Bloomberg SEF LLC 731 Lexington Avenue Tel +1 212 318 2000 

New York, NY 10022 bloombergsef.com 

May 2, 2019 

Submitted via Portal 

Melissa Jurgens 

Office of the Secretariat 

U.S. Commodity Futures Trading Commission 

Three Lafayette Centre 

1155 21st Street, N.W. 

Washington, D.C. 20581 

Re: Bloomberg SEF LLC – Rule Amendment – Amended Rulebook (BSEF-2019-R-05) 

Dear Sir or Madam: 

Pursuant to Section 5c(c) of the Commodity Exchange Act (the “Act”) and Section 40.6(a) of the 

regulations of the U.S. Commodity Futures Trading Commission (the “CFTC”, or the 

“Commission”), Bloomberg SEF LLC (“BSEF”) hereby notifies the Commission that it has 

amended its Rulebook. The amended Rulebook will become effective on May 17, 2019. 

A concise explanation and analysis of the amendments to the Rulebook and their compliance 

with applicable provisions of the Act, including core principles and the Commission’s 

regulations, is attached hereto as Exhibit A. A clean copy of the amended Rulebook is attached 

hereto as Exhibit B, and a copy of the amended Rulebook marked to show changes against the 

version effective as of January 14, 2019 is attached hereto as Exhibit C. 

BSEF hereby certifies that: (i) the amended Rulebook complies with the Act and the 

Commission’s regulations thereunder, and (ii) a notice and copy of this submission is being 

concurrently posted on BSEF’s website. There were no substantive opposing views to the 

amendments to the Rulebook. 
Please contact the undersigned at (212) 617-3918 with any questions regarding this matter. 

Very truly yours, 

Devi Shanmugham 

Chief Compliance Officer 

Bloomberg SEF LLC 

731 Lexington Avenue 

New York, NY 10022 

Enclosures 
B-1 

Exhibit A 

Explanation and Analysis 

Capitalized terms used but not defined herein have the meanings assigned to them in the Rulebook. 

Amendment and Explanation Supporting Rule or Core 

Principle 

Table of Contents 

 Added Rule 1351 (NZD BKBM Fixed-to-Floating 

Swap Contract) 

 Added Rule 1352 (CHF SARON Fixed-to-Floating 

Swap

Additions; conforming 

changes 

Chapter 12 

 Revised Rules 1201-1207, 1209-1220, 1222–1224 and 

1226-1229 to replace the name of the clearing house 

ICE Clear US, Inc. with the name of the clearing 

house ICE Clear Credit LLC. 

 Revised Rules 1201-1207, 1209-1220, 1222–1224 and 

1226-1229 to replace the name of the clearing house 

LCH.Clearnet Ltd with the name of the clearing house 

LCH.Clearnet SA. 

Corrections; additions; Core 

Principle 3 

Chapter 13 

 Revised Rule 1315 to add Chicago Mercantile 

Exchange, Inc. as a clearing house.

 Revised Rule 1318 to add fixed rate, quoting 

convention and minimum increment and Chicago 

Mercantile Exchange, Inc. as a clearing house.

 Revised Rule 1334 to replace the name of the clearing 

house ICE Clear US, Inc. with the name of the 

clearing house ICE Clear Credit LLC.

 Revised Rules 1342, 1347 and 1350 to add Chicago 

Mercantile Exchange, Inc., LCH.Clearnet LLC and 

LCH.Clearnet Ltd. as clearing houses. 

 Added the following newly certified contracts: 

o NZD BKBM Fixed-to-Floating Swap Contract 

o CHF SARON Fixed-to-Floating Swap Contract

Corrections; Core Principle 3 
C 

Exhibit B 

Rulebook (clean) 

[see attached]
600427752 

BLOOMBERG SEF LLC 

RULEBOOK 

MAY 17, 2019 
ii 

CHAPTER 1. DEFINITIONS .........................................................................................................1

CHAPTER 2. SEF GOVERNANCE .............................................................................................13

RULE 201. Board ......................................................................................................................13

RULE 202. [Reserved] ..............................................................................................................14

RULE 203. [Reserved] ..............................................................................................................14

RULE 204. Regulatory Oversight Committee ..........................................................................14

RULE 205. Additional Committees and Panels ........................................................................15

RULE 206. Power of the Board to Review Decisions ..............................................................15

RULE 207. Eligibility ...............................................................................................................15

RULE 208. Officers ..................................................................................................................17

RULE 209. Chief Compliance Officer ......................................................................................17

RULE 210. Conflicts of Interest................................................................................................18

RULE 211. Restrictions on Certain Persons who Possess Material, Non-Public 

Information: Improper Use or Disclosure of Material Non-Public Information ...20

RULE 212. Emergency Rules ...................................................................................................21

RULE 213. Information-Sharing Agreements ..........................................................................22

RULE 214. Regulatory Services Agreement with the Regulatory Services Provider ..............23

CHAPTER 3. PARTICIPANTS ....................................................................................................23

RULE 301. Eligibility Criteria for Becoming a Participant ......................................................23

RULE 302. Authorized Traders ................................................................................................25

RULE 303. Participant Application Process; Termination of Participant .................................26

RULE 304. Trading Privileges of a Participant ........................................................................27

RULE 305. Termination or Limitation of Trading Privileges and Trading Access ..................27

RULE 306. Assessments and Fees ............................................................................................28

RULE 307. Authorized Representatives ...................................................................................28

RULE 308. Recording of Communications ..............................................................................28

RULE 309. Notices to Participants ...........................................................................................28

RULE 310. Communications between BSEF and Participants .................................................29

RULE 311. Application of BSEF Rules and Jurisdiction .........................................................29

RULE 312. Description of Participant’s Status .........................................................................29

RULE 313. Dissolution of Participants .....................................................................................30

RULE 314. Withdrawal of Participant ......................................................................................30

RULE 315. Compliance with the Commodity Exchange Act ...................................................30

RULE 316. Access ....................................................................................................................30

RULE 316.A. ECP Access ............................................................................................................30

RULE 316.B. ISV Access .............................................................................................................30

RULE 317. Direct Market Access .............................................................................................30

RULE 318. Legal Certainty for SEF Trades .............................................................................31

RULE 319. Rights and Responsibilities after Suspension or Termination ...............................31

CHAPTER 4. OBLIGATIONS OF PARTICIPANTS, ACCOUNT MANAGERS, DMA 

CUSTOMERS, AUTHORIZED TRADERS AND SUPERVISED 

PERSONS ..............................................................................................................32
iii 

RULE 401. Duties and Responsibilities ....................................................................................32

RULE 402. Required Disclosures to BSEF...............................................................................33

RULE 403. Inspections by BSEF ..............................................................................................34

RULE 404. Minimum Financial and Related Reporting Requirements ...................................34

RULE 405. Position Liquidation upon Default .........................................................................35

RULE 406. Authority to Impose Restrictions ...........................................................................35

RULE 407. Customers and Accounts ........................................................................................35

RULE 408. Disclosure Requirements; Know Your Counterparty Requirements .....................35

RULE 409. Books and Records ................................................................................................35

RULE 409.A. Participant and Clearing Member Books and Records ..........................................35

RULE 409.B. BSEF Books and Records ......................................................................................37

RULE 410. Responsibility for Mandatory Trading ...................................................................37

RULE 411. Eligibility for Clearing Exempt Transactions ........................................................37

CHAPTER 5. TRADING PRACTICES, REPORTING, CLEARING AND BUSINESS 

CONDUCT ............................................................................................................37

RULE 501. Scope ......................................................................................................................37

RULE 502. Procedures ..............................................................................................................37

RULE 503. Business Days and Trading Hours .........................................................................38

RULE 504. Rule Violations ......................................................................................................38

RULE 505. Fraudulent Acts ......................................................................................................38

RULE 506. Fictitious, Wash or Pre-Arranged Transactions .....................................................39

RULE 507. Pre-Execution Communications ............................................................................39

RULE 508.A Price Manipulation .................................................................................................39

RULE 508.B Disruptive Practices ...............................................................................................39

RULE 509. Prohibition of Misstatements .................................................................................39

RULE 510. Acts Detrimental to Welfare of SEF ......................................................................40

RULE 511. Adherence to Law ..................................................................................................40

RULE 512. Use of Trading Privileges ......................................................................................40

RULE 513. Supervision ............................................................................................................40

RULE 514. Misuse of the SEF Platform ...................................................................................40

RULE 515. Mishandling of Customer Orders...........................................................................41

RULE 516. Trade Cancellation, Correction, Offset and Adjustment .......................................41

RULE 516.A Trade Review and Notification of Action Taken – Cleared Swaps .......................41

RULE 516.B Error Trade Cancellation, Correction, Adjustment and Offset – Cleared 

Swaps .....................................................................................................................42

RULE 516.C Erroneous Trade Cancellation, Correction and Adjustment – Non-Cleared 

Swaps .....................................................................................................................44

RULE 516.D Prime Broker Trades ..............................................................................................44

RULE 516.E Trade Cancellation and Adjustment by BSEF .......................................................45

RULE 516.F Trade Reporting by BSEF ......................................................................................45

RULE 517. Withholding Orders Prohibited ..............................................................................45

RULE 518. Priority of Customers’ Orders ................................................................................45

RULE 519. Trading Against Customers’ Orders Prohibited ....................................................46

RULE 519.A. General Prohibition ................................................................................................46

RULE 519.B. Exceptions ..............................................................................................................46
iv 

RULE 520. Disclosing Orders Prohibited .................................................................................46

RULE 521. Simultaneous Buy And Sell Orders For Different Beneficial Owners ..................46

RULE 522. Execution of Orders on the SEF Platform .............................................................46

RULE 522.A. Required Transactions ...........................................................................................46

RULE 522.B. Permitted Transactions ..........................................................................................47

RULE 522.C. Package Transactions .............................................................................................47

