Product Specific Contract Terms and Eligibility Criteria Manual

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3 Appendix I Product Specific Contract s and Eligibility Criteria Manual

4 PRODUCT SPECIFIC CONTRACT TERMS AND ELIGIBILITY CRITERIA MANUAL

5 Product Specific Contract s and Eligibility Criteria Manual PART B PRODUCT ELIGIBILITY CRITERIA FOR REGISTRATION OF A SWAPCLEAR CONTRACT 1. Clear Transaction Without prejudice to the Regulations and the Procedures, the Clearing House will only register a Clear Contract pursuant to receipt of particulars of a transaction where at the time of the particulars being presented: (a) (b) the transaction meets the eligibility criteria, set out in paragraphs 1.2(a), (b)(b) or (c)(c) and 1.3, below for a Clear Transaction; and each party to the transaction is either a Clear Dealer or a Clear Clearing Member (including an SCM Branch), and the requirements of (a) and (b) continue to be satisfied at Registration Time. 1.2 Clear Product Eligibility Criteria for a Clear Transaction (a) Vanilla interest rate swaps with constant notional principal having the characteristics set out in the table below: Instrument Indices 6 (Min - Max of the Vanilla interest rate swaps with constant notional principal Sterling (GBP) GBP-LIBOR- 7.1w(vii) for days GBP-WMBA- SONIA- COMPOUND Currency days 7.1w(vii) for 7 US Dollar (USD) USD-LIBOR- days (ab)(xxii) for USD-Federal Funds H.15-OIS- COMPOUND days 6 References in this column are to the 2006 Definitions 7 If vs where one leg Index is the GBP-WMBA-SONIA-COMPOUND, the Index on the other leg must be GBP-LIBOR- LCH.Clearnet Limited October 2016

6 Product Specific Contract s and Eligibility Criteria Manual Instrument Indices 6 (Min - Max of the See article 7.1(ab)(xxxix) for USD-Federal Funds H.15- LIBOR- 8 Currency days See article 7.1 (ab)(xxvii) for Euro (EUR) EUR-LIBOR- days (f)(vii) for EUR- EURIBOR- Telerate See article 7.1(f)(ii) for EUR-EONIA- OIS- COMPOUND days 7.1(f)(viii) for Australian Dollar (AUD) AUD-BBR- BBSW days (a)(iv) for Australian Dollar (AUD) AUD-AONIA- OIS- COMPOUND Currency 2,025 days (a)(i) for Vanilla interest rate swaps with constant notional principal Canadian Dollar (CAD) CAD-BA-CDOR days (b)(ii) for CAD-CORRA- OIS- COMPOUND 850 days 7.1(b)(xii) for 8 If vs where one leg Index is the USD-Federal Funds H.15-LIBOR-, the Index on the other leg must be USD-LIBOR- LCH.Clearnet Limited October 2016

7 Product Specific Contract s and Eligibility Criteria Manual Instrument Indices 6 (Min - Max of the Czech Koruna (CZK) CZK-PRIBOR- PRBO FIXED 3,850 days r(i) for Danish Krone (DKK) DKK-CIBOR- DKNA13 days (e)(i) for DKK-CIBOR2- DKNA13 7.1(e)(ii) for Hong Kong Dollar (HKD) HKD-HIBOR- HIBOR= 3,850 days (g)(ii) for HKD-HIBOR- HKAB 7.1(g)(iii) for HKD-HIBOR- ISDC 7.1(g)(i) for Hungarian Forint (HUF) HUF - BUBOR- Reuters FIXED 3,850 days 1-10,000,000,000, r (i) for Japanese Yen (JPY) JPY-LIBOR- 15,025 days 1-10,000,000,000, (l)(iv) for JPY-TONA- OIS- COMPOUND days 1-10,000,000,000, (l)(xix) for New Zealand Dollar (NZD) NZD-BBR- Telerate 5,700 days (l)(iii) for NZD-BBR-FRA 5,700 days LCH.Clearnet Limited October 2016

