The terms and conditions of Natural Gas Options incorporate by reference such credit and other terms as the parties may establish through their pre-existing bilateral agreement. Natural Gas Options have the following characteristics:
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| Contract Overview: |
A natural gas option is a derivative financial instrument that gives one party the right, but not the obligation, to buy or sell a specific quantity of natural gas from or to another party at a specified price on a specified date. |
| Trade Date: |
As agreed by the parties. |
| Effective Date: |
The date on which the calculation of accrued obligations under the contract. |
| Commodity: |
Natural Gas |
| Notional Amount: |
As agreed by the parties. |
| Option Style: |
[American] [European] [Bermuda] [Asia] |
| Option Type: |
[Put] [Call] |
| Buyer: |
Party [A/B] |
| Seller: |
Party [A/B] |
| Termination Date: |
As determined by the parties. |
| Price Source: |
Natural Gas Inelligence, Canadian Gas Price Reporter, Inside FERC, Gas Daily, Platts/McGraw Hill or NYMEX, as determined by the parties. |
| Settlement Type: |
[Cash Settlement] [Physical Settlement] |
| Specified Delivery Point: |
If applicable, as agreed by the parties. |
| Pricing Date(s): |
If applicable, as agreed by the parties. |
| Method of Averaging: |
If applicable, as agreed by the parties. |
| Total Premium: |
The amount payable by the Buyer to the Seller. |
| Premium Payment Date(s): |
The date(s) agreed by the parties. |
| Expiration Date: |
The date agreed by the parties. |
| Expiration Time: |
The time agreed by the parties. |
The terms and conditions of the swaps incorporate by reference such credit and other terms as the parties may establish through their pre-existing bilateral agreement. The swaps have the following characteristics:
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| Contract Overview: |
An agreement to exchange a stream of cash flows by reference to the difference between a fixed rate and a floating rate or between two floating rates based on a specified notional amount over a specified term to maturity. |
| Trade Date: |
As agreed by the parties. |
| Effective Date: |
The date on which the calculation of accrued obligations under the contract. |
| Commodity: |
Natural Gas |
| Notional Amount: |
As agreed by the parties for each relevant commodity. |
| Settlement Dates: |
As agreed by the parties. |
| Termination Date: |
As agreed by the parties. |
| Fixed Price Payer: |
Party [A/B], if applicable. |
| Fixed Price: |
[currency] [amount in numerlas] [per units of commodity] |
| Floating Price Payer: |
Party [A/B], or both Party A and B, if applicable. |
| Floating Price: |
As agreed by the parties. |
| Pricing Differential: |
If applicable, as agreed by the parties. |
| Pricing Source: |
Natural Gas Intelligence, Canadian Gas Price Report, Inside FERC, or Platts/McGraw Hill, as determined by the parties. |
| Specified Delivery Point: |
If applicable, as agreed by the parties. |
| Pricing Date(s): |
If applicable, as agreed by the parties. |
| Method of Averaging: |
If applicable, as agreed by the parties. |
The terms and conditions of Power Options incorporate by reference such credit and other terms as the parties may establish through pre-existing bilateral agreement. Power Options have the following characteristics:
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| Contract Overview: |
A power option contract represents an option to assume a short or long position in the underlying New York Mercantile Exchange (“NYMEX”) contract at the strike price. |
| Underlying Reference Contract: |
See NYMEX Contract List below |
| Trade Date: |
The date on which the parties enter into the options contract. |
| Option Style: |
European Style: Allows the holder to exercise the option only at the expiration date.
American Style: Allows the owner to exercise the option at any time before the expiration date. |
| Option Type: |
Call Option: The right to buy the underlying NYMEX contract on a fixed date at a fixed price.
