| Currency: | U.S. Dollar (USD) |
| Floating Rate Indexes: | LIBOR |
| Stated Start Date Range: | 28 days to 50 years Spot & Forward starting, and broken dates (bespoke tenors) |
| Optionality: | No |
| Dual Currencies: | No |
| Conditional Notional Amounts: | No |
| Currency: | U.S. Dollar |
| Floating Rate Indexes: | LIBOR |
| Stated Termination Date Range: | 3 days to 3 years |
| Optionality: | No |
| Dual Currencies: | No |
| Conditional Notional Amounts: | No |
| Currency: | U.S.Dollar |
| Fixed Coupon: |
http://www.sifma.org/services/standard-forms-and-documentation/swaps/ |
| Floating Rate Indexes: | LIBOR |
| Tenors: | 1y, 2yrs, 3yrs, 5yrs, 7yrs, 10yrs, 15 yrs, 20 yrs, 30yrs |
| Effective Dates: | IMM dates (3rd Weds of March, June, September, December) |
| Currency: | U.S. Dollar (USD) (“OIS”) |
| Floating Rate Indexes: | LIBOR |
| Stated Termination Date Range: | 7 days to 50 years Spot & Forward starting, and broken dates (bespoke tenors) |
| Optionality: | No |
| Dual Currencies: | No |
| Conditional Notional Amounts: | No |
| Contract Overview: | An exotic foreign-exchange option (or F/X option) is a derivative financial instrument that gives one party the right, but not the obligation, to buy or sell a specific quantity of one currency in exchange for another currency at a pre-arranged exchange rate on a specified date, with additional features to determine price, exercisability, termination or value that may be based on any number of factors, averages, indices or time periods. A listing of major F/X options appears below. |
| 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. |
| Rebate: | A feature of some exotic options where the premium of the option is refunded if at the time the option expires it has no value. |
| 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. |
| 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. |
| Contract Overview: | An NDF is a forward contract in which the counterparties settle the difference between the NDF price or rate and the prevailing spot price or rate on an agreed upon notional amount. |
| Reference Currency: | Non-deliverable currency: CNY Chinese Renminbi IDR Indonesian Rupiah INR Indian Rupee KRW South Korean Won MYR Malaysian Ringgit PHO Philippine Peso TWD Taiwan Dollar VND Vietnamese Dong EGP Egyptian Pound RUB Russian Ruble KZT Kazakh Tenge ARS Argentine Peso BRL Brazilian Real CLP Chilean Peso COP Colombian Peso GTQ Guatemalan Quetzal PEN Peruvian Nuevo Sol UYU Uruguayan Peso VEB Venezuelan Bolivar |
| Settlement Currency: | See list below. |
| Notional Currency: | Currency iin which the contract size is expressed. |
| Trade Date: | The date on which the parties enter into the contract. |
| Quoting Convention & Min Increment: | Notional amount, agreed by the counterparties. |
| Minimum Size: | Notional amount, agreed by the counterparties. |
| Trading Conventions: | Buy or Sell which refers to the contract size expressed in notional currency. |
| Forward Rate: | Currency Exchange Rate expressed as the amount of Reference Currency per unit of Settlement Currency. |
| Settlement Date: | The date on which the option settles. |
| Fixing Date: | The date on which the difference between the prevailing market exchange rate and the agreed forward exchange rate is calculated. |
| Settlement Procedure: | Bilateral settlement performed in settlement currency. |
| Contract Overview: | A vanilla F/X option is a derivative financial instrument that gives one party the right, but not the obligation, to exchange money denominated in one currecy into another currecy at a pre-arranged exchange rate on a specified date. |
| 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. |
| Rebate: | A feature of some exotic options where the premium of the option is refunded if at the time the option expires it has no value. |
| 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. |
| 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. |
(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. |
(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. |
(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. |
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