RULE 522.D. Execution of Swaps Subject to the Clearing Exemption .......................................48

RULE 522.E. Block Trades ..........................................................................................................48

RULE 523. Trade Confirmations ..............................................................................................48

RULE 524. Order Entry Requirements .....................................................................................50

RULE 524.A. General ...................................................................................................................50

RULE 524.B. Customer Type Indicator (CTI) Codes ..................................................................51

RULE 524.C. Pre-Arranged Transactions ....................................................................................51

RULE 525. Position Limits .......................................................................................................51

RULE 526. Exemptions from Position Limits ..........................................................................52

RULE 527. Position Accountability ..........................................................................................52

RULE 528. Bunched Orders and Orders Eligible for Post-Execution Allocation ....................52

RULE 529. Orders Entered Prior to SEF Opening ...................................................................53

RULE 530. Identification of Authorized Traders .....................................................................53

RULE 531. Pre-Arranged Transactions ....................................................................................53

RULE 531.A. Block Trades ..........................................................................................................53

RULE 531.B. Trade Correction ....................................................................................................54

RULE 531.C. Covered Package Transactions ..............................................................................54

RULE 532. Reporting to SDR ...................................................................................................55

RULE 533. Cleared Swaps ........................................................................................................55

RULE 534. Non-Cleared Swaps ...............................................................................................56

RULE 535. Risk Controls .........................................................................................................56

CHAPTER 6. DISCIPLINARY RULES .......................................................................................57

RULE 601. General ...................................................................................................................57

RULE 602. Inquiries and Investigation .....................................................................................58

RULE 603. Investigative Reports .............................................................................................59

RULE 604. Warning Letters .....................................................................................................59

RULE 605. Review of Investigation Reports ............................................................................59

RULE 606. [Reserved] ..............................................................................................................61

RULE 607. Notice of Charges ..................................................................................................61

RULE 608. Service of Notice of Charges .................................................................................61

RULE 609. Answer to Notice of Charges .................................................................................61

RULE 610. Admission or Failure to Deny ................................................................................62

RULE 611. Denial of Charges and Right to a Hearing .............................................................62

RULE 612. Settlements .............................................................................................................62

RULE 613. Disciplinary Panel ..................................................................................................64

RULE 614. Convening Disciplinary Proceeding Hearings .......................................................64

RULE 615. Respondent Review of Evidence ...........................................................................65

RULE 616. Conducting Disciplinary Proceeding Hearings ......................................................66

RULE 617. Decision of Disciplinary Panel ..............................................................................67
v 

RULE 618. Sanctions ................................................................................................................68

RULE 619. Costs .......................................................................................................................69

RULE 620. Right to Appeal Disciplinary Panel Decision, Summary Impositions of Fines 

and Other Summary Actions ..................................................................................69

RULE 621. Summary Imposition of Fines ................................................................................71

RULE 622. Hearings Involving BSEF-Affiliated Trading Entities ..........................................72

RULE 623. [Reserved] ..............................................................................................................73

RULE 624. Notice to the Respondent, the Regulatory Services Provider and the Public ........73

CHAPTER 7. ARBITRATION .....................................................................................................73

RULE 701. General ...................................................................................................................73

RULE 702. Forum and Arbitration Rules .................................................................................73

RULE 703. Initiating an Arbitration Claim...............................................................................74

RULE 704. Claims Relating to Trade Cancelations or Price Adjustments ...............................74

RULE 705. Penalties .................................................................................................................74

CHAPTER 8. MISCELLANEOUS ...............................................................................................74

RULE 801. Anti-Money Laundering and Anti-Terrorism ........................................................74

RULE 802. Gifts and Gratuities ................................................................................................74

RULE 803. Market Data ...........................................................................................................74

RULE 804. Prohibited Use of Data Collected for Regulatory Purposes ...................................75

RULE 805. Confidentiality .......................................................................................................75

RULE 806. Extension or Waiver of BSEF Rules .....................................................................76

RULE 807. Effect of Amendment, Repeal or New Rule ..........................................................76

RULE 808. Swap Contract Specifications ................................................................................76

RULE 809. Timely Publication of Trading Information ...........................................................77

RULE 810. Governing Law, Jurisdiction and Dispute Resolution ...........................................77

CHAPTER 9. LIMITATION OF LIABILITY, NO WARRANTIES ...........................................78

RULE 901. LIMITATION OF LIABILITY, NO WARRANTIES ..........................................78

RULE 902. Indemnification by BSEF ......................................................................................81

CHAPTER 10. [RESERVED] .......................................................................................................81

CHAPTER 11. [RESERVED] .......................................................................................................81

CHAPTER 12. CREDIT CONTRACTS TERMS AND CONDITIONS ......................................82

RULE 1201. CDS Index Contract – North America High Yield ................................................82

RULE 1202. CDS Index Contract – North America Investment Grade .....................................83

RULE 1203. CDS Index Contract – CDX Emerging Markets ....................................................84

RULE 1204. CDS Index Contract – Europe ...............................................................................85

RULE 1205. CDS Index Contract – Europe Crossover ..............................................................86

RULE 1206. CDS Index Contract – Europe HiVol ....................................................................87

RULE 1207. CDS Index Contract – iTraxx Europe Senior Financial ........................................88
vi 

RULE 1208. CDS Index Contract – iTraxx SovX Western Europe ...........................................89

RULE 1209. CDS Index Contract – iTraxx Europe Subordinated Financial .............................90

RULE 1210. CDS Index Contract – iTraxx Japan ......................................................................91

RULE 1211. CDS Index Contract – iTraxx Australia .................................................................92

RULE 1212. MAT CDS Index Contracts – North America Investment Grade 5Y ....................93

RULE 1213. MAT CDS Index Contract – North America High Yield 5Y ................................94

RULE 1214. MAT CDS Index Contract –iTraxx Europe 5Y .....................................................95

RULE 1215. MAT CDS Index Contract –iTraxx Europe Crossover 5Y ....................................96

RULE 1216. Option – CDS Index Contract CDX North America High Yield ..........................97

RULE 1217. Option – CDS Index Contract CDX North America Investment Grade ................98

RULE 1218. Option – CDS Index Contract – CDX Emerging Markets ....................................99

RULE 1219. Option – CDS Index Contract – iTraxx Europe ...................................................100

RULE 1220. Option – CDS Index Contract – iTraxx Europe Crossover .................................101

RULE 1221. Option – CDS Index Contract – iTraxx Europe HiVol ........................................102

RULE 1222. CDS Index Contract – iTraxx Corp CEEMEA ....................................................103

RULE 1223. CDS Index Contract – LCDX ..............................................................................104

RULE 1224. CDS Index Contract – MCDX .............................................................................105

RULE 1225. Option – CDS Index Contract – iTraxx SovX Western Europe ..........................106

RULE 1226. Option – CDS Index Contract – LCDX ...............................................................107

RULE 1227. Option – CDS Index Contract – MCDX ..............................................................108

RULE 1228. CDS Index Contract – iTraxx Asia Ex-Japan ......................................................109

RULE 1229. CDS Index Contract – iTraxx Europe Non-Financial ..........................................110

CHAPTER 13. RATES CONTRACTS TERMS AND CONDITIONS .....................................111

RULE 1301. AUD BBR-BBSW Fixed-to-Floating Swap Contract .........................................111

RULE 1302. [Reserved] ............................................................................................................112

RULE 1303. EUR Euribor Fixed-to-Floating Swap Contract* ................................................113

RULE 1304. [Reserved] ............................................................................................................114

RULE 1305. [Reserved] ............................................................................................................114

RULE 1306. [Reserved] ............................................................................................................114

RULE 1307. EUR OIS Eonia Fixed-to-Floating Swap Contract ..............................................115

RULE 1308. USD OIS Fed Funds Fixed-to-Floating Swap Contract ......................................116

RULE 1309. CHF LIBOR Fixed-to-Floating Swap Contract ...................................................117

RULE 1310. GBP LIBOR Fixed-to-Floating Swap Contract* .................................................118

RULE 1311. GBP Basis Swap Contract ...................................................................................119

RULE 1312. JPY LIBOR (6M) Fixed-to-Floating Swap Contract ...........................................120

RULE 1313. [Reserved] ............................................................................................................121

RULE 1314. USD LIBOR Fixed-to-Floating Swap Contract* .................................................122

RULE 1315. USD Basis Swap Contract ...................................................................................123

RULE 1316. [Reserved] ............................................................................................................124

RULE 1317. SEK STIBOR (3M) Fixed-to-Floating Swap Contract ........................................125

RULE 1318. USD SOFR OIS Fixed-to-Floating Swap Contract .............................................126

RULE 1319. [Reserved] ............................................................................................................127

RULE 1320. [Reserved] ............................................................................................................127

RULE 1321. [Reserved] ............................................................................................................127

RULE 1322. [Reserved] ............................................................................................................127
vii 

RULE 1323. [Reserved] ............................................................................................................127

RULE 1324. [Reserved] ............................................................................................................127

RULE 1325. [Reserved] ............................................................................................................127

RULE 1326. [Reserved] ............................................................................................................127

RULE 1327. CAD CDOR CBA (3M) Fixed-to-Floating Swap Contract .................................128

RULE 1328. Interest Rate MXN TIIE (28D) Fixed-To-Floating Swap Contract .....................129

RULE 1329. [Reserved] ............................................................................................................130

RULE 1330. [Reserved] ............................................................................................................130

RULE 1331. AUD OIS RBACOR Fixed-to-Floating Swap Contract ......................................131

RULE 1332. [Reserved] ............................................................................................................132

RULE 1333. GBP OIS SONIA Fixed-to-Floating Swap Contract ...........................................133

RULE 1334. Option – USD LIBOR Fixed-to-Floating Swap Contract ....................................134

RULE 1335. NOK NIBOR Fixed-to-Floating Swap Contract ..................................................135