Put Option: The right to sell the underlying NYMEX contract on a fixed date at a fixed price. |
| Strike Price: |
The price agreed upon by the parties at which the buyer can exercise an option. |
| Expiration Date: |
The date at which the option contract expires. |
| Expiration Time: |
The time on which the option contract expires. |
| Settlement Date: |
The date on which the option settles. |
| Settlement Type: |
Cash Settlement: Requires the exchange of cash in the amount of the difference between the option strike price and the current value of the underlying NYMEX contract at the exercise date. |
| Premium Date: |
The date on which the premium is due. |
| Quoting Convention & Min Increment: |
Notional amount, agreed by the counterparties. |
| Minimum Size: |
Notional amount, agreed by the counterparties. |
The terms and conditions of the swaps incorporate by reference such credit and other terms as the parties may establish through their pre-existing bilateral agreement. The swaps have the following characteristics:
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| Contract Overview: |
An agreement to exchange cash flows based on the difference between the fixed price agreed by the parties and the price of electricity or the peak load for a system as determined by the relevant system operator on the specified determination date. |
| Trade Date: |
As determined by the parties. |
| Effective Date: |
The date on which the parties begin calculating their accrued obligations under the swap. |
| Termination Date: |
As determined by the parties. |
| Buyer: |
Party [A/B] |
| Seller: |
Party [A/B] |
| Transaction Type: |
[fixed/floating swap] [peak load swap] |
| Delivery Point: |
[zone] [node] [hub] specified by the parties. |
| Fixed Price: |
As determined by the parties. |
| Quantity: |
[ ] MWhs |
| Floating Price: |
The [price] [peak load] for the applicable delivery point as determined by the relevant system operator. |
| Determination Period: |
Effective Date through Termination Date. |
| Payment Date: |
As determined by the parties. |
The terms and conditions of the Precious Metals Options incorporate by reference such credit and other terms as the parties may establish through their pre-existing bilateral agreement. The Precious Metals Options have the following characteristics:
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| Contract Overview: |
A precious metals option contract represents an option to assume a short or long position in the underlying precious metals contract at the strike price. |
| Reference Commodities: |
Gold
Silver
Palladium
Platinum
|
| Contracts on Reference Commodities: |
NYMEX Palladium
NYMEX Platinum
COMEX Gold
COMEX Silver ICE Gasoil (Monthly) |
| Trade Date: |
The date on which the parties enter into the options contract. |
| Option Style: |
European Style: A European style option allows the holder to exercise only at the expiration date, i.e. a single pre-defined point in time.
American Style: An American style option allows the owner to exercise the option at any time before the expiration date. |
| Call Currency: |
Currency for call option. |
| Put Currency: |
Currency for put option. |
| Strike Price: |
The price at which an investor can exercise an option. |
| Expiration Date: |
The date on which the option contract expires. |
| Expiration Time: |
The time at which the option contract expires. |
| Settlement Date: |
The date on which the option settles.. |
| Settlement Type: |
Cash Settlement |
| Premium: |
Premium amount expressed in the premium currency. |
| Premium Currency: |
Currency in which the option premium is expressed. |
| Premium Date: |
The date on which the premium amount is due. |
| Quoting Convention & Min Increment: |
Notional amount, agreed by the counterparties. |
| Minimum Size: |
Notional amount, agreed by the counterparties. |
| Notional Currency: |
Currency in which the contract size is expressed. |
Swap Specifications Pursuant to Rule 1101
(i) The terms and conditions of the swap as established by the Clearing Organization in its Rules or Bylaws are incorporated by reference herein and are the terms and conditions of the Swap.
(ii) Credit Default swaps on a broad-based Index include Credit Default Swaps, by Clearing Organization, including ICE Clear Credit LLC and ICE Clear Europe Ltd, having the following characteristics:
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| Contract Overview: |
An agreement to buy or sell protection on a basket of liquid European based entities with an investment grade or high yield credit rating, as applicable. |
| Index Name: |
iTraxx Europe / iTraxx Europe Crossover / iTraxx Europe HiVol |
| Currency: |
EUR |
| Quoting Convention & Min Increment: |
As agreed by the counterparties. |
| Minimum Size: |
As agreed by the counterparties |
| Trading Conventions: |
Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occuring. Credit events include Bankruptcy and Failure to Pay.
Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller owns the credit risk of the instrument.
Investment grade indices are traded on spread |
| Swap Conventions: |
Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis. |
| Swap Tenor: |
iTraxx Europe: 5Y, 10Y
iTraxx Europe Crossover: 5Y
iTraxx Europe HiVol: 5Y |
| Applicable Series: |
iTraxx Europe 5Y: Series 10 and all subsequent Series, up to and including the current series.
iTraxx Europe 10Y: Series 7 and all subsequent Series, up to and including the current series.
iTraxx Europe Crossover 5Y: Series 10 and all subsequent Series, up to and including the current series.
iTraxx Europe HiVol 5Y: Series 10 and all subsequent Series, up to and including the current series. |
| Effective Date: |
The date on which the counterparties begin calculating accrued obligations such as fixed payments (ie., start date of the swap). |
| Maturity Date: |
The final date on which the obligations no longer accrue and the final payement occurs. |
| Trade Types: |
Outrights; roll trades; curve trades. |
| Settlement: |
Contingent Payment: Payments related to credit event settlement will be determined pursant to the 2009 ISDA Credit Derivatives Determination Committees and Auction Settlement Supplement, (ie., the Big Bang Protocol).
Fixed Quarterly cash payments: reflected in basis points and paid by the protection buyer to the seller.
