Documentation

The average price is used to derive the strike price. Also known as Asian strike style option.

The average price is used to derive the expiration price. Also known as Asian price style option.

The average price is used to derive both the strike and the expiration price.

The arithmetic mean of the relevant rates for each reset date.

The arithmetic mean of the relevant rates in effect for each day in a calculation period calculated by multiplying each relevant rate by the number of days such relevant rate is in effect, determining the sum of such products and dividing such sum by the number of days in the calculation period.

Breakage cost is calculated by the agent bank.

Breakage cost is calculated by the lender.

Gold. Quality as per the Good Delivery Rules issued by the London Bullion Market Association.

Palladium. Quality as per the Good Delivery Rules issued by the London Platinum and Palladium Market.

Palladium. Quality as per the Good Delivery Rules issued by the London Platinum and Palladium Market.

Silver. Quality as per the Good Delivery Rules issued by the London Bullion Market Association.

Quality as per the Good Delivery Rules for Rhodium (Sponge).

The non-business date will be adjusted to the first following day that is a business day

Per 2000 ISDA Definitions, Section 4.11. FRN Convention; Eurodollar Convention.

The non-business date will be adjusted to the first following day that is a business day unless that day falls in the next calendar month, in which case that date will be the first preceding day that is a business day.

The non-business day will be adjusted to the first preceding day that is a business day.

The non-business date will be adjusted to the first preceding day that is a business day unless that day falls in the previous calendar month, in which case that date will be the first following day that us a business day.

The non-business date will be adjusted to the nearest day that is a business day - i.e. if the non-business day falls on any day other than a Sunday or a Monday, it will be the first preceding day that is a business day, and will be the first following business day if it falls on a Sunday or a Monday.

The date will not be adjusted if it falls on a day that is not a business day.

The date adjustments conventions are defined elsewhere, so it is not required to specify them here.

The intrinsic value of the option will be delivered by way of a cash settlement amount determined, (i) by reference to the differential between the strike price and the settlement price; or (ii) in accordance with a bilateral agreement between the parties

The securities underlying the transaction will be delivered by (i) in the case of a call, the seller to the buyer, or (ii) in the case of a put, the buyer to the seller versus a settlement amount equivalent to the strike price per share

The party that gives notice of exercise. Per 2000 ISDA Definitions, Section 11.1. Parties, paragraph (d).

The party that is given notice of exercise. Per 2000 ISDA Definitions, Section 11.1. Parties, paragraph (e).

The Calculation Agent is determined by reference to the relevant master agreement.

The Calculation Agent is determined by reference to the relevant standard terms supplement.

The commission is expressed in basis points, in reference to the price referenced in the document.

The commission is expressed as a percentage of the gross price referenced in the document.

The commission is expressed in cents per share.

The commission is expressed as a absolute amount.

Negotiation will apply in the event of Bullion Settlement Disruption as per Section 10.5.(d) of the 2005 Commodity Definitions.

Cancellation and Payment will apply in the event of Bullion Settlement Disruption as per Section 10.5.(d) of the 2005 Commodity Definitions.

When calculating the number of days between two dates the count includes only business days.

When calculating the number of days between two dates the count includes all calendar days.

When calculating the number of days between two dates the count includes only commodity business days.

When calculating the number of days between two dates the count includes only currency business days.

When calculating the number of days between two dates the count includes only stock exchange business days.

When calculating the number of days between two dates the count includes only scheduled trading days.

When calculating the number of days between two dates the count includes only gas flow days (dates on which gas is delivered).

Flat compounding. Compounding excludes the spread. Note that the first compounding period has it's interest calculated including any spread then subsequent periods compound this at a rate excluding the spread.

No compounding is to be applied.

Straight compounding. Compounding includes the spread.

Spread Exclusive compounding.

Monday

Tuesday

Wednesday

Thursday

Friday

Saturday

Sunday

When calculating the number of days between two dates the count includes only business days.

When calculating the number of days between two dates the count includes all calendar days.

When calculating the number of days between two dates the count includes only commodity business days.

When calculating the number of days between two dates the count includes only currency business days.

