth the New Yrk and Lndn calendar. If nt, it will be the next day that is a business day n bth the New Yrk and Lndn calendar. c) Fixed Price: The agreed price f the prduct traded. N speculative limits are currently required. N reprtable levels are currently applicable. (b) Henry Hub NYMEX Penultimate Settlement - Swaps Prduct Descriptin Trading Hurs Price Qutatin Units f Trading Expiratin Date Settlement Terms Minimum Price Fluctuatin Flating Price Cash settled swap where the parties exchange an agreed upn fixed price fr natural gas at the Henry Hub and a flating price based n the price f the Henry Hub Natural Gas Futures Cntract (cde NG) as published by the New Yrk Mercantile Exchange ( NYMEX ) n the last day f trading fr the cntract mnth. 08:00 17:00, Lcal Eastern Time (LET), Mnday Friday. Prices shall be quted in dllars and hundredths f cents per British thermal units (MMBtu). Any multiple f 2,500 MMBtus Trading shall cease n the business day preceding the terminatin f trading fr the crrespnding cntract mnth f the NYMEX Henry Hub Natural Gas Futures Cntract (cde NG). Cash $ per MMBtu The Flating Price fr each cntract mnth will be equal t the NYMEX Henry Hub Natural Gas Futures Cntract (cde NG) settlement price fr the crrespnding cntract mnth n the business day prceeding the last trading day fr that cntract mnth. Final, settlement, fllwing terminatin f trading fr a cntract mnth, will be based n the Flating Price. Cntract Size 2,500 millin MMBtus. Tenr The cntract terms available t be traded include: a) Mnths b) Quarters c) Seasns d) Half Year e) Calendar Year SEF Rulebk 153

165 Effective Date Maturity Date Trade Types The Effective Date f the Swap must be a business day subject t the apprpriate Business Day Cnventin. The Maturity Date may als be referred t as the Terminatin Date r End Date. Natural Gas can be traded as ne f the fllwing trade type: a) Outright b) Spread calendar Trading Cnventins a) Buyer (Payer), the fixed payer is the party f the cntract wh has bught the cmmdity r knwn t be lng. b) Seller (Receiver), the flating payer is the party f the cntract wh has sld the cmmdity r knwn t be shrt Swap Leg Cnventins Speculative Limits Reprtable Levels a) Payment Frequency: Mnthly, Quarterly, Semi-Annually, r Annually b) Hliday Calendar: New Yrk and Lndn c) Business Day Cnventin: Mdified Fllwing with adjustment t perid end dates. Business days in this cnventin must be valid business days n bth the New Yrk and Lndn calendar. If nt, it will be the next day that is a business day n bth the New Yrk and Lndn calendar. d) Fixed price: The agreed price f the prduct traded. N speculative limits are currently required. N reprtable levels are currently applicable. (c) Henry Hub NYMEX Last Day Settlement - Optins Cntract Specificatin Prduct Descriptins Optin Style Trading Hurs Flw Perids Qutatin Unit f Trading Details Optin cntract based n the price f the Henry Hub Natural Gas Futures Cntract (cde NG) as published by the New Yrk Mercantile Exchange ( NYMEX )n the day prir t the last day f trading fr the cntract mnth. Eurpean 08:00 17:00, Lcal Eastern Time (LET), Mnday Friday. Cntracts may be agreed upn fr mnthly settlements Prices shall be quted in dllars and tenths f cents per British thermal units (MMBtu). Any multiple f 10,000 MMBtu SEF Rulebk 154