Upfront fee payment: The upfront fee is a portion of the payments, expressed in percentage points of the notional, which is present valued and paid immediately to the seller. |
| Trading Hours: |
00:01-24:00 (ET), Sunday-Friday |
| Clearing Venue: |
CME or bilateral, as applicable |
| Block Size: |
As set forth in Appendix F to Part 43 of the Commision Regulations. |
| Speculative Limits: |
As set in Part 151 of the CFTC Regulations. |
| Reportable Levels: |
As set in the CFTC Regulation 15.03. |
Swap Specifications Pursuant to Rule 1101
(i) The terms and conditions of the swap as established by the Clearing Organization in its Rules or Bylaws are incorporated by reference herein and are the terms and conditions of the Swap.
(ii) Credit Default Swaps on a broad-based Index include Credit Default Swaps, by Clearing Organization, including ICE Clear Credit LLC and ICE Clear Europe Ltd, having the following characteristics:
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| Contract Overview: |
An agreement to buy or sell protection on a basket of North American based entities with an investment grade or high yield credit rating, as applicable. |
| Index Name: |
CDX.NA.IG / CDX.NA.HY |
| Currency: |
USD |
| Quoting Convention & Min Increment: |
As agreed by the counterparties. |
| Minimum Size: |
As agreed by the counterparties |
| Trading Conventions: |
Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occuring. Credit events include Bankruptcy and Failure to Pay.
Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller owns the credit risk of the instrument.
Investment grade indices are traded on spread |
| Swap Conventions: |
Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis. |
| Swap Tenor: |
CDX.NA.IG: 3Y, 5Y, 7Y, 10Y
CDX.NA.HY: 5Y |
| Applicable Series: |
CDX.NA.IG 3Y: Series 15 and all subsequent Series, up to and including the current series.
CDX.NA.IG 5Y: Series 11 and all subsequent Series, up to and including the current series.
CDX.NA.IG 7Y: Series 8 and all subsequent Series, up to and including the current series.
CDX.NA.IG 10Y: Series 8 and all subsequent Series, up to and including the current series.
CDX.NA.IG 5Y: Series 11 and all subsequent Series, up to and including the current series. |
| Effective Date: |
The date on which the counterparties begin calculating accrued obligations such as fixed payments (ie., start date of the swap). |
| Maturity Date: |
The final date on which the obligations no longer accrue and the final payement occurs. |
| Trade Types: |
Outrights; roll trades; curve trades. |
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Contingent Payment: payments related to credit event settlement will be determined pursant to the 2009 ISDA Credit Derivatives Determination Committees and Auction Settlement Supplement, (ie., the Big Bang Protocol).
Fixed Quarterly cash payments: reflected in basis points and paid by the protection buyer to the seller.
Upfront fee payment: the upfront fee is a portion of the payments, expressed in percentage points of the notional, which is present valued and paid immediately to the seller. |
| Trading Hours: |
00:01-24:00 (ET), Sunday-Friday |
| Clearing Venue: |
CME or bilateral, as applicable |
| Block Size: |
As set forth in Appendix F to Part 43 of the Commision Regulations. |
| Speculative Limits: |
As set in Part 151 of the CFTC Regulations. |
| Reportable Levels: |
As set in the CFTC Regulation 15.03. |
Swap Specifications Pursuant to Rule 1101
(i) Options 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) Options 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 options 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 options listed for trading by the SEF have the following specifications:
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| Contract Overview: |
An agreement to buy or sell protection on a basket of North American based entities with an investment grade or high yield credit rating, as applicable. |
| Option Trade Data: |
As agreed by the counterparties. |
| Option Seller: |
As agreed by the counterparties. |
| Option Buyer: |
As agreed by the counterparties. |
| Premium: |
As agreed by the counterparties. |
| Stake Price: |
As agreed by the counterparties. |
| Expiration Date: |
As agreed by the counterparties. |
Underlying Index, Security or Debt,
as applicable: |
iTraxx Asia Ex Japan
iTraxx Australia
iTraxx Japan
iTraxx SovX
CDX.NA
MCDX
Municipal bonds
Sovereign debt
Corporate debt
Structured credit default swaps (contingent CDS, index contingent CDS, first to default, Nth to Default,
bespoke tranche) |
| Quoting Convention & Min Increment: |
As agreed by the counterparties. |
| Minimum Size: |
As agreed by the counterparties. |
| Effective Date: |
The date on which the counterparties begin calculating accrued obligations such as fixed payments (i.e., start date of the swap). |
| Maturity Date: |
The final date on which the obligations no longer accrue and the final payment occurs. |
| Trade Types: |
Outrights; roll trades; curve trades. |
| Settlement: |
Contingent Payment – Payments related to credit event settlement will be determined pursant to the 2009 ISDA Credit Derivatives Determination Committees and Auction Settlement Supplement, (ie., the Big Bang Protocol).
Fixed Quarterly cash payments – reflected in basis points and paid by the protection buyer to the seller.