When calculating the number of days between two dates the count includes only stock exchange business days.

When calculating the number of days between two dates the count includes only scheduled trading days.

The Delivery Date of the underlying Commodity shall be the month of expiration of the futures contract that corresponds to the month and year of the Calculation Period. e.g. The JAN 09 contract when pricing in January '09 (In the case of contracts like Brent crude, this will mean that the contract expired in DEC 08.)

The Delivery Date of the underlying Commodity shall be the month of expiration of the First Nearby Month futures contract.

The Delivery Date of the underlying Commodity shall be the month of expiration of the Second Nearby Month futures contract.

The Delivery Date of the underlying Commodity shall be the month of expiration of the Third Nearby Month futures contract.

The Delivery Date of the underlying Commodity shall be the month of expiration of the Fourth Nearby Month futures contract.

The Delivery Date of the underlying Commodity shall be the month of expiration of the Fifth Nearby Month futures contract.

The Delivery Date of the underlying Commodity shall be the month of expiration of the Sixth Nearby Month futures contract.

The Delivery Date of the underlying Commodity shall be the month of expiration of the Seventh Nearby Month futures contract.

The Delivery Date of the underlying Commodity shall be the month of expiration of the Eighth Nearby Month futures contract.

The Delivery Date of the underlying Commodity shall be the month of expiration of the Ninth Nearby Month futures contract.

The Delivery Date of the underlying Commodity shall be the month of expiration of the Tenth Nearby Month futures contract.

The Delivery Date of the underlying Commodity shall be the month of expiration of the Eleventh Nearby Month futures contract.

The Delivery Date of the underlying Commodity shall be the month of expiration of the Twelfth Nearby Month futures contract.

The Delivery Date of the underlying Commodity shall be the month of expiration of the Thirteenth Nearby Month futures contract.

The Delivery Date of the underlying Commodity shall be the month of expiration of the Fourteenth Nearby Month futures contract.

The Delivery Date of the underlying Commodity shall be the Spot date.

The Delivery Date of the underlying Commodity shall be during the First Nearby Week.

The Delivery Date of the underlying Commodity shall be during the Second Nearby Week.

The Delivery Date of the underlying Commodity shall be during the Third Nearby Week.

The Delivery Date of the underlying Commodity shall be during the Fourth Nearby Week.

The Delivery Date of the underlying Commodity shall be during the Fifth Nearby Week.

The Delivery Date of the underlying Commodity shall be during the Sixth Nearby Week.

The Delivery Date of the underlying Commodity shall be during the Seventh Nearby Week.

The Delivery Date of the underlying Commodity shall be during the Eighth Nearby Week.

The Delivery Date of the underlying Commodity shall be during the Ninth Nearby Week.

The Delivery Date of the underlying Commodity shall be during the Tenth Nearby Week.

The Delivery Date of the underlying Commodity shall be during the Eleventh Nearby Week.

The Delivery Date of the underlying Commodity shall be during the Twelfth Nearby Week.

The Delivery Date of the underlying Commodity shall be during the Thirteenth Nearby Week.

The Delivery Date of the underlying Commodity shall be during the Fourteenth Nearby Week.

The Delivery Date of the underlying Commodity shall be during the Fifteenth Nearby Week.

The Delivery Date of the underlying Commodity shall be during the Sixteenth Nearby Week.

The Delivery Date of the underlying Commodity shall be during the Seventeenth Nearby Week.

The Delivery Date of the underlying Commodity shall be during the Eighteenth Nearby Week.

The Delivery Date of the underlying Commodity shall be during the Nineteenth Nearby Week.

The Delivery Date of the underlying Commodity shall be during the Twentieth Nearby Week.

The Delivery Date of the underlying Commodity shall be during the Twenty First Nearby Week.

The Delivery Date of the underlying Commodity shall be during the Twenty Second Nearby Week.

The Delivery Date of the underlying Commodity shall be during the Twenty Third Nearby Week.

The Delivery Date of the underlying Commodity shall be during the Twenty Fourth Nearby Week.

The Delivery Date of the underlying Commodity shall be during the Twenty Fifth Nearby Week.