166 Expiratin Date Settlement Terms Minimum Price Fluctuatin Settlement Price The ptin cntract shall expire n the last trading day fr the underlying NYMEX Henry Hub Natural Gas Futures Cntract (cde NG). Cash $0.001 per MMBtu Upn the expiratin f a call ptin, the value will be the difference between the settlement price f the underlying NYMEX Henry Hub Natural Gas Futures Cntract (cde NG) and the strike price multiplied by 10,000 MMBtu, r zer, whichever is greater. Upn the exercise f a put ptin, the value will be the difference between the strike price and the settlement price f the underlying NYMEX Henry Hub Natural Gas Futures Cntract (cde NG) multiplied by 10,000 MMBtu, r zer, whichever is greater. Strike Prices Strike prices are available in increments f $0.01 cent per MMBtu Cntract Size Tenr Exercise Trade Types Last Trading Day Trading Cnventins Swap Leg Cnventins Speculative Limits The minimum cntract size is 10,000 MMBtu The cntract terms available t be traded include: a) Mnths b) Quarters c) Seasns d) Half Year e) Calendar Year Manual between the cunterparties The ptin can be traded as ne f the fllwing trade types: a) Outright b) Spread strike price and/ r Maturity Date Trading terminates at the clse f business n the n the last business day f each cntract mnth a) Buyer (Payer), the fixed payer is the party f the cntract wh has bught the cmmdity r knwn t be lng. b) Seller (Receiver), the flating payer is the party f the cntract wh has sld the cmmdity r knwn t be shrt a) Payment Frequency: Mnthly, Quarterly, Semi-Annually, r Annually b) Hliday Calendar: New Yrk and Lndn c) Business Day Cnventin: Mdified Fllwing with adjustment t perid end dates. Business days in this cnventin must be valid business days n bth the New Yrk and Lndn calendar. If nt, it will be the next day that is a business day n bth the New Yrk and Lndn calendar. d) Fixed price: The agreed price f the prduct traded. N speculative limits are currently required. SEF Rulebk 155

167 Reprtable Levels N reprtable levels are currently applicable. (d) Henry Hub NYMEX Penultimate Settlement - Optins Cntract Specificatin Prduct Descriptins Optin Style Trading Hurs Flw Perids Qutatin Unit f Trading Expiratin Date Settlement Terms Minimum Price Fluctuatin Settlement Price Details Optin cntract based n the price f the Henry Hub Natural Gas Futures Cntract (cde NG) as published by the New Yrk Mercantile Exchange ( NYMEX ) n the day prir t the last day f trading fr the cntract mnth. Eurpean 08:00 17:00, Lcal Eastern Time (LET), Mnday Friday. Cntracts may be agreed upn fr mnthly settlements Prices shall be quted in dllars and hundredths f cents per British thermal units (MMBtu). Any multiple f 10,000 MMBtu The ptin cntract shall expire n the last trading day fr the underlying NYMEX Henry Hub Natural Gas Futures Cntract (cde NG). Cash $0.001 per MMBtu Upn the expiratin f a call ptin, the value will be the difference between the settlement price f the underlying NYMEX Henry Hub Natural Gas Futures Cntract (cde NG) and the strike price multiplied by 10,000 MMBtu, r zer, whichever is greater. Upn the exercise f a put ptin, the value will be the difference between the strike price and the settlement price f the underlying Henry Hub Natural Gas Futures Cntract (cde NG) multiplied by 10,000 MMBtu, r zer, whichever is greater. Strike Prices Strike prices are available in increments f $0.01 cent per MMBtu Cntract Size Tenr The minimum cntract size is 10,000 MMBtu The cntract terms available t be traded include: a) Mnths b) Quarters c) Seasns d) Half Year e) Calendar Year SEF Rulebk 156