RULE 1336. DKK CIBOR Fixed-to-Floating Swap Contract ..................................................136

RULE 1337. HKD HIBOR Fixed-to-Floating Swap Contract ..................................................137

RULE 1338. PLN WIBOR Fixed-to-Floating Swap Contract ..................................................138

RULE 1339. ZAR JIBAR Fixed-to-Floating Swap Contract....................................................139

RULE 1340. SGD SIBOR Fixed-to-Floating Swap Contract ...................................................140

RULE 1341. HUF BUBOR Fixed-to-Floating Swap Contract .................................................141

RULE 1342. KRW South Korean Won 3 Month Certificate of Deposit Fixed-to-Floating 

Swap Contract ......................................................................................................142

RULE 1343. CZK PRIBOR Fixed-to-Floating Swap Contract ................................................143

RULE 1344. CLP Indice Cámara Promedio Rate Fixed-to-Floating Swap Contract ...............144

RULE 1345. MYR KLIBOR Fixed-to-Floating Swap Contract ...............................................145

RULE 1346. TWD TAIBOR Fixed-to-Floating Swap Contract ...............................................146

RULE 1347. INR OIS FBIL MIBOR Fixed-to-Floating Swap Contract ..................................147

RULE 1348. BRL Brazilian Interfinancial Offered Rate (1D) Zero Coupon Fixed-toFloating Swap Contract ........................................................................................148

RULE 1349. THB Thai Baht Interest Rate Fixing (6M) Fixed-to-Floating Swap Contract .....149

RULE 1350. CNY China Fixing Repo (7D) Rate Fixed-to-Floating Swap Contract ...............150

RULE 1351. NZD BKBM Fixed-to-Floating Swap Contract ...................................................151

RULE 1352. CHF SARON Fixed-to-Floating Swap Contract .................................................152

CHAPTER 14. FOREIGN EXCHANGE CONTRACTS TERMS AND CONDITIONS ..........153

RULE 1401. Foreign Exchange Contract – Non-Deliverable Forward ....................................153

RULE 1402. Foreign Exchange Contract – Vanilla FX Option ................................................159

RULE 1403. Foreign Exchange Contract – Exotic FX Option .................................................161

RULE 1404. Foreign Exchange Contract – Precious Metals Swaps ........................................163

RULE 1405. Foreign Exchange Contract – Average Rate Forward .........................................165

RULE 1406. Foreign Exchange Contract – ARS Non-Deliverable Forward ...........................167

RULE 1407. Foreign Exchange Contract – KES Non-Deliverable Forward ............................169

Annex A ISDA Dodd Frank Act-Swap Transaction Reporting Party Requirements 
1 

CHAPTER 1. DEFINITIONS 

When used in the Bloomberg BSEF Rules the following terms shall have the respective 

meanings as follows: 

“Account” means a Person (including a Prime Broker) that (i) granted in 

Writing (standalone or as part of a broader instrument) to an Account 

Manager investment or trading authority to send RFQs, place Orders and 

execute Trades on the SEF on behalf and in the name of such Person; and 

(ii) is a Counterparty to a Trade. The definition of “Account” shall not 

include any investor, shareholder or any other Person with beneficial 

ownership in the Account. 

“Account Manager” means a Person that acts as an agent and attorney-infact to buy or sell Swaps via the SEF operated by BSEF in the name and 

on behalf of another Person. An Account Manager may also be a 

Participant. 

“Act” or “CEA” means the Commodity Exchange Act, as amended from 

time to time. 

“Affected Person” means a SEF applicant whose admission application is 

declined or is conditioned or a Person whose status as a Participant is 

terminated as set forth in Rule 303(e). 

“Affiliate” means, with respect to any Person, any Person who, directly or 

indirectly, Controls, is Controlled by, or is under common Control with, 

such other Person. 

“Alleged Error Trade” has the meaning set forth in Rule 516.A(a). 

“Appeals Panel” means a panel appointed by the Chief Compliance 

Officer pursuant to Rule 620. 

“Applicable Law” means, with respect to any Person, any statute, law, 

regulation, rule or ordinance of any governmental or Self-Regulatory 

Organization applicable to such Person, including the CEA and CFTC 

Regulations. 

“Appropriate Minimum Block Size” means the minimum notional or 

principal amount for a category of Swap that qualifies as a Block Trade 

pursuant to CFTC Regulation 43.6.

“Authorized Representative” means any Person who is authorized by a 

Participant to represent the Participant in SEF matters pursuant to Rule 

307. 

“Authorized Trader” means any natural person associated with a 

Participant and, if applicable, a DMA Customer who (i) has Trading 
2 

Access to the SEF operated by BSEF using a Participant ID and (ii) is 

assigned a valid Trader ID. 

“Block Trade” means a single Swap transaction publicly reportable under 

Part 43 of the CFTC Regulations that: 

(a) Involves a Swap that is listed on BSEF; 

(b) Occurs away from the SEF Platform or is executed pursuant to 

Rule 522.E.; 

(c) Has a notional or principal amount at or above the Appropriate 

Minimum Block Size applicable to such Swap; and 

(d) Is (i) executed in accordance with Rule 522.E; or (ii) reported to 

BSEF as provided in Rule 531.A. 

“Board” means the Board of Directors of BSEF constituted from time to 

time in accordance with the Operating Agreement. 

“BSEF” means Bloomberg SEF LLC, a Delaware limited liability 

company. 

“Bunched Orders” means a single Order placed by an Account Manager 

for two or more of its Accounts on the SEF operated by BSEF pursuant to 

Rule 528. 

“Business Day” means a day on which the SEF operated by BSEF is open 

for trading. 

“By-Laws” means, with respect to any Person that is not an individual, the 

By-Laws or Operating Agreement of such Person, and, if no other Person 

is specified, means the By-Laws or Operating Agreement of BSEF. 

“CFTC” or “Commission” means the Commodity Futures Trading 

Commission or any successor regulatory body. 

“CFTC Regulations” means the rules and regulations promulgated by the 

CFTC, as amended. 

“Chief Compliance Officer” means the individual appointed by the 

Board as BSEF’s chief compliance officer in accordance with the 

Operating Agreement, with the duties and responsibilities as may be 

prescribed by the Board from time to time as set forth in Rule 208. 

“Claim” has the meaning set forth in Rule 902. 

“Chief Technology Officer” means the individual with the duties and 

responsibilities related to supervision of technology of the SEF operated 

by BSEF. 
3 

“Cleared Swap” means a Swap that is subject to the mandatory clearing 

requirement of Section 2(h)(1)(A) of the CEA or any Swap that is 

intended by a Participant to be submitted to a DCO for clearing 

contemporaneously with execution. 

“Clearing Exception” means an exception from the clearing requirement 

set forth in Section 2(h)(1) of the Act because one counterparty to the 

transaction is entitled to the exception from the clearing requirement set 

forth in Section 2(h)(7) of the Act, CFTC Regulations or CFTC Staff NoAction Letters.

“Clearing Exception Form” has the meaning set forth in Rule 411. 

“Clearing Exempt Transaction” means a Trade exempt from the 

clearing requirement of Section 2(h)(1) of the Act because one 

Counterparty to the Trade is entitled to and has elected to use a Clearing 

Exception. 

“Clearing House” means such Derivatives Clearing Organization(s) or 

non-U.S. central clearing counterparty(ies) recognized or approved by the 

CFTC that provide clearing services with respect to any or all of Swaps 

traded on the SEF operated by BSEF. 

“Clearing House Rules” means the Certificate of Incorporation, the ByLaws and any rule, interpretation, stated policy, or instrument 

corresponding to any of the foregoing, in each case as adopted or amended 

from time to time by the Clearing House relating to any or all of the 

Swaps. 

“Clearing Member” means a member of a Clearing House that is 

authorized to clear trades in any or all Swaps for a Participant or its 

Accounts or Customers. Each Clearing Member must sign documentation 

required by BSEF. 

“Client” means an Account. 

“CLOB” means an Order Book that will match Orders pursuant to pre-determined, nondiscretionary methods. All bids and offers entered into the CLOB must be firm. The 

CLOB supports the following order types: 

(a) Market Order (Fill_Or_Kill; Immediate_or_Cancel) 

(b) Limit Order (Fill_Or_Kill; Immediate_Or_Cancel; Good_Til_Date/Time). 

 

“Compliance Department” means all SEF Officials and/or agents of 

BSEF (including the Regulatory Services Provider) that assist BSEF with 

the implementation, surveillance and enforcement of the BSEF Rules and 

other Obligations. 
4 

“Confirmation” has the meaning set forth in Rule 523(a). 

“Control” means the possession, direct or indirect, of the power to direct 

or cause the direction of the management and policies of a Person, 

whether through the ownership of securities, by Swap, or otherwise. The 

terms “controlling” or “controlled” shall have meanings correlative to the 

foregoing. 

“Counterparty” means a Participant or a Participant’s Account or 

Customer whose Legal Entity Identifier is reported by BSEF to an SDR as 

a counterparty to a Trade. 

“Covered Package Transaction” means a Package Transaction that has 

at least one or more of the following components: 

a. a new issue bond (until November 15, 2020) 

b. a future (until November 15, 2020) 

c. an uncleared swap (as defined in Section 1a(47) of the CEA) (until 

November 15, 2020) 

d. a non-swap (as defined in Section 1a(47) of the CEA) instrument 

other than an instrument listed in subsections a or b above or a 

Treasury bond (until November 15, 2020); or 

e. a security-based swap (as defined in Section 1a(42) of the CEA) or 

a mixed swap (as defined in Section 1a(47)(D) of the CEA) (until 

November 15, 2020). 

“CTI” has the meaning set forth in Rule 524.B. 

“Customer” means any Person who uses an FCM or Introducing Broker 

as agent in connection with trading in any Swap on the SEF operated by 

BSEF. The term “Customer” shall include a DMA Customer. 