The Delivery Date of the underlying Commodity shall be during the Twenty Sixth Nearby Week.

The Delivery Date of the underlying Commodity shall be during the Twenty Seventh Nearby Week.

The Delivery Date of the underlying Commodity shall be during the Twenty Eighth Nearby Week.

The Delivery Date of the underlying Commodity shall be during the Twenty Ninth Nearby Week.

The Delivery Date of the underlying Commodity shall be during the Thirtieth Nearby Week.

The Delivery Date of the underlying Commodity shall be during the Thirty First Nearby Week.

The Delivery Date of the underlying Commodity shall be during the Thirty Second Nearby Week.

The Delivery Date of the underlying Commodity shall be during the Thirty Third Nearby Week.

The Delivery Date of the underlying Commodity shall be during the Thirty Fourth Nearby Week.

The Delivery Date of the underlying Commodity shall be during the Thirty Fifth Nearby Week.

The Delivery Date of the underlying Commodity shall be during the Thirty Sixth Nearby Week.

The Delivery Date of the underlying Commodity shall be during the Thirty Seventh Nearby Week.

The Delivery Date of the underlying Commodity shall be during the Thirty Eighth Nearby Week.

The Delivery Date of the underlying Commodity shall be during the Thirty Ninth Nearby Week.

The Delivery Date of the underlying Commodity shall be during the Fortieth Nearby Week.

The Delivery Date of the underlying Commodity shall be during the Forty First Nearby Week.

The Delivery Date of the underlying Commodity shall be during the Forty Second Nearby Week.

The Delivery Date of the underlying Commodity shall be during the Forty Third Nearby Week.

The Delivery Date of the underlying Commodity shall be during the Forty Fourth Nearby Week.

The Delivery Date of the underlying Commodity shall be during the Forty Fifth Nearby Week.

The Delivery Date of the underlying Commodity shall be during the Forty Sixth Nearby Week.

The Delivery Date of the underlying Commodity shall be during the Forty Seventh Nearby Week.

The Delivery Date of the underlying Commodity shall be during the Forty Eighth Nearby Week.

The Delivery Date of the underlying Commodity shall be during the Forty Ninth Nearby Week.

The Delivery Date of the underlying Commodity shall be during the Fiftieth Nearby Week.

The Delivery Date of the underlying Commodity shall be during the Fifty First Nearby Week.

The Delivery Date of the underlying Commodity shall be during the Fifty Second Nearby Week.

Per ISDA 2000 Definitions, Section 8.4. Discounting, paragraph (a)

Per ISDA 2000 Definitions, Section 8.4. Discounting, paragraph (b)

The Disruption Fallback(s) are determined by reference to the relevant Master Agreement.

The Disruption Fallback(s) are determined by reference to the relevant Confirmation.

100% of the gross cash dividend per Share paid over record date during relevant Dividend Period

100% of gross cash dividend per Share paid after the Ex Div date during relevant Dividend Period.

100% of gross cash dividend per Share paid during relevant Dividend Period.

The Amount is determined as provided in the relevant Master Confirmation.

The Equity Amount Receiver determines the composition of dividends (subject to conditions).

The Calculation Agent determines the composition of dividends (subject to conditions).

Date on which a holder of the security is entitled to the dividend.

Date on which the dividend will be paid by the issuer.

In respect of each Dividend Period, number of days offset from the relevant Dividend Valuation Date.

Date on which the dividend will be recorded in the books of the paying agent.

Termination date of the swap.

Equity payment date of the swap.

The next payment date of the swap.

The dividend date will be specified ad hoc by the parties, typically on the dividend ex-date

Total of paid dividends, paid on next following Cash Settlement Payment Date, which is immediately following the Dividend Period during which the dividend is paid by the Issuer to the holders of record of a Share.

Total of paid dividends, paid on next following Payment Date, which is immediately following the Dividend Period during which the dividend is paid by the Issuer to the holders of record of a Share.