Upfront fee payment – The upfront fee is a portion of the payments, expressed in percentage points of the notional, which is present valued and paid immediately to the seller. |
| Trading Hours: |
00:01-24:00 (ET), Sunday-Friday |
| Clearing Venue: |
CME or bilateral, as applicable |
| Block Size: |
As set forth in Appendix F to Part 43 of the Commision Regulations. |
| Speculative Limits: |
As set in Part 151 of the CFTC Regulations. |
| Reportable Levels: |
As set in the CFTC Regulation 15.03. |
The terms and conditions of the iBoxx Standardized Total Return Swap indices incorporate by reference such credit and other terms as the parties may establish through pre-existing bilateral agreements. The iBoxx Standardized Total Return Swap indices have the following characteristics:
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| Contract Overview: |
Each contract is a total return swap where the buyer is obliged to pay a predetermined set rate, fixed or variable, to the seller in exchange for the notional-based return performance of one of the Reference Indices listed below. |
| Reference Index: |
Markit iBoxx EUR Corporates
markit iBoxx EUR Liquid HY
Markit iBoxx GBP Corporates
Markit iBoxx USD Domestic Corporates
Markit iBoxx USD Liquid HY |
| Trade Date: |
The date on which the parties enter into the contract, which shall be prior to the Termination Date. |
| Effective Date: |
The first day of the term of the contract, as agreed by the parties. |
Quoting Convention and
Minimum Increment: |
Notional amount, as agreed by the parties. |
| Minimum Size: |
Notional amount, as agreed by the parties. |
| Termination Date: |
The date on which the contract expires, as agreed by the parties. |
| Tenor: |
The duration of time from the Effective Date to the Termination Date. |
| Settlement Type: |
Cash settlement. |
| Settlement Terms: |
Buyer: The buyer pays (i) a fixed rate of interest plus a differential, as agreed by the parties and (ii) the depreciation of the Reference Index, as applicable.
Seller: The seller pays (i) the income of the Reference Index and (ii) the appreciation of the Reference Index, as applicable. |
| Settlement Currency: |
EUR, GBP or USD. |
| Trading Hours: |
06:00-17:00 (ET), Sunday-Friday. |
| Speculative Limits: |
None. |
| Reportable Levels: |
None. |
Swap Specifications Pursuant to Rule 1101
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|
| Contract Overview: |
An agreement to buy or sell protection on a basket of liquid European based entities with an investment grade or high yield credit rating, as applicable. |
| Index Name: |
iTraxx Europe
iTraxx Europe Tranche
iTraxx Europe Standard Tranche
iTraxx Japan
iTraxx Japan Tranche
iTraxx Asia Ex Japan
iTraxx Asia Ex Japan Tranche
iTraxx Australia
iTraxx Australia Tranche
iTraxx Blended Tranche
iTraxx Risky Zero Tranche
iTraxx Lev X
iTraxx Sov X
iTraxx SDI |
| Currency: |
EUR |
| Quoting Convention & Min Increment: |
As agreed by the counterparties. |
| Minimum Size: |
As agreed by the counterparties |
| Trading Conventions: |
Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occuring. Credit events include Bankruptcy and Failure to Pay.
Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller owns the credit risk of the instrument.
Investment grade indices are traded on spread |
| Swap Conventions: |
Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis. |
| Swap Tenor: |
iTraxx Europe: 5Y, 10Y
iTraxx Europe Crossover: 5Y
iTraxx Europe HiVol: 5Y |
| Applicable Series: |
iTraxx Europe 5Y: Series 10 and all subsequent Series, up to and including the current series.
iTraxx Europe 10Y: Series 7 and all subsequent Series, up to and including the current series.
iTraxx Europe Crossover 5Y: Series 10 and all subsequent Series, up to and including the current series.
iTraxx Europe HiVol 5Y: Series 10 and all subsequent Series, up to and including the current series. |
| Effective Date: |
The date on which the counterparties begin calculating accrued obligations such as fixed payments (ie., start date of the swap). |
| Maturity Date: |
The final date on which the obligations no longer accrue and the final payement occurs. |
| Trade Types: |
Outrights; roll trades; curve trades. |
| Settlement: |
Contingent Payment: Payments related to credit event settlement will be determined pursant to the 2009 ISDA Credit Derivatives Determination Committees and Auction Settlement Supplement, (ie., the Big Bang Protocol).
Fixed Quarterly cash payments: reflected in basis points and paid by the protection buyer to the seller.
Upfront fee payment: The upfront fee is a portion of the payments, expressed in percentage points of the notional, which is present valued and paid immediately to the seller. |
| Trading Hours: |
00:01-24:00 (ET), Sunday-Friday |
| Clearing Venue: |
CME or bilateral, as applicable |
| Block Size: |
As set forth in Appendix F to Part 43 of the Commision Regulations. |
| Speculative Limits: |
As set in Part 151 of the CFTC Regulations. |
| Reportable Levels: |
As set in the CFTC Regulation 15.03. |
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