Swap Specifications Pursuant to Rule 1101
(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:
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| 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. |
The terms and conditions of Agricultural Swaps incorporate by reference such credit and other terms as the parties may establish through pre-existing bilateral agreements. Agricultural Swaps have the following characteristics:
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| Contract Overview: |
An Agricultural Swap represents an agreement to exchange a stream of cash flows by reference to the difference between (i) a fixed price agreed by the parties and a floating rate based on a specified notional amount over a specified term to maturity. |
| Underlying Commodities: |
Soybean Meal |
| Trade Date: |
As agreed by the parties. |
| Effective Date: |
The date on which the calculation of accrued obligations begins under the contract. |
| Notional Amount: |
As agreed by the parties for each relevant Underlying Commodity. |
| Settlement Date: |
As agreed by the parties. |
| Termination Date: |
As agreed by the parties. |
| Settlement Type: |
Cash. |
| Price Source: |
Fixed Price:
Soybean Meal: The equivalent futures contract listed for trading on the CBOT using the daily settlement price.
Floating Price:
Based on the futures contract on specified settlement date as agreed to by the parties. |
| Fixed Price Payer: |
Party [A/B] |
| Floating Price Payer: |
Party [B/A] |
| Floating Price: |
As agreed by the parties. |
| Minimum Price Fluctuation/Price Tick Size: |
The minimum price increment is quoted in increments of $0.10 per contract.. |
| Settlement Price: |
As agreed by the parties, measured in ten cents ($0.10) per contract. |
| Tenor: |
The duration of the time from the Effective Date to the Termination Date |
| Last Trading Day: |
Trading terminates at the close of business on the last business day of each contract month. |
| Trade Types: |
Outrights and Spread and Switch strategies. |
| Payment Frequency: |
As agreed by the parties, but either monthly, quarterly, semi-annually or annually. |
| Holiday Calendar: |
New York and London. |
| Business Day Convention: |
As agreed by the parties, but must be any valid business day on both the New York and London calendars. If not, then it shall be the next day that is a business day on both the New York and London calendars. |
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 a fixed price agreed to by the parties and a floating rate based on an ancillary service over a specified term to maturity. |
Reference
Ancillary Services: |
ERCOT Regulation Down Service
ERCOT Regulation Up Service
ERCOT Responsive Reserve Service
ERCOT Non-Spinning Reserve Service |
| 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 [B/A] |
| Fixed Price: |
As determined by the parties. |
| Floating Price: |
As determined by ERCOT |
| Determination Period: |
Effective Date through Termination Date. |
| Payment Date: |
As determined 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 cash flows based on the difference between the fixed price agreed by the parties and the floating price based on delivery of electricity at the applicable delivery point or grid 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 [B/A] |
| Transaction Type: |
[base load swap] [peak load swap] [off-peak swap] |
| Delivery Point: |
As specified by the parties. |
| Fixed Price: |
As determined by the parties. |
| Quantity: |
As determined by the parties. |
| Floating Price: |
The [base load swap] [peak load swap] [off-peak swap] 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. |
If the freight option is accepted for clearing by a clearing organization, the terms and conditions of the freight option incorporate by reference such terms and conditions established by the relevant clearing organization in its rules or bylaws. If the freight option is not submitted for clearing to a clearing organization, the terms and conditions of the freight option incorporate by reference such credit and other terms as the parties may establish through their pre-existing bilateral agreement. The freight option has the following characteristics:
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| Contract Overview: |
A freight option contract represents an option to assume a short or long position in the underlying freight swap at the strike price. |
| Underlying Reference Routes: |
Dry Timecharter Basket Routes
CTO (Capesize TC Avg 4)
PTO (Panamax TC Avg 4)
STO (Supramax TC Avg 6)
HTO (Handysize (TC Avg 6) |
| 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. |
| Option Premium: |
The premium is paid at the time of purchase. |
| Currency: |
USD |
| 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] [Physical settlement] |