Total of dividends which go ex, paid on next following Cash Settlement Payment Date, which is immediately following the Dividend Period during which the Shares commence trading ex-dividend on the Exchange

Total of dividends which go ex, paid on next following Payment Date, which is immediately following the Dividend Period during which the Shares commence trading ex-dividend on the Exchange, or where the date on which the Shares commence trading ex-dividend is a Payment Date, such Payment Date.

If Dividend Payment Date(s) is specified in the Transaction Supplement as Share Payment, then the Dividend Payment Date in respect of a Dividend Amount shall fall on a date on or before the date that is two (or any other number that is specified in the Transaction Supplement) Currency Business Days following the day on which the Issuer of the Shares pays the relevant dividend to holders of record of the Shares

If Dividend Payment Date(s) is specified in the Transaction Supplement as Cash Settlement Payment Date, then the Dividend Payment Date in respect of a Dividend Amount shall be the Cash Settlement Payment Date relating to the end of the Dividend Period during which the Shares commenced trading ex the relevant dividend on the Exchange

If Dividend Payment Date(s) is specified in the Transaction Supplement as Floating Amount Payment Date, then the Dividend Payment Date in respect of a Dividend Amount shall be the first Payment Date falling at least one Settlement Cycle after the date that the Shares have commenced trading ex the relevant dividend on the Exchange.

If Dividend Payment Date(s) is specified in the Transaction Supplement as Cash Settlement Payment Date – Ex Dividend, then the Dividend Payment Date in respect of a Dividend Amount shall be the Cash Settlement Payment Date relating to the end of the Dividend Period during which the Shares commenced trading “ex” the relevant dividend on the Exchange.

If Dividend Payment Date(s) is specified in the Transaction Supplement as Cash Settlement Payment Date – Issuer Payment, then the Dividend Payment Date in respect of a Dividend Amount shall be the Cash Settlement Payment Date relating to the end of the Dividend Period during which the issuer pays the relevant dividend to a holder of record provided that in the case where the Equity Amount Payer is the party specified to be the sole Hedging Party and the Hedging Party has not received the Dividend Amount by such date, then the date falling a number of Currency Business Days as specified in the Cash Settlement Payment Date after actual receipt by the Hedging Party of the Received Ex Amount or Paid Ex Amount (as applicable).

If Dividend Payment Date(s) is specified in the Transaction Supplement as Ex-dividend Payment Date, then the Dividend Payment Date in respect of a Dividend Amount shall be the number of Currency Business Days as provided in the Transaction Supplement following the day on which the Shares commence trading ‘ex’ on the Exchange.

Dividend entitlement is on the dividend ex-date.

Dividend entitlement is on the dividend record date.

First Period per the 2002 ISDA Equity Derivatives Definitions will apply.

Second Period per the 2002 ISDA Equity Derivatives Definitions will apply.

A put option gives the holder the right to sell the underlying asset by a certain date for a certain price.

A call option gives the holder the right to buy the underlying asset by a certain date for a certain price.

DEPRECATED value which will be removed in FpML-5-0 onwards A forward contract is an agreement to buy or sell the underlying asset at a certain future time for a certain price.

Option can be exercised on any date up to the expiry date.

Option can be exercised on specified dates up to the expiry date.

Option can only be exercised on the expiry date.

The product of (i) the Break Fee Rate multiplied by (ii) the Equity Notional Amount corresponding to the Early Termination Portion.

The product of (i) the Break Fee Rate multiplied by (ii) the Equity Notional Amount corresponding to the Early Termination Portion multiplied by (iii) the number of days from the Early Termination Date to the later of the Termination Date or the Cash Settlement Payment Date corresponding to the latest Valuation Date.

The product of (i) the Equity Notional Amount corresponding to the Early Termination Portion multiplied by (ii) the Break Funding Rate multiplied by (iii) the number of days from the Early Termination Date to the next scheduled Reset Date divided by (iv) a number equivalent to the denominator of the Day Count Fraction applicable to the Floating Rate Option.

Both Flat Fee and Funding Fee are applicable.

Amortized Fee and Funding Fee are applicable.

The Flat Rate will be the New Worldwide Tanker Nominal Freight Scale for the Freight Index Route for the Trade Date for the transaction.