8 Product Specific Contract s and Eligibility Criteria Manual Instrument Indices 6 (Min - Max of the 7.1(p)(iii) for Norwegian Krone (NOK) NOK-NIBOR- OIBOR 5,700 days (q)(i) for Singapore Dollar (SGD) SGD-SOR- Reuters FIXED 3,850 days See Procedure 2C (a)(xxi i) for SGD-SOR- VWAP FIXED 3,850 days (t)(iii) for Swedish Krona (SEK) SEK-STIBOR- SIDE days (x)(i) for Swiss Franc (CHF) CHF-LIBOR- days (y)(ii) for CHF- TOIS_OIS_CO MPOUND 850 days 7.1(y)(iv) for Polish Zloty(PLN) PLN FIXED 5,700 days WIBOR-WIBO 7.1r(i) for South African Rand (ZAR) ZAR FIXED 3,850 days JIBAR-SAFEX Mexican Peso (MXN) 7.1v(i) for MXN-TIEE- Banxico FIXED 3,850 days LCH.Clearnet Limited October 2016

9 Product Specific Contract s and Eligibility Criteria Manual (b) notional interest rate swaps having the characteristics set out in the table below: Instrument Options (as further set out in Article 7.1 of the 2000 Definitions and Article 7.1 of the 2006 Definitions) (Min - Max of the USD USD-LIBOR- USD USD-LIBOR- EUR EUR-LIBOR- EUR EUR-LIBOR- EUR EUR- EURIBOR- REUTERS EUR EUR- EURIBOR- REUTERS GBP GBP-LIBOR- GBP GBP-LIBOR- CAD CAD-CDOR- BA CAD CAD-CDOR- BA JPY JPY-LIBOR- JPY JPY-LIBOR- AUD AUD-BBR- BBSW AUD AUD-BBR- BBSW NOK NOK-NIBOR- OIBOR 5,700 NOK NOK-NIBOR- OIBOR 5,700 PLN PLN-WIBOR- WIBO 5,700 LCH.Clearnet Limited October 2016

10 Product Specific Contract s and Eligibility Criteria Manual Instrument Options (as further set out in Article 7.1 of the 2000 Definitions and Article 7.1 of the 2006 Definitions) (Min - Max of the PLN PLN-WIBOR- WIBO 5,700 SEK SEK-STIBOR- SIDE SEK SEK-STIBOR- SIDE CHF CHF-LIBOR- CHF CHF-LIBOR- CZK CZK-PRIBOR- PRBO 3,850 CZK CZK-PRIBOR- PRBO 3,850 DKK DKK-CIBOR2- DKNA13 DKK DKK-CIBOR2- DKNA13 HKD HKD-HIBOR- HKAB 3,850 HKD-HIBOR- ISDC HKD-HIBOR- HIBOR= HKD HKD-HIBOR- HKAB 3,850 HKD-HIBOR- ISDC HKD-HIBOR- HIBOR= HUF HUF-BUBOR- Reuters 3,850 HUF HUF-BUBOR- Reuters 3,850 NZD NZD-BBR- FRA 5,700 NZD-BBR- Telerate LCH.Clearnet Limited October 2016

11 Product Specific Contract s and Eligibility Criteria Manual Instrument Options (as further set out in Article 7.1 of the 2000 Definitions and Article 7.1 of the 2006 Definitions) (Min - Max of the NZD NZD-BBR- FRA 5,700 NZD-BBR- Telerate SGD SGD-SOR- VWAP 3,850 SGD SGD-SOR- VWAP 3,850 ZAR ZAR-JIBAR- SAFEX 3,850 ZAR ZAR-JIBAR- SAFEX 3,850 LCH.Clearnet Limited October 2016

12 Appendix II FCM Product Specific Contract s and Eligibility Criteria Manual

13 FCM PRODUCT SPECIFIC CONTRACT TERMS AND ELIGIBILITY CRITERIA MANUAL

14 PART B PRODUCT ELIGIBILITY CRITERIA FOR REGISTRATION OF AN FCM SWAPCLEAR CONTRACT 1. FCM Clear Transaction Without prejudice to the FCM Regulations and the FCM Procedures, the Clearing House will only register an FCM Clear Contract pursuant to receipt of particulars of a transaction where at the time of the particulars being presented: (a) (b) the transaction meets the FCM Clear Product Eligibility Criteria for registration as an FCM Clear Transaction; and each party to the transaction is an Executing Party; and the requirements of (a) and (b) continue to be satisfied at Registration Time. 1.1 FCM Clear Product Eligibility Criteria for an FCM Clear Transaction (a) Vanilla interest rate swaps with constant notional principal having the characteristics set out in the table below; Instrument Indices 5 (Min-Max of the Vanilla interest rate swaps with constant notional principal Sterling (GBP) GBP- LIBOR- 7.1w(i) for days GBP- WMBA- SONIA- COMPOUN D days 7.1w(vii) for 6 days 5 References in this column are to the 2006 Definitions. 6 If vs where one leg Index is the GBP-WMBA-SONIA-COMPOUND, the Index on the other leg must be GBP-LIBOR- FCM Product Specific Manual September 2016