168 Exercise Trade Types Last Trading Day Trading Cnventins Swap Leg Cnventins Manual between the cunterparties The ptin can be traded as ne f the fllwing trade types: a) Outright b) Spread strike price and/ r Maturity Date Trading terminates at the clse f business n the n the penultimate business day f each cntract mnth a) Buyer (Payer), the fixed payer is the party f the cntract wh has bught the cmmdity r knwn t be lng. b) Seller (Receiver), the flating payer is the party f the cntract wh has sld the cmmdity r knwn t be shrt a) Payment Frequency: Mnthly, Quarterly, Semi-Annually, r Annually Speculative Limits Reprtable Levels b) Hliday Calendar: New Yrk and Lndn c) Business Day Cnventin: Mdified Fllwing with adjustment t perid end dates. Business days in this cnventin must be valid business days n bth the New Yrk and Lndn calendar. If nt, it will be the next day that is a business day n bth the New Yrk and Lndn calendar. d) Fixed price: The agreed price f the prduct traded. N speculative limits are currently required. N reprtable levels are currently applicable. (e) Henry Hub Natural Gas Basis Swaps Prduct Descriptin Cash-settled basis swap cntracts. One party t the swap (the Seller ) receives a fixed price based n the last day f trading f the NYMEX Henry Hub Natural Gas Futures cntract (cde NG), plus r minus a negtiated differential, and pays the ther party (the Buyer ) a flating price based n the Platts Inside FERC's Gas Market Reprt ( Platts IFERC ) index price published under the heading Market Center Spt Gas Prices ($MMBTU) fr ne f the specific lcatins listed belw at the specified Maturity Date, r alternatively the average price f a series (r a strip) f predefined pricing dates ver the life f the swap. The price fr a pricing date will be that day s Platts IFERC published index price per MMBtu f natural gas fr delivery n the delivery date, stated in US dllars. The fllwing Natural Gas prducts based n mnthly Inside FERC Pricing settlements are traded at ICAP: Algnquin City-Gates Clrad Interstate Gas C. - Rcky Muntains Clumbia Gas Transmissin Crp. - Appalachia Clumbia Gulf Transmissin C. - Luisiana Clumbia Gulf Transmissin Cmpany - Mainline Pl SEF Rulebk 157

169 Trading Hurs Price Qutatin Units f Trading Expiratin Date Settlement Terms Minimum Price Fluctuatin Fixed Price Dminin Transmissin Inc. - Appalachia El Pas Natural Gas C. - Permian Basin El Pas Natural Gas C. - San Juan Basin Enable Gas Transmissin, LLC - East Flrida Gas Transmissin C. - Zne 3 Henry Hub Natural Gas Hustn Ship Channel Mich Cn city-gate Natural Gas Pipeline C. f America - Texk zne Nrthern Natural Gas C. - Demarcatin Nrthern Natural Gas C. - Ventura, Iwa Nrthwest Pipeline Crp. - Canadian brder Nrthwest Pipeline Crp. - Rcky Muntains Panhandle Eastern Pipe Line C. - Texas, Oklahma (mainline) Suthern Natural Gas C. - Luisiana Tennessee Gas Pipeline C. Luisiana, 500 Leg Tennessee Gas Pipeline C. Texas, zne 0 Texas Eastern, zne M-3 Texas Gas Transmissin Crp. - Zne 1 Transc, zne 6 N.Y. Transc, zne 6 nn-n.y. Transcntinental Gas Pipe Line Crp. - Zne 3 Transcntinental Gas Pipe Line Crp. - Zne 4 Waha Natural Gas 08:00 17:00, Lcal Eastern Time (LET), Mnday Friday. Prices shall be quted in dllars and hundredths f cents per British thermal units (MMBtu). Any multiple f 2,500 MMBtus Trading shall cease n the last business day f the crrespnding cntract mnth f the NYMEX Henry Hub Natural Gas Futures cntract (cde NG). Cash $.0001 per MMBtu The Fixed Price fr each cntract mnth will be equal t the NYMEX Henry Hub Natural Gas Futures cntract (cde NG) final settlement price fr the crrespnding cntract mnth, plus r minus an agreed upn differential. SEF Rulebk 158

170 Flating Price Cntract Size The Flating Price fr each cntract mnth will be equal t the Platts IFERC index price fr the specified lcatin published in the table titled Market Center Spt-Gas Prices ($MMBTU) in the issue that reprts prices effective n a pricing date. 2,500 millin MMBtus. Tenr The cntract terms available t be traded include: a) Mnths b) Quarters c) Seasns d) Half Year e) Calendar Year Maturity Date Trade Types The Maturity Date may als be referred t as the Terminatin Date r End Date. Natural Gas Basis Swaps can be traded as ne f the fllwing trade types: a) Outright b) Spread calendar Trading Cnventins a) Buyer (Payer), the fixed payer is the party f the cntract wh has bught the cmmdity r knwn t be lng. b) Seller (Receiver), the flating payer is the party f the cntract wh has sld the cmmdity r knwn t be shrt Swap Leg Cnventins Speculative Limits Reprtable Levels a) Payment Frequency: Mnthly, Quarterly, Semi-Annually, r Annually b) Hliday Calendar: New Yrk and Lndn c) Business Day Cnventin: Mdified Fllwing with adjustment t perid end dates. Business days in this cnventin must be valid business days n bth the New Yrk and Lndn calendar. If nt, it will be the next day that is a business day n bth the New Yrk and Lndn calendar. d) Fixed Price: The agreed price f the prduct traded. N speculative limits are currently required. N reprtable levels are currently applicable. SEF Rulebk 159