“Customer Account” means an account carried by a Participant on behalf 

of a Customer.

“Daily Settlement Price” means the settlement price for a Swap 

calculated each Business Day by or on behalf of BSEF. The Daily 

Settlement Price can be expressed in currency, spread, yield or any other 

appropriate measure commonly used in swap markets. 

“DCM” means a contract market or designated contract market as defined 

in CFTC Regulation 1.3(h). 

“Derivatives Clearing Organization” or “DCO” has the meaning 

attributed to such term by Section 1a(9) of the CEA. 
5 

“Direct Market Access” or “DMA” means an arrangement among a 

Sponsoring Broker, its Customer and BSEF that allows one or more 

representatives of that Customer to have Trading Access using the 

Participant ID of the Sponsoring Broker. 

“Director” means a member of the Board. 

“Disciplinary Panel” means the panel appointed pursuant to Rule 613(b) 

to conduct hearings in connection with disciplinary proceedings (other 

than summary impositions of fines pursuant to Rule 601(b)), to make 

findings, render decisions, and impose sanctions pursuant to Chapter 6 of 

the Rules. The Disciplinary Panel must meet the composition 

requirements set forth in Part 40 of the CFTC Regulations and the 

composition requirements set forth in Rule 613(b). 

“Disclosed Order Book” means a screen on the SEF Platform where 

Participants have the ability to enter multiple indicative, disclosed bids 

and offers in foreign exchange and commodity Swaps, observe or receive 

bids and offers entered by other market participants, and transact on such 

bids and offers. 

“Dispute” has the meaning set forth in Rule 701. 

“DMA Customer” means a Customer of a Sponsoring Broker where 

representatives of the Customer that are natural persons are designated by 

the Sponsoring Broker to have Trading Access to the SEF Platform using 

the Participant ID of the Sponsoring Broker and where such Customer 

signs the DMA Customer Documentation. 

“DMA Customer Documentation” means the agreements (together with 

any applicable schedules, exhibits or appendices thereto required by BSEF) 

in form and substance acceptable to BSEF, that are required to be 

executed and delivered to BSEF before a DMA Customer may access the 

SEF Platform. Except as otherwise provided in these Rules, in the event 

of any conflict between these Rules and the DMA Customer 

Documentation, these Rules shall govern. 

“DMA Order” means an Order or RFQ placed by a DMA Customer using 

the Participant ID of the Sponsoring Broker. 

“ECP” means an eligible contract participant as defined in Section 1a(18) 

of the CEA. 

“Eligibility Criteria” means the criteria set forth in Rule 301(a). 

“Emergency” means any occurrence or circumstance that, in the opinion 

of the Board, or a Person or Persons duly authorized to issue such an 

opinion on behalf of the Board under circumstances and pursuant to 

procedures that are specified, requires immediate action and threatens or 
6 

may threaten such things as the fair and orderly trading in, or the 

liquidation of or delivery pursuant to, any agreements, contracts, swaps or 

transactions or the timely collection and payment of funds in connection 

with clearing and settlement by a derivatives clearing organization, 

including: (a) any manipulative or attempted manipulative activity; (b) any 

actual, attempted or threatened corner, squeeze, congestion or undue 

concentration of positions; (c) any circumstances which may materially 

affect the performance of agreements, contracts, swaps or transactions, 

including failure of the payment system or the bankruptcy or insolvency of 

any participant; (d) any action taken by any governmental body, or any 

other registered entity, board of trade, market or facility which may have a 

direct impact on trading or clearing and settlement; (e) at the request of the 

CFTC; and (f) any other circumstance which may have a severe, adverse 

effect upon the functioning of BSEF. 

“Emergency Rules” has the meaning set forth in Rule 212(a). 

“End of Trading” means such time as BSEF may from time to time 

prescribe. The End of Trading is the time as of which such actions as are 

specified in the BSEF Rules or the relevant Swap Specifications as taking 

place at the end of a Business Day, such as determination Daily Settlement 

Prices, will occur. 

“Error Trade” has the meaning set forth in Rule 516.A(b). 

“Fill-Or-Kill” means that the Order must be immediately filled 

completely or canceled. 

“Financial Entity” has the meaning set forth in CEA Section 2(h)(7)(C). 

“Futures Commission Merchant” or “FCM” has the meaning set forth 

in Section 1a(28) of the CEA. 

“Good-til-Date/Time” means that the Order has an expiration time and 

date. 

“Governmental Body” means (a) any U.S. or non-U.S. federal, national, 

state or local court or (b) any U.S. or non-U.S. federal, national, state or 

local entity that is (i) a governmental authority, (ii) a regulatory body or 

(iii) a self-regulatory body. 

“Immediate-Or-Cancel” means that the Order may be filled partially, but 

the Order must be actioned immediately, or else canceled. Any remaining 

portion will be canceled. 

“Interested Person” has the meaning attributed to such term in Rule 

210(a). 

“Introducing Broker” has the meaning set forth in CFTC Regulation 

1.3(mm). 
7 

“ISDA” means the International Swaps and Derivatives Association, Inc. 

“ISV” means an independent software vendor. 

“Legal Entity Identifier” has the meaning set forth in Part 45 of the 

 CFTC Regulations. 

“Local Law” has the meaning attributed to such term in Rule 810(a). 

“Major Swap Participant” has the meaning set forth in Section 1a(33) 

 of the CEA. 

“Manual Order Ticket” means a function provided by BSEF that allows 

a Participant to send a firm offer to enter into a Permitted Transaction to 

another Participant. 

“MAT Recipient Participant” shall have the meaning set forth in Rule 

522.A(b). 

“NFA” means the National Futures Association. 

“No-Bust Range” shall have the meaning set forth in Rule 535(c). 

“Non-Cleared Swap” means a Swap that is not a Cleared Swap. 

“Non-Cleared Swap Agreement” means an underlying previouslynegotiated freestanding agreement that governs the performance and 

settlement of a Non-Cleared Swap and applicable credit support and 

default provisions, including, without limitation, ISDA master agreements, 

other master agreements, terms supplements and master confirmation 

agreements incorporating industry definitions. 

“Notice of Charges” means a notice sent by the Compliance Department 

pursuant to Rule 607. 

“Notice to Participants” means a communication sent by or on behalf of 

BSEF to all Participants as described in Rule 310. 

“Obligation” means each BSEF Rule, order or procedure issued by BSEF, 

including Notice to Participants, and other requirement implemented by 

BSEF under the BSEF Rules. 

“Officer” has the meaning attributed to such term in Rule 208. 

“Operating Agreement” means the operating agreement of BSEF. 

“Order” means (i) a response to a Request For Quote, (ii) a response to a 

Resting Quote, (iii) the display of a quote on an Order Book or (iv) a firm 

offer to enter into a Swap. 
8 

“Order Book” means the trading system or platform operated by BSEF in which all 

market participants in the trading system or platform have the ability to enter multiple 

bids and offers, observe or receive bids and offers entered by other market participants, 

and transact on such bids and offers. A Participant must indicate if a bid or offer posted 

on an Order Book is firm or indicative. 

“Package Transaction” means a transaction involving two or more 

instruments: 

(a) that is executed between two or more Counterparties; 

(b) that is priced or quoted as one economic transaction with 

simultaneous or near simultaneous execution of all components; 

(c) that has at least one component that is a Required Transaction; and 

(d) where the execution of each component is contingent upon the 

execution of all other components. 

“Participant” means any Person that has been granted, and continues to 

have, Trading Privileges under the BSEF Rules and has signed the 

Participant Documentation or DMA Customer Documentation. Subject to 

Applicable Law, a Participant may trade for its own proprietary account or 

for or on behalf of a Customer or Account. An ISV cannot be a 

Participant. 

“Participant Documentation” means the agreements (together with any 

applicable schedules, exhibits or appendices thereto required by BSEF) in 

form and substance acceptable to BSEF, that are required to be executed 

and delivered to BSEF before a Person may access the SEF operated by 

BSEF as a Participant. Participant Documentation shall not include DMA 

Customer Documentation. 

“Participant ID” means each unique identifier assigned to a Participant 

other than a DMA Customer by BSEF for access to the SEF operated by 

BSEF. 

“Permitted Transaction” means any transaction involving (i) a Swap that 

is not a Required Transaction or (ii) a Required Transaction that is a 

component of a Covered Package Transaction. 

“Person” means a natural person or an entity. 

“Pre-Execution Communication” means a communication between two 

Persons for the purpose of discerning interest in the execution of a Swap 

prior to execution of the Swap on the SEF operated by BSEF, including 

any communication that involves discussion of the size, side of market, or 

price of an Order or a potentially forthcoming Order; provided that any 

communication between two Persons that involves an agreement between 
9 

the parties to a Swap that legally binds the parties to such Swap shall not 

be considered a Pre-Execution Communication. 

“President” means the individual appointed by the Board as BSEF’s chief 

executive officer in accordance with the Operating Agreement, with the 

duties and responsibilities as may be prescribed by the Board from time to 

time as set forth in Rule 208. 

“Prime Broker” means a Person that acts as credit counterparty for 

transactions executed on the SEF in the name and on behalf of such 

Person by its client or an agent of its client that is a BSEF Participant and 

that has authorized a Participant to send RFQs, place Orders or enter into 

Trades in the name and on behalf of such Person. 

“Prime Broker Trade” means a Trade in a Non-Cleared Swap where one 

Counterparty is a Prime Broker and the other is a Participant with which the 

Prime Broker has a Non-Cleared Swap Agreement. Only a Permitted Transaction 

can be a Prime Broker Trade. 

“Proprietary Account” has the meaning set forth in 

CFTC Regulation 1.3(y). 

“Public Director” means a Person that meets the qualifications described 

in Rule 207(e). 