The Flat Rate for each Pricing Date will be the New Worldwide Tanker Nominal Freight Scale for the Freight Index Route for the Pricing Date..

In respect of the Early Final Valuation Date, the provisions for FPV Close shall apply.

In respect of the Early Final Valuation Date, the provisions for FPV Hedge Execution shall apply.

FRA Discounting per the ISDA Definitions will apply.

FRA discounting per the Australian Financial Markets Association (AFMA) OTC Financial Product Conventions will apply.

No discounting will apply.

Day is the unit of frequency.

TBD

Option exists once the barrier is hit. The trigger rate is out-of-the money in relation to the strike rate.

Option ceases to exist once the barrier is hit. The trigger rate is out-of the-money in relation to the strike rate.

Option exists once the barrier is hit. The trigger rate is in-the money in relation to the strike rate.

Option ceases to exist once the barrier is hit. The trigger rate is in-the money in relation to the strike rate.

Broken/non conventional Tenor Period.

Today Tenor Period.

Tomorrow Tenor Period.

Day after Tomorrow Tenor Period.

Spot Tenor Period.

Day after Spot Tenor period.

Calculation Agent Adjustment

Negotiated Close Out

Cancellation and Payment

Related Exchange Adjustment

Agent bank is making an interest payment based on the lender pro-rata share.

Agent bank is making an interest payment based on the lender position throughout the period.

Interpolation is applicable to the initial period only.

Interpolation is applicable to the initial and final periods only.

Interpolation is applicable to the final period only.

Interpolation is applicable to any non-standard period.

Market Disruption Events are applicable.

Market Disruption Events are not applicable.

The Market Disruption Event(s) are determined by reference to the relevant Master Agreement.

The Market Disruption Event(s) are determined by reference to the relevant Confirmation.

The Calculation Agent has the right to adjust the terms of the trade following a corporate action.

The trade will be adjusted in accordance with any adjustment made by the exchange on which options on the underlying are listed.

The parties may, but are not obliged, to terminate the transaction on mutually acceptable terms and if the terms are not agreed then the transaction continues.

The trade is terminated.

Negative Interest Rate Method. Per 2000 ISDA Definitions, Section 6.4 Negative Interest Rates, paragraphs (b) and (c).

Zero Interest Rate Method. Per 2000 ISDA Definitions, Section 6.4. Negative Interest Rates, paragraphs (d) and (e).

The treatment of any non-cash dividend shall be determined in accordance with the Potential Adjustment Event provisions.

Any non-cash dividend shall be treated as a Declared Cash Equivalent Dividend.

The adjustments to the number of units are governed by an execution clause.

The adjustments to the number of units are governed by a portfolio rebalancing clause.

The adjustments to the number of units are not governed by any specific clause.

ISDA term Payment.

ISDA term Borrowed Money.

ISDA term Reference Obligations Only.

ISDA term Bond.

ISDA term Loan.

ISDA term Bond or Loan.

A put option gives the holder the right to sell the underlying asset by a certain date for a certain price.

A call option gives the holder the right to buy the underlying asset by a certain date for a certain price.

A payer option: If you buy a payer option you have the right but not the obligation to enter into the underlying swap transaction as the fixed rate/price payer and receive float.

A receiver option: If you buy a receiver option you have the right but not the obligation to enter into the underlying swap transaction as the fixed rate/price receiver and pay float.

A straddle strategy.

The party identified as the stream payer.

The party identified as the stream receiver.

If the trigger is hit, the option payout will not be paid now but will be paid on the value date of the original option.

If the trigger is hit, the option payout will be paid immediately (i.e., spot from the payout date).

Payments will occur relative to the first day of each calculation period.

Payments will occur relative to the last day of each calculation period.

Payments will occur relative to the last Pricing Date of each Calculation Period.

Payments will occur relative to the reset date.

Payments will occur relative to the valuation date.

Day.

Week.

Month.

Year.

Day.

Week.

Month.

Year.

Term. The period commencing on the effective date and ending on the termination date. The T period always appears in association with periodMultiplier = 1, and the notation is intended for use in contexts where the interval thus qualified (e.g. accrual period, payment period, reset period, ...) spans the entire term of the trade.