171 Rule 806. NDF Prduct Descriptins Trading Hurs The trading hurs fr all Swaps gverned by this Rule 806 are as fllws: Order Bk: 24 Hurs, beginning at 3:00 p.m. Eastern Time n Sunday and ending at 5:30 p.m. Eastern Time n Friday. Prducts Rule 806: Vice RFQ: Nt Available. All Pre-Arranged Crsses: 24 Hurs, beginning at 3:00 p.m. Eastern Time n Sunday and ending at 5:30 p.m. Eastern Time n Friday. (1) Nn Deliverable Frwards (NDFs) Prduct Specificatins NDF s are synthetic freign currency frward cntracts n nn-cnvertible currencies r are traded n currencies with very little liquidity in the market place. These derivatives allw crprates and ther investrs t hedge r take psitins t lcal currency mvements withut actually dealing in the underlying. A (ntinal) principle amunt, frward exchange rate and frward date are all agreed at the deal s inceptin. The difference is that there will be n physical transfer f the principle amunt in the transactin. The deal is agreed n the basis that net settlement will be made in USD, r anther fully cnvertible currency, t reflect any differential between the agreed frward rate and the actual exchange rate n the agreed frward date. It is a cash-settled utright frward. The demand fr NDF s arises principally ut f regulatry and liquidity issues in the underlying currency, where verseas players are essentially barred frm access t the dmestic market. When an NDF deal is cntracted, a fixing methdlgy is agreed. It specifies hw a fixing spt rate is determined n the fixing date, which is nrmally tw wrking days befre settlement, t reflect the spt value. The fixing spt rate is based n the reference page n either Reuters r Blmberg. Settlement is made in the majr currency, paid t r by the client, and reflects the differential between the agreed upn nn-deliverable frward rate and the fixing spt rate. The NDF is quted using freign exchange frward market cnventin, with tw way prices quted as bid/ffer pips, at a premium r discunt t the prevailing spt market. As with a nrmal frward transactin, the market user either buys r sells the NDF, depending n the psitin t be hedged r accrding t the view f the underlying currency f interest rates. NDF s are a risk management tl used t hedge the risk f frward currency cnvertibility, which can result frm a number f factrs, including credit risk, svereign risk, regulatry restrictins, r lack f settlement prcedures. NDF s are typically utilized by banks, multinatinal crpratins, investment managers, and prprietary traders t hedge currency risk. NDF s are als used as a tl t facilitate lcking in the enhance yields f emerging market currencies. Currencies USD THB PHP EUR RUB CNY CLP KRW NGN PEN INR KZT COL IDR UAH SEF Rulebk 160

172 ARS MYR CNH BRL TWD Hliday Calendar USD, KRW, MYR, TWD, IDR, PHP, CNY, INR, CLP, PEN, COP, ARS, BRL, UYU Value date must be a gd USD day Fixing date must be a gd lcal day Cmpnents Ntinal This is the face value f the NDF, which is agreed between the tw cunterparties* Fixing date This is the day and time whereby the cmparisn between the NDF rate and the prevailing spt rate is made* Settlement date (r delivery date) This is the day when the difference is paid r received. It is usually ne r tw business days after the fixing date* Publish Date Fr CLP nly, the mkt refers t the publish date as ne day after the fixing date Cntracted NDF rate The rate agreed n the transactin date, and is essentially the utright frward rate f the currencies dealt Effective date The date which the NDF cntract takes effect, usually the trade date SEF Rulebk 161