“Qualified Account Manager” means any Person with more than $25,000,000 in 

total assets under management that is either: (A) a commodity trading advisor 

registered pursuant to Section 4n of the Act, or exempt from registration under the 

Act, or a principal thereof, who has discretionary trading authority or directs 

client accounts; (B) an investment adviser who has discretionary trading authority 

or directs client accounts and satisfies the criteria of CFTC Regulations § 

4.7(a)(2)(v); or (C) a foreign person who performs a similar role or function as the 

persons described in sub-paragraphs (A) or (B) above and is subject as such to 

foreign regulation. 

“Regulatory Oversight Committee” means the committee of the Board 

constituted in accordance with Rule 204. 

“Regulatory Services Agreement” means the agreement between BSEF 

and the Regulatory Services Provider whereby the Regulatory Services 

Provider provides market surveillance and trade practice surveillance 

functions as well as other compliance related services to the SEF operated 

by BSEF. 

“Regulatory Services Provider” means the organization which provides 

regulatory services to BSEF pursuant to a Regulatory Services Agreement. 

“Reporting Counterparty” has the meaning set forth in Part 45 of the CFTC 

 Regulations. 
10 

“Reserve Price” means an Order that will be automatically sent to the 

recipient Participant that responds with a price that is at or better than the 

price designated in advance by the Requesting Participant. This order type 

is available for rate Swaps. 

“Request for Quote” or “RFQ” means an electronic message 

disseminated on the SEF Platform for the purposes of soliciting bids or 

offers for a specific Swap. 

“Request for Quote Functionality” means a functionality of the SEF 

Platform that allows a Requesting Participant to send an RFQ to buy or 

sell a Swap to any Participant, to which all such Participants may respond 

with a firm or indicative quote. An RFQ can be sent as a request for quote 

or as a request for streaming quote. All RFQs and responses to RFQs will 

disclose the name of the Person with which the Authorized Trader who 

placed an Order or sent an RFQ is associated in BSEF records. The 

Requesting Participant may accept a firm response to a request for quote 

from a recipient Participant. For requests for non-streaming quotes in 

credit Swaps, the Requesting Participant’s Order may be filled at the price 

the Requesting Participant accepted or at the subsequent price from the 

same recipient Participant if the subsequent price is more favorable to the 

Requesting Participant compared to responses to such request for quote 

from other recipient Participants received by the Requesting Participant 

during the same request for quote session. 

The Reserve Price order type is available for Request for Quote 

Functionality for requests for non-streaming quotes. 

“Requesting Participant” means a Participant initiating an RFQ. 

“Required Transaction” means any transaction involving a Swap that is 

subject to the trade execution requirement of Section 2(h)(8) of the Act. 

“Resting Quote” means any firm or indicative bid or offer displayed on 

an Order Book. 

“Rules” means, with respect to any Person, the rules of such Person and 

the interpretations, resolutions, orders, directives and procedures of the 

Person thereunder as in effect from time to time, and if no other Person is 

specified, means the Rules of the SEF operated by BSEF and the 

interpretations, resolutions, orders and directives and procedures of the 

SEF operated by BSEF thereunder as in effect from time to time. 

“SDR” means a swap data repository, as defined in Section 1a(48) of the 

CEA. 

“SEC” means the U.S. Securities and Exchange Commission. 
11 

“SEF” means a swap execution facility as defined in Section 1a(50) of the 

CEA. 

“SEF Action” and “SEF Actions” have the meanings attributed to such 

terms in Rule 210(a). 

“SEF Data” has meaning set forth in Rule 803(a). 

“SEF Activity” means business for which a Participant is subject to the 

BSEF Rules, which is purportedly conducted subject to the BSEF Rules, 

or which should have been conducted subject to the BSEF Rules including 

Permitted Transactions and Block Trades.

“SEF Official” means any Director or Officer of, or individual employed 

directly by, BSEF, the Regulatory Services Provider or any individual 

rendering similar services to BSEF under an administrative or similar 

agreement. 

“SEF Platform” means the electronic trading system of the SEF 

established and operated by BSEF, or any successor thereto, that is made 

available by BSEF to Participants for trading in Swaps. 

“SEF Proceeding” has the meaning attributed to such term in Rule 210(a). 

“Self-Regulatory Organization” or “SRO” shall, unless otherwise 

provided, have the meaning attributed to such term in CFTC Regulation 

1.3(ee) and, in addition, shall include a Derivatives Clearing Organization, 

and a registered futures association. BSEF is a self-regulatory organization. 

“Sponsoring Broker” means a Participant other than a DMA Customer 

that allows its designated Customers to access the SEF Platform using the 

Participant ID of the Participant and (i) with respect to Cleared Swaps, is a 

Clearing Member; and (ii) with respect to Non-Cleared Swaps, is (x) an 

FCM or Introducing Broker; or (y) non-U.S. Person acting in a similar 

capacity that is not required to register as an FCM or Introducing Broker 

under the Act and that is appropriately licensed in a jurisdiction where its 

DMA Customer is located. 

“Supervised Persons” means any directors, officers, employees or agents 

of any Participant. 

“Swap” means any agreement, contract or transaction that is a swap as 

defined in Section 1a(47) of the CEA and as further defined by the CFTC, 

which is listed on the SEF operated by BSEF in accordance with CFTC 

Regulation 37.4.

“Swap Dealer” has the meaning set form in Section 1a(49) of the CEA. 
12 

“Swap Specification” means, with respect to any Swap, the Rules or other 

trading protocols containing specifications for such Swap, as adopted, 

amended, supplemented or otherwise modified from time to time by BSEF. 

“Terms Incorporated by Reference” has the meaning set forth in Rule 

523(c). 

“Trade” means any purchase or sale of any Swap made on the SEF 

Platform or subject to BSEF Rules. 

“Trade Communication” has meaning set forth in Rule 523(c). 

“Trader ID” means a unique identifier issued to each Authorized Trader 

which enables BSEF to identify the individual entering RFQs or Orders 

into the SEF operated by BSEF. 

“Trading Access” means the right granted to a Person to send RFQs or 

place Orders and/or enter into transactions for certain or all Swaps to the 

SEF Platform or execute Swaps subject to the BSEF Rules. 

“Trading Account” means, with respect to each Participant, Account or 

Customer, each account through which the Participant will trade Swaps 

and through which BSEF will monitor the open Swap positions and closed 

Swap positions of such Participants, Accounts or Customers and each 

account through which the Participant will present a Swap for clearing to a 

Clearing House. 

“Trading Hours” means, for any Business Day, the hours as may be 

published by BSEF in a Notice to Participants from time to time. 

“Trading Privileges” means Trading Access or the right granted to a 

Person to use the SEF operated by BSEF for execution of Swaps. No 

Person may exercise Trading Privileges on behalf of a Participant during 

any suspension of such Participant’s Trading Privileges. 

“Unique Swap Identifier” or “USI” means a unique identifier assigned 

by BSEF to a Trade in accordance with CFTC Regulation 45.5. 

“Vice President” means the individual appointed by the Board in 

accordance with the Operating Agreement, with the duties and 

responsibilities as may be prescribed by the Board from time to time as set 

forth in Rule 208. 

“Written” or “Writing” means printing, lithography, photography, and 

other modes of representing or reproducing words or data in a visible form, 

including electronic transmissions. 

* * * * * * 
13 

The following rules of construction shall apply to the BSEF Rules: 

(i) the headings in the BSEF Rules are for convenience only and do not affect the 

construction of the BSEF Rules; 

(ii) all references to time in the BSEF Rules are to local time in New York, New 

York, except where expressly provided otherwise; 

(iii) in the BSEF Rules, words denoting a singular number include the plural number 

where the context permits and vice versa; 

(iv) where the context permits or requires, any pronoun shall include the 

corresponding masculine, feminine and neuter forms; 

(v) forms of the word “include” mean that the inclusion is not limited to the items 

listed; 

(vi) “or” is disjunctive but not exclusive; 

(vii) for purposes of constructing these Rules other than Rules 306 and 317, 

references to the term “Participant” refer to both the terms “Participant” and “DMA Customer”; 

and 

(viii) references in the BSEF Rules to statutory provisions include those provisions as 

amended, and any rules or regulations promulgated thereunder. 

CHAPTER 2. SEF GOVERNANCE 

RULE 201. Board 

(a) The Board shall manage the business and affairs of BSEF in accordance with the 

Operating Agreement. At all times the Board must be composed of at least 35%, but no less than 

two, Public Directors. The Board has the power and authority to call for review, and to affirm, 

modify, suspend or overrule, any and all decisions and actions of standing committees or special 

committees of the Board or any panel of the Officers. 

(b) The Board may act (including to appoint Public Directors, to the extent provided 

in the Operating Agreement) only by the decision of an absolute majority in number of the 

members of the Board, either by vote at a meeting or by Written consent without a meeting. 

(c) Each Director (including Public Directors) shall be appointed in accordance with 

the Operating Agreement and the procedures included therein and shall serve until his or her 

successor is duly appointed, or until his or her earlier resignation or removal, with or without 

cause. 

(d) The members of the Board, including Public Directors, shall be of sufficiently 

good repute and, where applicable, have sufficient expertise in financial services. 
14 

(e) The percentage of Public Directors required to serve on the Board or any 

committee thereof pursuant to this Chapter 2 shall be deemed to be modified to comply with the 

CEA and CFTC Regulations, in each case, as in effect from time to time. 

(f) Without limitation of any other provisions of this Rule 201, the provisions of 

Article III of the Operating Agreement shall be deemed to be part of the BSEF Rules, and shall 

be deemed to be incorporated herein, to the same extent and with the same force and effect as if 

set forth herein in their entirety. 