15 Instrument Indices 5 (Min-Max of the US Dollar (USD) USD- LIBOR- days (ab) (xxii) for USD-Federal Funds H.15- OIS- COMPOUN D days 7.1(ab)(xxxix ) for USD-Federal Funds H.15- LIBOR (ab)(xvii) for Euro (EUR) EUR- LIBOR- days (f)(vii) for EUR- EURIBOR- Telerate 7.1 (f)(ii) for EUR- EONIA-OIS- 7 If vs where one leg Index is the USD-Federal Funds H.15-LIBOR-, the index on the other leg must be USD-LIBOR- FCM Product Specific Manual September 2016

16 Instrument Indices 5 (Min-Max of the COMPOUN D days 7.1(f) (viii) for Australian Dollar (AUD) AUD-BBR- BBSW days (a) (iv) for Australian Dollar (AUD) AUD- AONIA-OIS- COMPOUN D 2025 days (a)(i) for Vanilla interest rate swaps with constant notional principal AUD- LIBOR- 7.1(a) (viii) for Canadian Dollar (CAD) CAD-BA- CDOR days (b) (ii) for CAD- LIBOR- FCM Product Specific Manual September 2016

17 Instrument Indices 5 (Min-Max of the 7.1(b) (viii) for CAD- CORRA- OIS- COMPOUN D 850 days (b) (xii) for Czech Koruna (CZK) CZK- PRIBOR- PRBO FIXED 3,850 days r(i) for Danish Krone (DKK) DKK- CIBOR- DKNA13 days (e) (i) for DKK- CIBOR2- DKNA13 7.1(e) (ii) for Hong Kong Dollar (HKD) HKD- HIBOR- HIBOR= 3,850 days (g) (ii) for FCM Product Specific Manual September 2016

18 Instrument Indices 5 (Min-Max of the HKD- HIBOR- HKAB 7.1(g) (iii) for HKD- HIBOR- ISDC 7.1(g) (i) for Hungarian Forint (HUF) HUF- BUBOR- Reuters FIXED 3,850 days 1-10,000,000, 000, r(i) for Japanese Yen (JPY) JPY-LIBOR- 15,025 days 1-10,000,000, 000, (l) (iv) for JPY-TONA- OIS- COMPOUN D days 1-10,000,000, 000, (l)(xix) for New Zealand Dollar (NZD) NZD-BBR- Telerate 5,700 days FCM Product Specific Manual September 2016

19 Instrument Indices 5 (Min-Max of the 7.1(p) (iii) for New Zealand Dollar (NZD) NZD-BBR- FRA 5,700 days (p) (iii) for Norwegian Krone (NOK) NOK- NIBOR- OIBOR 5,700 days (q) (i) for Singapore Dollar (SGD) SGD- SOR- Reuters FIXED 3,850 days (t) (iii) for SGD-SOR- VWAP FIXED 3,850 days See FCM Procedure 2A.7.12(v) for Swedish Krona (SEK) SEK- STIBOR- SIDE days (x) (i) for FCM Product Specific Manual September 2016

20 Instrument Indices 5 (Min-Max of the Swiss Franc (CHF) CHF- LIBOR- days (y) (ii) for CHF- TOIS_OIS_ COMPOUN D 850 days 7.1(y) (iv) for Polish Zloty(PLN) PLN FIXED 5,700 days WIBOR- WIBO 7.1r (i) for South African Rand (ZAR) ZAR FIXED 3,850 days JIBAR- SAFEX 7.1v (i) for Mexican Peso (MXN) MXN-TIIE- Banxico FIXED 3,850 days FCM Product Specific Manual September 2016

21 (b) notional interest rate swaps having the characteristics set out in the table below; Instrument Options (as further set out in Article 7.1 of the 2000 Definitions and Article 7.1 of the 2006 Definitions) (Min - Max of the USD USD-LIBOR- USD USD-LIBOR- USD USD-LIBOR- Zero Coupon EUR EUR-LIBOR- EUR EUR-LIBOR- EUR EUR-LIBOR- Zero Coupon EUR EUR- EURIBOR- REUTERS EUR EUR- EURIBOR- REUTERS EUR EUR- EURIBOR- REUTERS Zero Coupon GBP GBP-LIBOR- FCM Product Specific Manual September 2016

