(i) Swaps that are not subject to mandatory clearing but which are accepted by a Clearing Organization and which are offered for trading on the SEF as Permitted Transactions may be submitted voluntarily by the parties for clearing.
(ii) Swaps not accepted by a Clearing Organization for clearing may be listed for trading subject to the Rules of the SEF as Permitted Transactions.
(iii) The terms and conditions of the Swaps offered for trading as Permitted Transactions on the SEF incorporate such credit and other terms as the parties may establish through their pre-existing bi-lateral agreement.
(iv) The variance swaps listed for trading by the SEF have the following specifications:
|Effective Date:||The Observation Start Date.|
|Termination Date:||The Cash Settlement Payment Date.|
|Related Exchange:||The primary exchange on which futures contracts relatiing to the relevant index are traded, if any.|
|Variance Buyer:||As agreed by the counterparties.|
|Variance Seller:||As agreed by the counterparties.|
|Equity Amount Payer:||If the Equity Amount is a positive amount, the Variance Seller shall be the Equity Amount Payer and shall pay the Variance Buyer an amount equal to the Equity Amount on the Cash Settlement Payment Date. If the Equity amount is a negative amount, the Variance Buyer shall be the Equity Amount Payer and shall pay the Variance Seller an amount equal to the absolute value of the Equity Amount on the Cash Settlement Payment Date.|
|Valuation Date:||As agreed by the counterparties.|
|Valuation Time:||The scheduled closing time of the relevant exchange.|
|Observation Start Date:||As agreed by the counterparties.|
|Observation End Date:||As agreed by the counterparties.|
|Observation Day:||Each Scheduled Trading Day during the Observation Period.|
|Non-Disrupted Observation Day:||An Observation Dat that is not a Disrupted Day.|
|Observation Period:||The period from, but excluding, the Observation Start Date to, but excluding, the Observation End Date.|
|Equity Amount:||The variance amount multiplied by the difference of (i) the square of the final realized volatility and (ii) the Variance Strike Price.|
|Variance Strike Price:||As agreed by the counterparties.|
|Settlement Currency:||As agreed by the counterparties.|
|Cash Settlement Payment:||One settlement cycle following the Valuation Date.|