The position originated directly from a trade.

The position originated from an allocation of a block trade.

The position originated from a novation or post-trade transfer.

The position originated from netting or portfolio compression.

The position originated from an exercise of a physically-settled option.

The position is open and has been newly added since the last position report.

The position is open and was present in the last position report.

The position is no longer open, for example because it has matured, was assigned, or was terminated.

Premium is quoted as a percentage of the callCurrencyAmount.

Premium is quoted as a percentage of the putCurrencyAmount.

Premium is quoted in the call currency as a percentage of the put currency.

Premium is quoted in the put currency as a percentage of the call currency.

Premium is quoted as an explicit amount.

TODO

TODO

TODO

TODO

The price is expressed as an absolute amount.>

The price is expressed in percentage of the notional amount.

A put option gives the holder the right to sell the underlying asset by a certain date for a certain price.

A call option gives the holder the right to buy the underlying asset by a certain date for a certain price.

A bid rate.

An ask rate.

A mid-market rate.

If optional early termination is applicable to a swap transaction, the rate, which may be a bid or ask rate, which would result, if seller is in-the-money, in the higher absolute value of the cash settlement amount, or, is seller is out-of-the-money, in the lower absolute value of the cash settlement amount.

A value bid by a buyer for an asset, i.e. the value a buyer is willing to pay.

A value asked by a seller for an asset, i.e. the value at which a seller is willing to sell.

A value midway between the bid and the ask value.

When quotation style is PointsUpFront, the initialPoints element of the feeLeg should be populated.

When quotation style is TradedSpread, the marketFixedRate element of the feeLeg should be populated.

The amount of currency1 for one unit of currency2

The amount of currency2 for one unit of currency1

Bond Equivalent Yield. Per Annex to the 2000 ISDA Definitions (June 2000 Version), Section 7.3. Certain General Definitions Relating to Floating Rate Options, paragraph (g).

Money Market Yield. Per Annex to the 2000 ISDA Definitions (June 2000 Version), Section 7.3. Certain General Definitions Relating to Floating Rate Options, paragraph (h).

For a return on day T, the observed price on T-1 must be in range.

For a return on day T, the observed price on T must be in range.

For a return on day T, the observed prices on both T and T-1 must be in range

Resets will occur relative to the first day of each calculation period.

Resets will occur relative to the last day of each calculation period.

Dividend return swap.

Price return swap.

Total return swap.

Rolls on month end dates irrespective of the length of the month and the previous roll day.

Roll days are determined according to the FRN Convention or Eurodollar Convention as described in ISDA 2000 definitions.

IMM Settlement Dates. The third Wednesday of the (delivery) month.

The last trading day/expiration day of the Canadian Derivatives Exchange (Bourse de Montreal Inc) Three-month Canadian Bankers' Acceptance Futures (Ticker Symbol BAX). The second London banking day prior to the third Wednesday of the contract month. If the determined day is a Bourse or bank holiday in Montreal or Toronto, the last trading day shall be the previous bank business day. Per Canadian Derivatives Exchange BAX contract specification.

The last trading day of the Sydney Futures Exchange 90 Day Bank Accepted Bills Futures contract (see http:www.sfe.com.aucontentsfetradingcon_specs.pdf). One Sydney business day preceding the second Friday of the relevant settlement month.

The last trading day of the Sydney Futures Exchange NZ 90 Day Bank Bill Futures contract (see http:www.sfe.com.aucontentsfetradingcon_specs.pdf). The first Wednesday after the ninth day of the relevant settlement month.

Sydney Futures Exchange 90-Day Bank Accepted Bill Futures Settlement Dates. The second Friday of the (delivery) month.

The roll convention is not required. For example, in the case of a daily calculation frequency.

13-week and 26-week U.S. Treasury Bill Auction Dates. Each Monday except for U.S. (New York) holidays when it will occur on a Tuesday.

Rolls on the 1st day of the month.

Rolls on the 2nd day of the month.

Rolls on the 3rd day of the month.

Rolls on the 4th day of the month.

