Credit Options and Exotic Options

    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:

    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
    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.