RULE 202. [Reserved] 

RULE 203. [Reserved] 

RULE 204. Regulatory Oversight Committee 

(a) The Regulatory Oversight Committee of the Board shall consist only of Public 

Directors, appointed by the Board. Each member of the Regulatory Oversight Committee shall 

serve until the due appointment of his or her successor, or until his or her earlier resignation or 

removal, with or without cause, as a member of the Regulatory Oversight Committee or as a 

Director. A member of the Regulatory Oversight Committee may serve for multiple terms. The 

Regulatory Oversight Committee shall report to the Board. 

(b) The Regulatory Oversight Committee shall oversee BSEF’s regulatory program 

on behalf of the Board. It shall make such recommendations to the Board as will, in its 

judgment, best promote the interests of the SEF operated by BSEF. The Regulatory Oversight 

Committee shall also have such other powers and perform such other duties as set forth in the 

BSEF Rules, the Operating Agreement and as the Board may delegate to it from time to time. 

(c) Without limiting the generality of the foregoing, the Regulatory Oversight 

Committee shall have authority to: 

(i) Monitor the compliance program of the SEF operated by BSEF for 

sufficiency and effectiveness; 

(ii) Oversee all facets of the compliance program, including trade practice and 

market surveillance, audits, examinations conducted by the Regulatory Services Provider 

and other regulatory responsibilities with respect to Participants, Customers, Accounts 

and Clearing Members (including ensuring compliance with any financial integrity, 

financial reporting, sales practice, recordkeeping and other requirements), and overseeing 

the conduct of investigations by the Regulatory Services Provider; 

(iii) Review the size and allocation of the regulatory budget and resources and 

the number, hiring and termination, and compensation of compliance personnel; 

(iv) Assist BSEF in minimizing actual and potential conflicts of interest; 

(v) Recommend changes that would ensure fair, vigorous, and effective 

compliance; and 
15 

(vi) Review compliance proposals and advise the Board as to whether and how 

such changes may impact compliance. 

(d) The Regulatory Oversight Committee shall oversee the regulatory program of the 

SEF operated by BSEF on behalf of the Board. The Board shall delegate sufficient authority, 

dedicate sufficient resources, and allow sufficient time for the Regulatory Oversight Committee 

to fulfill its mandate. 

RULE 205. Additional Committees and Panels 

(a) The Board may create such additional standing committees of the Board as it may 

from time to time deem necessary or advisable. 

(b) In addition to the standing committees, the Board may from time to time 

constitute and appoint, by Rule or resolution, special committees of the Board and designate their 

composition, responsibilities and powers. 

(c) BSEF may create additional committees of BSEF, or panels, for such purposes as 

may from time to time be necessary or advisable. Members of each such committee may be 

members of the Board, Supervised Persons of Participants or such other individuals as may be 

qualified to serve on such committee. 

RULE 206. Power of the Board to Review Decisions 

The Board has the power and authority to call for review, and to affirm, modify, suspend 

or overrule, any and all decisions and actions of standing committees or special committees of 

the Board. 

RULE 207. Eligibility 

(a) A Director must meet the qualifications set forth from time to time in the 

Operating Agreement. 

(b) An individual may not serve as a Director or serve on a committee established by 

the Board, a Disciplinary Panel or an Appeals Panel if the individual: 

(i) within the prior three (3) years has been found, by a final decision in any 

action or proceeding brought in a court of competent jurisdiction, the CFTC or any SelfRegulatory Organization, to have committed a disciplinary offense (as defined in CFTC 

Regulation § 1.63); 

(ii) within the prior three (3) years has entered into a settlement agreement in 

which any of the findings or, in the absence of such findings, any of the acts charged, 

included a disciplinary offense; 

(iii) has been suspended or expelled from membership in a Self-Regulatory 

Organization, is serving any sentence or probation, or owes any portion of a fine or 

penalty related to either; 
16 

1. a finding of a disciplinary offense by a final decision in any action 

or proceeding brought in a court of competent jurisdiction, the CFTC, or 

any Self-Regulatory Organization; or 

2. a settlement agreement in which any of the findings or, in the 

absence of such findings, any of the acts charged included a disciplinary 

offense. 

(iv) is currently subject to an agreement with the CFTC or Self-Regulatory 

Organization not to apply for registration with the CFTC or for membership in the SelfRegulatory Organization; 

(v) is currently, or within the past three (3) years has been, subject to a 

revocation or suspension of registration by the CFTC; 

(vi) has been convicted of a felony listed in Section 8a(2)(D)(ii) through (iv) of 

the CEA; or 

(vii) is currently subject to a denial, suspension or disqualification from serving 

on a disciplinary committee, arbitration or appeals panel or governing board of any selfregulatory organization, as that term is defined in CFTC Regulations § 1.63(a). 

(c) Any Director, member of a committee established by the Board or any member of 

a Disciplinary Panel, an Appeals Panel, any individual nominated to serve in any such role, or 

any individual authorized by the Regulatory Oversight Committee to take summary action shall 

immediately notify the President if such individual meets one or more of the criteria in Rule 

207(b). 

(d) For purposes of this Rule, the terms “disciplinary offense,” “final decision,” and 

“settlement agreement” have the meanings set forth in CFTC Regulation § 1.63(a). 

(e) To qualify as a Public Director, a Director must be found, by the Board on the 

record, to have no material relationship with BSEF or any of its Affiliates. A “material 

relationship” is one that reasonably could affect the independent judgment or decision making of 

such individual as a Public Director. In addition, an individual shall not be considered a “Public 

Director” if any of the following circumstances exist: 

(i) such Director is an Officer or an employee of BSEF, or an officer or an 

employee of an Affiliate of BSEF; 

(ii) such Director is a Participant, or a director, an officer or an employee of a 

Participant; or 

(iii) such Director, or an entity with which the Director is a partner, an officer, 

or a director, receives more than $100,000 in combined annual payments for legal, 

accounting, or consulting services from BSEF or any Affiliate of BSEF. Compensation 

for services as a director of BSEF or as a director of an Affiliate of BSEF does not count 

toward the $100,000 payment limit, nor does deferred compensation for services 

rendered prior to becoming a Director of BSEF, so long as such compensation is in no 

way contingent, conditioned or revocable. 
17 

(f) Any of the relationships set forth in sub-paragraphs (e)(i) through (iii) of this Rule 

apply to the “immediate family” of such Director, i.e., spouse, parents, children and siblings. 

(g) A Public Director may also serve as a director of an Affiliate of BSEF if he or she 

otherwise meets the requirements in paragraphs (e) and (f) of this Rule. 

RULE 208. Officers 

The Board shall appoint a President, a Chief Compliance Officer, one or more vice 

presidents, a secretary, a treasurer, and such other officers of BSEF (all of the foregoing, 

collectively, the “Officers”) as it may deem necessary or appropriate from time to time, in 

accordance with the Operating Agreement. The Officers shall have such powers and duties in 

the management of BSEF as the Board may prescribe from time to time in accordance with the 

Operating Agreement. Each Director and Officer is entitled to indemnification pursuant to the 

Operating Agreement with respect to matters relating to BSEF. 

RULE 209. Chief Compliance Officer 

(a) The Board shall appoint and approve the Chief Compliance Officer. The Board 

shall approve the compensation of the Chief Compliance Officer. Removal of the Chief 

Compliance Officer shall require the approval of a majority of the Board. BSEF shall notify the 

CFTC of the removal of the Chief Compliance Officer and the appointment of any new Chief 

Compliance Officer, whether interim or permanent, within two business days, as defined in 

CFTC Regulation 40.1, of such appointment. 

(b) The individual designated to serve as Chief Compliance Officer shall have the 

background and skills appropriate for fulfilling the responsibilities of the position. No individual 

disqualified from registration pursuant to Sections 8a(2) or 8a(3) of the CEA may serve as a 

Chief Compliance Officer. The Chief Compliance Officer may not be a member of BSEF’s legal 

department and may not serve as its general counsel. 

(c) The Chief Compliance Officer shall report directly to the Board. The Chief 

Compliance Officer shall meet with the Board at least annually. The Chief Compliance Officer 

shall also meet with the Regulatory Oversight Committee at least quarterly. Each such meeting 

may occur in person or by means of conference telephone. The Chief Compliance Officer shall 

provide any information regarding the regulatory program of the SEF operated by BSEF that is 

requested by the Board or the Regulatory Oversight Committee. 

(d) The position of Chief Compliance Officer shall carry with it the authority and 

resources to develop and enforce policies and procedures necessary to fulfill the duties set forth 

for chief compliance officers in the Act and the CFTC Regulations. The Chief Compliance 

Officer shall have supervisory authority over all staff acting in furtherance of the Chief 

Compliance Officer’s obligations. 

(e) The Chief Compliance Officer’s duties shall include, but are not limited to, the 

following: 

(i) Overseeing and reviewing the compliance of the SEF operated by BSEF 

with Section 5h of the Act and any CFTC Regulations; 
18 

(ii) In consultation with the Board or the senior Officer of BSEF, resolving 

any conflicts of interest that may arise, including: (1) conflicts between business 

considerations and compliance requirements; (2) conflicts between business 

considerations and the requirement that the SEF operated by BSEF provide fair, open, 

and impartial access as set forth in CFTC Regulation 37.202; and (3) conflicts between 

BSEF’s management and members of the Board; 

(iii) Establishing and administering Written policies and procedures reasonably 

designed to prevent violation of the Act and any Rules adopted by the Commission; 

(iv) Taking reasonable steps to ensure compliance with the Act and CFTC 

Regulations relating to agreements, contracts, or transactions, and with CFTC 

Regulations under Section 5h of the CEA; 

(v) Establishing procedures for the remediation of noncompliance issues 

identified by the Chief Compliance Officer through a compliance office review, lookback, internal or external audit finding, self-reported error, or validated complaint; 

(vi) Establishing and following appropriate procedures for the handling, 

management response, remediation, retesting, and closing of noncompliance issues; 

(vii) Establishing and administering a compliance manual designed to promote 

compliance with the applicable laws, Rules, and regulations and administering a Written 

code of ethics designed to prevent ethical violations and to promote honesty and ethical 

conduct; 

(viii) Supervising the SEF’s compliance program with respect to trade practice 

surveillance; market surveillance; real-time market monitoring; compliance with audit 

trail requirements; enforcement, disciplinary and appeals proceedings; audits, 

examinations conducted by the Regulatory Services Provider, and other regulatory 

responsibilities with respect to Participants, Accounts, Customers and Clearing Members 

(including ensuring compliance with, if applicable, financial integrity, financial reporting, 

sales practice, recordkeeping, and other requirements); 

(ix) Supervising the effectiveness and sufficiency of any regulatory services 

provided to BSEF by the Regulatory Services Provider; and 

(x) Preparing and filing the annual compliance report of BSEF. 

