(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:
| 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. |
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