22 Instrument Options (as further set out in Article 7.1 of the 2000 Definitions and Article 7.1 of the 2006 Definitions) (Min - Max of the GBP GBP-LIBOR- GBP GBP-LIBOR- Zero Coupon CAD CAD-CDOR- BA CAD CAD-CDOR- BA JPY JPY-LIBOR- JPY JPY-LIBOR- AUD AUD-BBR- BBSW AUD AUD-BBR- BBSW NOK NOK-NIBOR- OIBOR 5,700 NOK NOK-NIBOR- OIBOR 5,700 PLN PLN-WIBOR- WIBO 5,700 FCM Product Specific Manual September 2016

23 Instrument Options (as further set out in Article 7.1 of the 2000 Definitions and Article 7.1 of the 2006 Definitions) (Min - Max of the PLN PLN-WIBOR- WIBO 5,700 SEK SEK-STIBOR- SIDE SEK SEK- STIBOR- SIDE CHF CHF-LIBOR- CHF CHF-LIBOR- CZK CZK- PRIBOR- PRBO 3,850 CZK CZK- PRIBOR- PRBO 3,850 DKK DKK- CIBOR2- DKNA13 DKK DKK- CIBOR2- DKNA13 HKD HKD- HIBOR- 3,850 FCM Product Specific Manual September 2016

24 Instrument Options (as further set out in Article 7.1 of the 2000 Definitions and Article 7.1 of the 2006 Definitions) (Min - Max of the HKAB HKD- HIBOR-ISDC HKD- HIBOR- HIBOR= HKD HKD- HIBOR- HKAB 3,850 HKD- HIBOR-ISDC HKD- HIBOR- HIBOR= HUF HUF- BUBOR- Reuters 3,850 HUF HUF- BUBOR- Reuters 3,850 NZD NZD-BBR- FRA NZD-BBR- Telerate 5,700 NZD NZD-BBR- FRA NZD-BBR- Telerate 5,700 FCM Product Specific Manual September 2016

25 Instrument Options (as further set out in Article 7.1 of the 2000 Definitions and Article 7.1 of the 2006 Definitions) (Min - Max of the SGD SGD-SOR- VWAP 3,850 SGD SGD-SOR- VWAP 3,850 ZAR ZAR-JIBAR- SAFEX 3,850 ZAR ZAR-JIBAR- SAFEX 3,850 (c) Forward interest rate agreements having the characteristics set out in the table below; Instrument Options (as further set out in Section 7.1 of the 2006 Definitions) (Min - Max of the unit FRA Tenors Minimum and FRA s () Forward Agreement CHF CHF-LIBOR- Fixed v floating 1,225 days 1w, 2w, Min 3 1m, 2m, 3m, 4m, Max 375 5m, 6m, 7m, 8m, 9m, 10m, 11m, 1y Forward Agreement CZK CZK-PIBOR- PRBO Fixed v floating 1,225 days 1w, 2w Min 3 1m, 2m, 3m, 6m, Max 375 9m, 1y FCM Product Specific Manual September 2016

26 Instrument Indices 8 (Min - Max of the unit principal Price Index See Annex A (l)(i) for Vanilla inflation rate swaps with constant notional principal EUR EUR Excluding Tobacco-Nonrevised Consumer Price Index See Annex A (j)(i) for 11, Additional FCM Clear Product Eligibility Criteria 2.1 A contract must also meet the following additional criteria to be eligible as an FCM Clear Transaction: (a) Day Count Fractions ( 4.16 of the "Annex to 2000 Definitions (June 2000 Version)", and Article 4.16 of the 2006 Definitions for ) (i) The Clearing House will only accept the following day count fractions for vanilla interest rate swaps with constant notional principal and variable notional swaps. Day Count Fractions are applied to each deal leg independently, as communicated via the affirmed MarkitWire trade detail: Day Count Fractions using the 2000 Definitions Day Count Fraction MarkitWire/FpML Code 30/360 (or Bond ) 30/360 30E/360 (or Eurobond ) 30E/360 Actual/360 ACT/360 Actual/365 (Fixed) ACT/365.FIXED Actual/365 (or Actual/Actual) ACT/365. Actual/Actual (ISMA) ACT/ACT.ISMA Day Count Fractions using the 2006 Definitions: Day Count Fraction MarkitWire/FpML Code 30/360 (or Bond ) 30/360 FCM Product Specific Manual September 2016