RULE 210. Conflicts of Interest 

(a) A Director, Officer, panel member or other Person authorized to exercise BSEF’s 

authority concerning any inquiry, investigation or any disciplinary or appeals proceeding, 

summary suspension, or other summary actions (any such action, a “SEF Action” and, 

collectively, “SEF Actions”), or Emergency actions taken pursuant to Rule 212 (each such SEF 

Action or Emergency Action, a “SEF Proceeding”) who knowingly has a “material conflict of 

interest” between his or her position as a Director, Officer, panel member or exercise of authority 

concerning any SEF Proceeding and his or her personal interests (each, an “Interested Person”) 

may not participate in any deliberations or vote of the Board committee, panel or exercise any 
19 

authority in any SEF Proceeding involving his or her personal interest, except as described in 

Rule 210(d). 

(b) For purposes of Rule 210(a), a “material conflict of interest” includes a 

Director’s, Officer’s, or other Person’s: 

(i) being named as a respondent or potential respondent in a SEF Proceeding; 

(ii) being an employer, employee, fellow employee or an Affiliate of a 

respondent or potential respondent in a SEF Proceeding; 

(iii) having any significant, ongoing business relationship with a respondent or 

potential respondent in a SEF Proceeding; 

(iv) having a family relationship with a respondent or potential respondent in a 

SEF Proceeding (including the individual’s spouse, co-habitator, former spouse, parent, 

step-parent, child, step-child, sibling, step-brother, step-sister, grandparent, grandchild, 

uncle, aunt, nephew, niece, father-in-law, mother-in-law, son-in-law, daughter-in-law, 

brother-in-law or sister-in-law); and/or 

(v) having a direct and substantial financial interest in the result of the 

deliberations or vote based upon either SEF or non-SEF positions. A direct and 

substantial financial interest includes positions held in Swaps in the accounts of, 

Controlled by, or affiliated with the Interested Person or any other types of direct and 

substantial financial positions of the Interested Person that are reasonably expected to be 

affected by the deliberations or vote. 

(c) Before considering any SEF Proceeding, an Interested Person must disclose in 

Writing to the Board the material facts concerning his or her relationship or interest in the matter. 

(d) Any Interested Person who would be required otherwise to abstain from 

deliberations and voting pursuant to Rule 210(a) as a result of having a direct and substantial 

financial interest in the result of the deliberations and vote may participate in deliberations, prior 

to a vote on the matter, if: 

(i) the material facts about the Interested Person’s financial interest in the 

matter are disclosed or known to the Board; 

(ii) the Board determines that the participation by the Interested Person would 

be consistent with the public interest; and 

(iii) a majority of the Directors (excluding any Interested Persons) vote to 

allow the Interested Person to participate in deliberations on the matter. 

(e) If a determination is made pursuant to Rule 210(d) that an Interested Person may 

participate in deliberations prior to a vote, then the minutes of the meeting of the Board or 

committee thereof will reflect the determination and the reasons for the determination. 

(f) If a determination is made pursuant to Rule 210(a) that all Directors are Interested 

Persons with respect to a matter subject to a vote by the Board, the President will appoint a panel 
20 

of individuals who are not Interested Persons with respect to such matter, which will have the 

same authority and powers over such matter that the Board would have if the Directors were not 

Interested Persons with respect to such matter. 

(g) No Director, Officer or member of any committee or panel established by the 

Board shall use or disclose for any purpose other than the performance of his or her official 

duties and responsibilities as a Director, Officer or committee or panel member any material, 

non-public information obtained as a result of the individual’s duties and responsibilities as a 

Director, Officer or committee or panel member. No Director, Officer or committee or panel 

member shall, directly or indirectly, disclose or use at any time, either during his or her 

association with BSEF or thereafter, any confidential information of which the Board member or 

committee or panel member becomes aware. Each Director, Officer or committee or panel 

member in possession of confidential information shall take all appropriate steps to safeguard the 

information and to protect it against disclosure, misuse, espionage, loss and theft. 

(h) Notwithstanding Rule 210(g), a Director, Officer or committee or panel member 

may disclose confidential information if required by Applicable Law or a court order to be 

revealed to the United States Department of Justice or the CFTC. 

(i) For the purposes of Rule 210(g), the term “material, non-public information” shall 

mean “material information” that is “nonpublic information,” as such terms are defined in CFTC 

Regulation 1.59(a). 

RULE 211. Restrictions on Certain Persons who Possess Material, NonPublic Information: Improper Use or Disclosure of Material 

Non-Public Information 

No member of the Board or of any Board committee, no member of any other committee 

of BSEF, no Officer of BSEF, no employee of BSEF, no agent of BSEF, no subcontractor of 

BSEF and no consultant to BSEF shall: 

(a) trade for such Person’s own account, or for or on behalf of any other account, in 

any commodity interest on the basis of any material, non-public information obtained through 

the performance of such Person’s official duties; 

(b) use or disclose, for any purpose other than the performance of such Person’s 

official duties, any material, non-public information obtained by such Person as a result of such 

Person’s official duties, provided, however, that this Section shall not prohibit disclosures made 

by such Person in the course of his or her official duties or disclosures made to the CFTC, any 

Self-Regulatory Organization, a court of competent jurisdiction or any agency or department of 

the federal or state government; or 

(c) trade, directly or indirectly, in any Swap traded on the SEF operated by BSEF; in 

any related commodity interest; or in any commodity interest traded on any DCM or SEF or 

cleared by any Clearing House if such Person has access to material non-public information 

concerning such Swap or commodity interest. 
21 

RULE 212. Emergency Rules 

(a) In the event of an Emergency, BSEF may implement temporary emergency 

procedures and rules (“Emergency Rules”), subject to the applicable provisions of the CEA and 

CFTC Regulations. Implementation of Emergency Rules shall be done in consultation with the 

CFTC. Emergency Rules may require or authorize BSEF, the Board, any committee of the 

Board, the President, or any other Officer to take actions necessary or appropriate to respond to 

the Emergency, including the following actions: 

(i) suspending or curtailing trading or limiting trading to liquidation only (in 

whole or in part); 

(ii) extending or shortening the last trading date for Swaps; 

(iii) ordering the fixing of a settlement price; 

(iv) ordering the liquidation or transfer of an open position in any Swap, or the 

reduction of positions; 

(v) extending, limiting or changing the Trading Hours; 

(vi) imposing or modifying intraday market restrictions; 

(vii) transferring customer contracts and the margin in an emergency; 

(viii) imposing special margin requirements; 

(ix) extending or shortening the expiration date of a Swap; 

(x) altering any Swap’s settlement terms and conditions; 

(xi) imposing or modifying price limits; 

(xii) imposing, modifying or reducing position limits; and/or 

(xiii) temporarily modifying or suspending any provision of the BSEF Rules or 

Obligations. 

(b) Before any Emergency Rule may be adopted and enforced, a required vote of the 

Board must approve the implementation of such Emergency Rule at a duly convened meeting 

requested by the President or any other Officer. Directors may attend such a meeting by 

teleconference. Each Director participating in such meeting shall be subject to Rule 210. If the 

President, Vice President or the Chief Technology Officer determines that Emergency Rules 

must be implemented with respect to an Emergency before a meeting of the Board can 

reasonably be convened, then the President, Vice President or the Chief Technology Officer shall 

have the authority, without Board action, to implement any Emergency Rules with respect to 

such Emergency that he or she deems necessary or appropriate to respond to such Emergency. 

(c) Whenever BSEF, the Board, any committee of the Board, or the President, Vice 

President or the Chief Technology Officer takes actions necessary or appropriate to respond to an 
22 

Emergency (including the actions set forth in paragraph (a) above), an Authorized 

Representative of BSEF will post a Notice to Participants regarding such Emergency, as soon as 

practicable. When the Board, any committee of the Board or the President, Vice President or the 

Chief Technology Officer determines that the Emergency is no longer in effect, permitting the 

SEF operated by BSEF to resume normal functioning; any such actions responding to an 

Emergency will be terminated. 

(d) BSEF will use reasonable efforts to notify the CFTC prior to implementing, 

modifying or terminating an Emergency Rule. If such prior notification is not possible or 

practicable, BSEF will notify the CFTC as soon as possible or reasonably practicable, but in all 

circumstances within twenty-four (24) hours of the implementation, modification or termination 

of such Emergency Rule. 

(e) Upon taking any action in response to an Emergency, BSEF will document the 

decision-making process related to such action. Such documentation will be kept for at least five 

years following the date on which the Emergency ceases to exist or to affect the SEF operated by 

BSEF, and all such documentation will be provided to the CFTC upon request. 