Rolls on the 4th day of the month.

Rolls on the 6th day of the month.

Rolls on the 7th day of the month.

Rolls on the 8th day of the month.

Rolls on the 9th day of the month.

Rolls on the 10th day of the month.

Rolls on the 11th day of the month.

Rolls on the 12th day of the month.

Rolls on the 13th day of the month.

Rolls on the 14th day of the month.

Rolls on the 15th day of the month.

Rolls on the 16th day of the month.

Rolls on the 17th day of the month.

Rolls on the 18th day of the month.

Rolls on the 19th day of the month.

Rolls on the 20th day of the month.

Rolls on the 21st day of the month.

Rolls on the 22nd day of the month.

Rolls on the 23rd day of the month.

Rolls on the 24th day of the month.

Rolls on the 25th day of the month.

Rolls on the 26th day of the month.

Rolls on the 27th day of the month.

Rolls on the 28th day of the month.

Rolls on the 29th day of the month.

Rolls on the 30th day of the month.

Rolling weekly on a Monday.

Rolling weekly on a Tuesday.

Rolling weekly on a Wednesday.

Rolling weekly on a Thursday.

Rolling weekly on a Friday.

Rolling weekly on a Saturday.

Rolling weekly on a Sunday.

A fractional number will be rounded up to the specified number of decimal places (the precision). For example, 5.21 and 5.25 rounded up to 1 decimal place are 5.3 and 5.3 respectively.

A fractional number will be rounded down to the specified number of decimal places (the precision). For example, 5.29 and 5.25 rounded down to 1 decimal place are 5.2 and 5.2 respectively.

A fractional number will be rounded either up or down to the specified number of decimal places (the precision) depending on its value. For example, 5.24 would be rounded down to 5.2 and 5.25 would be rounded up to 5.3 if a precision of 1 decimal place were specified.

Two-hourly duration applies.

Hourly duration applies.

Half-hourly duration applies.

Quarter-hourly duration applies.

The intrinsic value of the option will be delivered by way of a cash settlement amount determined, (i) by reference to the differential between the strike price and the settlement price; or (ii) in accordance with a bilateral agreement between the parties

The securities underlying the transaction will be delivered by (i) in the case of a call, the seller to the buyer, or (ii) in the case of a put, the buyer to the seller versus a settlement amount equivalent to the strike price per share

Allow Election of either Cash or Physical settlement

The trade continues such that the underlying now consists of the New Shares and/or the Other Consideration, if any, and the proceeds of any redemption, if any, that the holder of the underlying Shares would have been entitled to.

The trade is cancelled and a cancellation fee will be paid by one party to the other.

The trade will be adjusted by the Calculation Agent in accordance with the adjustments made by any exchange on which options on the underlying are listed.

The Calculation Agent will determine what adjustment is required to offset any change to the economics of the trade. If the Calculation Agent cannot achieve this, the trade goes to Cancellation and Payment with the Calculation Agent deciding on the value of the cancellation fee. Adjustments may not be made to account solely for changes in volatility, expected dividends, stock loan rate or liquidity.

The Calculation Agent will determine what adjustment is required to offset any change to the economics of the trade. If the Calculation Agent cannot achieve this, the trade goes to Cancellation and Payment with the Calculation Agent deciding on the value of the cancellation fee. Adjustments to account for changes in volatility, expected dividends, stock loan rate or liquidity are allowed.

Applies to Basket Transactions. The portion of the Basket made up by the affected Share will be cancelled and a cancellation fee will be paid from one party to the other. The remainder of the trade continues.

If this is a Share-for-Combined merger event (Shares are replaced with New Shares and Other Consideration), then different treatment can be applied to each component if the parties have specified this.

The Specified Price shall be the Afternoon fixing reported in or by the relevant Price Source as specified in the relevant Confirmation.

The Specified Price shall be the Ask price reported in or by the relevant Price Source as specified in the relevant Confirmation.

The Specified Price shall be the Bid price reported in or by the relevant Price Source as specified in the relevant Confirmation.

The Specified Price shall be the Closing price reported in or by the relevant Price Source as specified in the relevant Confirmation.