If the freight swap is accepted for clearing by a clearing organization, the terms and conditions of the freight swap incorporate by reference such terms and conditions established by the relevant clearing organization in its rules or bylaws. If the freight swap is not submitted for clearing to a clearing organization, the terms and conditions of the freight swap incorporate by reference such credit and other terms as the parties may establish through their pre-existing bilateral agreement. The freight swap has the following characteristics:
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| Contract Overview: |
A freight swap is an agreement to exchange a stream of cash flows by reference to the difference between a fixed rate and a floating rate 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 begins under the swap. |
| Reference Routes: |
Dry Timecharter Basket Routes
CTC (Capesize TC Avg 4)
PTC (Panamax TC Avg 4)
STC (Supramax TC Avg 6)
HTC (Handysize (TC Avg 6)
Dry Voyage Routes
C3E (Tubarao ? Qingdao)
C4E (Richards Bay ? Rotterdam)
C5E (W Australia ? Qingdao)
C7E (Bolivar ? Rotterdam)
Day Trip Timecharter Routes
P1A, P1E (Transatlantic RV)
P2A, P2E (Cont Trip Far East)
P3A, P3E (Transpacif RV)
$ per Tonne Tanker Routes
Baltic TC2
Baltic TC6
Baltic TC14
Baltic TD3
Baltic TD5
Baltic TD7
Baltic TD19 |
| 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] |
| Fixed Price |
As agreed by the parties. |
| Floating Price Payer: |
Party [B/A] |
| Floating Price: |
Dry Timecharter Basket Routes In respect of daily settlement, the floating price will be the end of day price as supplied by the Baltic Exchange. In respect of final settlement, the floating price will be the mean of the daily Baltic Exchange spot price assessments for every trading day in the expiry month.
Dry Voyage Routes In respect of daily settlement, the floating price will be the end of day price as supplied by the Baltic Exchange. In respect of final settlement, the floating price will be the mean of the daily Baltic Exchange spot price assessments for every trading day in the expiry month.
Day Trip Timecharter Routes In respect of daily settlement, the floating price will be the end of day price as supplied by the Baltic Exchange. In respect of final settlement for P1A, P2A & P3A, the floating price will be the mean of the last 7 Baltic Exchange spot price assessments in the expiry month. In respect of final settlement for P1E, P2E & P3E, the floating price will be the mean of the daily Baltic Exchange spot price assessments for every trading day in the expiry month.
$ per Tonne Tanker Routes In respect of daily settlement, the floating price will be the end of day price (in $/t) as supplied by the Baltic Exchange. In respect of final settlement, the floating price will be a price in US$ per mt calculated as the mean of the Baltic Exchange WS rate spot price assessments multiplied by the Flat Rate divided by 100 for each pricing date in the expiry month. |
| Price Source: |
Baltic Exchange. |
| Pring Date(s): |
If applicable, as agreed by the parties. |
| Method of Averaging: |
If applicable, as agreed by the parties. |
If the swap is accepted for clearing by a clearing organization, the terms and conditions of the freight swap incorporate by reference such terms and conditions established by the relevant clearing organization in its rules or bylaws. If the swap is not submitted for clearing to a clearing organization, the terms and conditions of the swap incorporate by reference such credit and other terms as the parties may establish through their pre-existing bilateral agreement. The swap has the following characteristics:
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| Contract Overview: |
A agreement to exchange a stream of cash flows by reference to the difference between (i) a fixed price agreed by the parties and a floating rate based on a specified notional amount over a specified term to maturity, or )ii) two floating rates based on specified notional amounts over a specified term to maturity. |
| Trade Date: |
As agreed by the parties. |
| Effective Date: |
The date on which the calculation of accrued obligations begins under the contract. |
| Reference Commodities: |
Iron Ore
Coal
Fuel Oil |
| 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 numerals] [per units of commodity], if applicable. |
| Floating Price Payer: |
Party [B/A], or both Party A and B, if applicable. |
| Floating Price: |
As agreed by the parties. |
| Pricing Differential: |
If applicable, as agreed by the parties. |
| Specified Delivery Point: |
If applicable, as agreed by the parties. |
| Pricing Dates: |
If applicable, as agreed by the parties. |
| Method of Averaging: |
If applicable, as agreed by the parties. |
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. |
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