The following table describes the Delisted IRS Products. Rule Interest Rate Swap Canadian LCH All All
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1 Notice No Date: December 13, 2016 Subject: Delisting of Products This Notice to Participants is issued to inform you that effective December 23, 2016 Bats Hotspot SEF LLC ( Bats Hotspot SEF ) has delisted the interest rate swap products described below ( Delisted IRS Products ). The Commodity Futures Trading Commission ( CFTC ) was notified of the delisting of the Delisted IRS Products on December 9, On December 9, 2016, Bats Hotspot SEF submitted rule amendments to the CFTC regarding the respective rules that relate to the Delisted IRS Products. (A description of those rule amendments is provided in Notice to Participants ) The following table describes the Delisted IRS Products Australian LCH All All Dollar 1002 Canadian LCH All All Dollar 1003 Swiss Franc LCH All All 1004 Euro LCH All All 1005 British Pound LCH All All 1006 Japanese Yen LCH All All 1007 US Dollar LCH Trading Convention: Electronic Buy = Pay Float +/ Spread, Receive Float RFQ and Voice Order Sell = Receive Float +/Spread, Pay Float Book Contract Size: Increments of 100,000 currency units on Request for Quote System
2 Page 2 Tenor or Term All durations of time from 30 days to 50 years except for swap tenors of 2, 3, 5, 7 and 10 years Trade Start Types Same Day: A new swap where the Effective Date is the same day as the trade date Next Day: A new swap where the Effective Date is T + 1 from the trade date Forward: A new swap with an effective dated on any day after the spot start date, before the maturity date, and no longer than 13 months Conventions Fixed Leg: Payment Frequency: Monthly, Quarterly and Annual Day Count Convention: ACT/360, ACT 365, and ACT/ACT Floating Leg: Payment/Rests: Monthly and Semi Annual Day Count Conventions: ACT/365
3 Page 3 Trade Types Spreads : combination of interest rate swaps and US Treasury Bond purchases or sales IMM : interest rate swaps where Effective Date, Accrual Dates and Maturity Date are IMM Dates. MAC s: Market Agreed Coupon Basis s: Exchange of two floating rate indices Package Trades : Combination of Interest rate swaps Block Trades Block Trades may not be submitted pursuant to Bats Hotspot US Dollar CME Trading Convention: Buy = Pay Float +/ Spread, Receive Float Sell = Receive Float +/Spread, Pay Float Electronic RFQ and Voice Order Book Contract Size: Increments of 100,000 currency units on Request for Quote System
4 Page 4 Tenor or Term All durations of time from 30 days to 50 years except for swap tenors of 2, 3, 5, 7 and 10 years Trade Start Types Same Day: A new swap where the Effective Date is the same day as the trade date Next Day: A new swap where the Effective Date is T + 1 from the trade date Forward: A new swap with an effective dated on any day after the spot start date, before the maturity date, and no longer than 13 months Conventions Fixed Leg: Payment Frequency: Monthly, Quarterly and Annual Day Count Convention: 30E/360, ACT/360, ACT 365, and ACT/ACT Floating Leg: Payment/Rests: Monthly and Semi Annual Day Count Conventions: ACT/365
5 Page 5 Trade Types Spreads : combination of interest rate swaps and US Treasury Bond purchases or sales IMM : interest rate swaps where Effective Date, Accrual Dates and Maturity Date are IMM Dates. MAC s: Market Agreed Coupon Basis s: Exchange of two floating rate indices Package Trades : Combination of Interest rate swaps Block Trades Block Trades may not be submitted pursuant to Bats Hotspot 515 If you have any questions regarding this Notice to Participants, please contact Suellen Galish at sgalish@bats.com.
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