Local Volatility

June 2013 Volatility Swap and Variance Swap Supplement to the 1998 ISDA FX and Currency Option Definitions (the “1998 FX Definitions”) (published on July 3, 2013)

This supplement incorporates terms and a template for a Volatility Swap and a Variance Swap as an amendment to the 1998 FX Definitions and the Annex to the 1998 FX Definitions. Further, this supplement replaces the May 2011 Volatility Swap Supplement to the 1998 ISDA FX and Currency Option Definitions. Any terms originally defined in the 1998 FX Definitions (or a related supplement) which have been amended to accommodate the Volatility Swap and Variance Swap are, for purposes of clarity, black-lined herein to highlight such modifications.

I.

Non-Deliverable Swap FX Transaction terms: (a) ARTICLE 1 – CERTAIN GENERAL DEFINITIONS Article 1 is amended by adding a new Section 1.1(f) as follows: ARTICLE 1 CERTAIN GENERAL DEFINITIONS Section 1.1 Business Day. "Business Day" means for purposes of:

(f) the definition of Observation Date and (for purposes of Non-Deliverable Swap FX Transactions) Valuation Date, (i) the days specified as such in the related Confirmation for purposes of an Observation Date or (if applicable) the Valuation Date, respectively, or (ii) if a place is not so specified, (A) the Business Days on which the Rate Source specified in the related Confirmation is, as of the Trade Date of a Transaction, scheduled to publish spot rates for the Currency Pair or, (B) if such Rate Source is not so specified or is not willing to provide such dates, a day on which commercial banks are open (or, but for the occurrence of any Disruption Event applicable to a Transaction, would have been open) for business (including dealings in foreign exchange in accordance with the market practice of the foreign exchange market) in the Principal Financial Centers of the Currency Pair. Section 1.6 is hereby amended to (1) include Non-Deliverable Swap FX Transactions and (2) replace the following definitions...