The Specified Price shall be the High price reported in or by the relevant Price Source as specified in the relevant Confirmation.

The Specified Price shall be the Index price reported in or by the relevant Price Source as specified in the relevant Confirmation.

The Specified Price shall be the Average of the Bid and Ask prices reported in or by the relevant Price Source as specified in the relevant Confirmation.

The Specified Price shall be the Low price reported in or by the relevant Price Source as specified in the relevant Confirmation.

The Specified Price shall be the Average of the High and Low prices reported in or by the relevant Price Source as specified in the relevant Confirmation.

The Specified Price shall be the Morning fixing reported in or by the relevant Price Source as specified in the relevant Confirmation.

The Specified Price shall be the Official price reported in or by the relevant Price Source as specified in the relevant Confirmation.

The Specified Price shall be the Opening price reported in or by the relevant Price Source as specified in the relevant Confirmation.

The Specified Price shall be the Official Settlement Price reported in or by the relevant Price Source as specified in the relevant Confirmation.

The Specified Price shall be the Settlement price reported in or by the relevant Price Source as specified in the relevant Confirmation.

The Specified Price shall be the Spot price reported in or by the relevant Price Source as specified in the relevant Confirmation.

The Specified Price shall be the Average of the Midpoint of prices reported in or by the relevant Price Source as specified in the relevant Confirmation.

The Specified Price shall be the volume Weighted Average of prices effective on the Pricing Date reported in or by the relevant Price Source as specified.

This trade will settle using standard pre-determined funds settlement instructions.

This trade is a candidate for settlement netting.

This trade will settle using standard pre-determined funds settlement instructions and is a candidate for settlement netting.

Change in notional to be applied is calculated by multiplying the percentage rate by the initial notional amount.

Change in notional to be applied is calculated by multiplying the percentage rate by the previously outstanding notional amount.

If there is a non regular period remaining it is left shorter than the streams calculation period frequency and placed at the start of the stream

If there is a non regular period remaining it is left shorter than the streams calculation period frequency and placed at the end of the stream

If there is a non regular period remaining it is placed at the start of the stream and combined with the adjacent calculation period to give a long first calculation period

If there is a non regular period remaining it is placed at the end of the stream and combined with the adjacent calculation period to give a long last calculation period

The strike price is an amount of putCurrency per one unit of callCurrency.

The strike price is an amount of callCurrency per one unit of putCurrency.

The official closing time of the exchange on the valuation date.

The official opening time of the exchange on the valuation date.

The time at which the official settlement price is determined.

The time specified in the element equityExpirationTime or valuationTime (as appropriate)

The time at which the official settlement price (following the auction by the exchange) is determined by the exchange.

The official closing time of the derivatives exchange on which a derivative contract is listed on that security underlyer.

The time is determined as provided in the relevant Master Confirmation.

The close of trading on a day would be considered for valuation.

At any time during the Knock Determination period (continuous barrier).

The underlyer price must be equal to or less than the Trigger level.

The underlyer price must be equal to or greater than the Trigger level.

The underlyer price must be equal to the Trigger level.

The underlyer price must be less than the Trigger level.

The underlyer price must be greater than the Trigger level.

The spot rate must have touched the predetermined trigger rate at any time over the life of the option for the payout to occur.

The spot rate has not touched the predetermined trigger rate at any time over the life of the option for the payout to occur.

The spot rate must be greater than or equal to the trigger rate.

The spot rate must be less than or equal to the trigger rate.

Monday

Tuesday

Wednesday

Thursday

Friday

Saturday

Sunday

13-week and 26-week U.S. Treasury Bill Auction Dates. Each Monday except for U.S. (New York) holidays when it will occur on a Tuesday.

A number used primarily for work-related calls. Includes home office numbers used primarily for work purposes.

A number on a mobile telephone or pager that is often or usually used for work-related calls. This type of number can be used for urgent work related business when a work number is not sufficient to contact the person or firm.

A number used primarily for work-related facsimile transmissions.

A number used primarily for nonwork-related calls. (Normally this type of number would be used only as an emergency backup number, not as a regular course of business).