173 Rule 807. Variance Swaps Prduct Descriptins Trading Hurs The trading hurs fr all Swaps gverned by this Rule 807 are as fllws: Order Bk: 24 Hurs, beginning at 3:00 p.m. Eastern Time n Sunday and ending at 5:30 p.m. Eastern Time n Friday. Variance Swaps Vice RFQ: Nt Available. All Pre-Arranged Crsses: 24 Hurs, beginning at 3:00 p.m. Eastern Time n Sunday and ending at 5:30 p.m. Eastern Time n Friday. The variance swap is a prduct that is used t take a direct view n the vlatility f a brad-based security index. Name Quted Tenr Variance Swaps BPS - Vega SPX dec13 Var Currencies USD GBP EUR CHF Instrument Specificatins Trading Cnventins Buyer The buyer f a variance swap pays a fixed rate (the Variance Strike) in exchange fr a payut based n the daily realized variance. Seller - The seller f a variance swap receives a fixed rate (the Variance Strike) in exchange fr a payut based n the daily realized variance. Variance Leg Cnventins Flating Leg Rate This is the realized variance rate that is calculated n the expiratin date. Underlying Index - This must be a brad-based security index, as defined by the Cmmissin Regulatin 41.1(c). Fixed Leg Rate This is the agreed fixed rate f Variance (Traded Price). Trade Types Capped This is when the maximum payut f the cntract is capped at an agreed price. Uncapped This is where there is n maximum payut n the cntract. Trade Start Types Immediate The bservatin perid f the swap begins immediately. Frward The bservatin perid f the swap begins n an agreed date in the future. Expiratin Date This is the date n which the swap expires, and the date upn which the final rate f vlatility shall be calculated n using the detailed frmula. SEF Rulebk 162

174 Tenr ICAP SEF will supprt tenrs f any duratin greater than 0 years and less than 50 years. Observatin Start Date This is an agreed trading day f the underlying either n r an agreed number f days after the date n which the cntract is agreed. Number f Observatins (N) The number f bservatins will be the number f trading days f the underlying index between the bservatin start date and the expiratin date. Business Day Cnventin The Target Fllwing business day cnventin will apply (If any date is a nn-business day, the date is mved frward t the next business day). Cntract Size Variance Swap cntracts are quted in Vega amunts. The minimum cntract size is 1,000 f the currency f which the underlying index settles in. Quting Cnventin Variance Swap cntracts are quted in vlatility percentage pints. Minimum and Incremental Price There is n minimum price fr a Variance Swap cntract. There is n minimum incremental price fr a variance swap cntract. Variance Calculatin Frmula The final realized rate f variance shall be calculated using the fllwing frmula: i = 0 n the trade date, i = number f bservatins f the expiratin date E(i) = clsing level f the index n date (i), expect fr E0 which is the level f the index n the date f the first bservatin and E(N) which is the final settlement level Settlement Variance swaps are cash settled. If the difference between the realized Variance and the Variance Strike is psitive the seller pays the difference t the buyer. If the difference between the realized Variance and the Variance Strike is negative the buyer pays the difference t the seller. Settlement f a Variance Swap ccurs after the expiratin date and in line with the settlement cnventin f the underlying equity index. Market Disruptin As per the 2002 Equity Definitins, a Market Disruptin event is triggered if member shares f the index which accunt fr 20% f mre f the capitalizatin f the index are nt trading at any time in the last 30 minutes f the nrmal scheduled trading day. If market disruptin ccurs n a business day, then the clse f this day will be mitted. Cnsequently, the Number f Observatins will be reduced. SEF Rulebk 163

175 Reprting All Variance Swap trades are reprted in accrdance with NFA and SDR requirements. Clearing Variance swaps traded n ICAP SEF are nt cleared. SEF Rulebk 164

176 Rule 901. EBS SEF NDF System Prtcl CHAPTER 9 SYSTEM PROTOCOLS [REDACTED CONFIDENTIAL TREATMENT REQUESTED] CONFIDENTIAL SEF Rulebk 1