RULE 213. Information-Sharing Agreements 

(a) BSEF shall enter into information-sharing agreements or other arrangements or 

procedures necessary to allow BSEF to obtain any necessary information to perform any 

monitoring of trading and Trade processing, provide information to other markets, the CFTC or 

any other Governmental Body with jurisdiction over BSEF upon request and which allow BSEF 

to carry out such international information-sharing agreements as the CFTC may require. As 

part of any information-sharing agreements or other arrangements or procedures adopted 

pursuant to this Rule, BSEF may: 

(i) provide market surveillance reports to the CFTC, any Governmental Body 

with jurisdiction over BSEF, or, as necessary for BSEF to comply with its SRO 

obligations, to other markets; 

(ii) share information and documents concerning current and former 

Participants to the CFTC, any Governmental Body with jurisdiction over BSEF, or, as 

necessary for BSEF to comply with its SRO obligations, to other markets; 

(iii) share information and documents concerning ongoing and completed 

investigations to the CFTC, any Governmental Body with jurisdiction over BSEF, or, as 

necessary for BSEF to comply with its SRO obligations, to other markets; and/or 

(iv) require its current or former Participants to provide information and 

documents to BSEF at the request of the CFTC, any Governmental Body with 

jurisdiction over BSEF, or, as necessary for BSEF to comply with its SRO obligations, to 

other markets. 

(b) BSEF may enter into any information-sharing arrangement with any Person or 

body (including the CFTC, the NFA, any Self-Regulatory Organization, any SEF, DCM, market, 

or clearing organization, or any Governmental Body) if BSEF (i) believes that such entity 

exercises a legal or regulatory function under any law or regulation, or a function comprising or 
23 

associated with the enforcement of a legal or regulatory function, or (ii) considers such 

arrangement to be in furtherance of the purpose or duties of BSEF and the SEF operated by 

BSEF under Applicable Law. 

(c) BSEF may disclose any information provided by or relating to Participant, 

Account Managers, Authorized Traders, Supervised Persons, Clearing Members, Customers or 

Accounts or their agents, or Trades of Participant or of its Customers or Accounts, including the 

content of this Agreement, to any Governmental Body, to the Regulatory Services Provider, to 

an SDR where BSEF reports Trades, to any other person or entity as required by Applicable Law 

or as necessary to conclude Participant’s Trades, submit Participant’s Trades for clearance or 

perform services requested by a Participant, and to any Person providing services to BSEF with 

respect to the SEF operated by BSEF. BSEF will not disclose any proprietary data or personal 

information of any Participant, Account Manager, Authorized Trader, Supervised Person, 

Clearing Member, Customer or Account without a corresponding confidentiality agreement 

between such Person and BSEF, unless the Person requesting such information is a 

Governmental Body. 

RULE 214. Regulatory Services Agreement with the Regulatory Services 

Provider 

BSEF has contracted with the Regulatory Services Provider to provide certain regulatory 

services to BSEF pursuant to a Regulatory Services Agreement. In accordance with the 

Regulatory Services Agreement, the Regulatory Services Provider may perform certain 

surveillance, investigative, and regulatory functions under the BSEF Rules and BSEF may 

provide information to the Regulatory Services Provider in connection with the performance by 

the Regulatory Services Provider of those functions. BSEF shall retain ultimate decision-making 

authority with respect to any functions that are contracted to the Regulatory Services Provider. 

RULE 215. Delivery and Service of CFTC Communications for Non-U.S. 

Participants 

In accordance with CFTC Rule 15.05, BSEF will serve as an agent of a non-U.S. 

Participant or a Customer of non-U.S. Participant for whom Swaps were executed or a non-U.S. 

Authorized Trader for purposes of accepting delivery and service of any communication issued 

by or on behalf of the CFTC to the non-U.S. Participant or the Customer of the non-U.S. 

Participant or the non-U.S. Authorized Trader, in each case with respect to any swap traded on 

the SEF operated by BSEF. 

CHAPTER 3. PARTICIPANTS 

RULE 301. Eligibility Criteria for Becoming a Participant

(a) To be eligible for admission as a Participant, an applicant warrants to BSEF that it 

meets the following criteria: 

(i) is an ECP, and each Account or Customer on whose behalf it wishes to 

trade on the SEF operated by BSEF is an ECP, in each case eligible to enter into the asset 

classes of Swaps it wishes to trade on the SEF operated by BSEF; 
24 

(ii) is of good reputation and business integrity; 

(iii) is validly organized, in good standing, and authorized by its governing 

body and, if relevant, documents of organization, to trade Swaps; 

(iv) has not filed for bankruptcy; 

(v) is not a SEF Official, agent or affiliate of BSEF; 

(vi) is not prohibited from using the services of BSEF for any reason 

whatsoever; 

(vii) holds all registrations required under Applicable Law, if any; 

(viii) is not subject to statutory disqualification under Section 8a(2) of the CEA; 

(ix) satisfies any other criteria that BSEF may require from a Participant to 

perform its SRO responsibilities, comply with Applicable Law or provide SEF services; 

and 

(x) is not an ISV or an automated trading system. 

(b) Once admitted, the Participant shall continue to comply with all applicable 

Eligibility Criteria in this Rule 301. 

(c) With respect to Cleared Swaps, each Participant that is an Account Manager, 

FCM or Introducing Broker must ensure that each of its, as applicable, Accounts or Customers 

has a clearing account with a Clearing Member that is a member of the Clearing House accepting 

for clearance Cleared Swaps traded on the SEF operated by BSEF and provide BSEF with 

evidence of such relationship. With respect to Non-Cleared Swaps, each Participant that is an 

Account Manager or Introducing Broker must ensure that each of its, as applicable, Accounts or 

Customers complies with Rule 534, if applicable. A DMA Customer that is an Account 

Manager must ensure that each of its Accounts complies with Rule 534, if applicable. Each 

Participant or DMA Customer that is an Account Manager must provide BSEF upon BSEF’s 

prior Written request with Written representation or proof of authority to place RFQs or Orders 

and execute Trades on the SEF operated by BSEF on behalf or in the name of each Account. 

(d) With respect to Cleared Swaps, each Participant that is not an Account Manager 

must either be a Clearing Member of a Clearing House where the Cleared Swaps are cleared or 

have a clearing account with a Clearing Member with respect to such Cleared Swap and provide 

SEF with evidence of such relationship. With respect to Non-Cleared Swaps, each Participant 

that is not an Account Manager must comply with Rule 534, if applicable. 

(e) Each Participant must establish a Trading Account. In addition to all information 

required by BSEF, information in each Trading Account shall at minimum be sufficient to allow 

BSEF to present a Trade for clearing to a Clearing House. A Participant must keep such 

information current and up-to-date. 
25 

(f) Participants that do not have a relationship with a Clearing Member as set forth in 

subsection (c) or (d) of this Rule 301 are prohibited from entering RFQs or Orders in Cleared 

Swaps on the SEF operated by BSEF. 

(g) Upon request of BSEF, a Participant shall promptly provide to BSEF or its 

Regulatory Services Provider information about the Participant, its Customers, Accounts, 

Clearing Members and Authorized Traders as BSEF requests related to or in connection with 

SEF Activity. 

RULE 302. Authorized Traders 

(a) Each Participant shall nominate or designate one or more Authorized Traders, 

who will conduct SEF Activity on behalf of the Participant. 

(b) Each Authorized Trader: 

(i) must be a natural person; 

(ii) must satisfy any other requirements as may be prescribed by BSEF from 

time to time; and 

(iii) must have a Trader ID.

A Participant that authorizes a third party to trade for its Trading Account on a 

discretionary basis pursuant to a power of attorney or other instrument must identify or approve a 

specific natural person as its Authorized Trader with respect to such Trading Account. 

(c) Without limiting the foregoing, each Authorized Trader will abide by applicable 

BSEF Rules and Applicable Law, and each Participant or DMA Customer, as applicable, will 

ensure on an ongoing basis that: 

(i) none of its Authorized Traders is subject to a disqualification pursuant to 

any Applicable Law (unless an appropriate exemption has been obtained with respect 

thereto); 

(ii) each of its Authorized Traders will be technically proficient; 

(iii) each of its Authorized Traders will conduct its business in a fair and 

equitable manner; and 

(iv) each of its Authorized Traders will conduct its business in accordance 

with the BSEF Rules. 

(d) By agreeing to become an Authorized Trader, an individual agrees to be bound by 

the duties and responsibilities of an Authorized Trader under these Rules and to be subject to, 

and comply with, the BSEF Rules and Obligations. Among other duties and responsibilities that 

BSEF may impose, an Authorized Trader must: 

(i) have the authority, at BSEF’s request, to adjust or withdraw any Order 

submitted under any Trader ID assigned to him or her; and 
26 

(ii) ensure that any SEF Activity conducted under any Trader ID assigned to 

him or her complies with all BSEF Rules and Obligations. 

(e) To nominate or designate an Authorized Trader, a Participant must follow the 

procedures established by BSEF. BSEF may establish criteria that individuals must fulfill to 

become an Authorized Trader. Any such criteria will be set out in the BSEF Rules. BSEF will 

not accept the registration as an Authorized Trader of any individual who is a SEF Official. 

(f) BSEF will maintain a list of all appointed Authorized Traders for each 

Participant. 

(g) BSEF may, in its sole discretion terminate, revoke or suspend an Authorized 

Trader and shall promptly notify the Participant in Writing of such action. Upon such 

termination, revocation or suspension, BSEF will disable access of such Authorized Trader to the 

SEF operated by BSEF. 

(h) To request the termination of the designation of an Authorized Trader, the 

Participant or the Authorized Trader must notify BSEF following the procedures established by 

BSEF. BSEF will terminate access of such Authorized Trader to the SEF operated by BSEF 

immediately upon receipt of such notice from Participant. 

RULE 303. Participant Application Process; Termination of Participant 

(a) Any Person who desires to become a Participant shall (i) submit signed 

Participant Documentation; (ii) agree in Writing to abide by the BSEF Rules and Applicable 

Law; (iii) provide such information and documentation as may be requested by BSEF; and (iv) 

follow the application procedures established by BSEF. 

(b) In considering an application from a potential Participant, BSEF may require 

additional information from the applicant, or conduct an investigation to verify information 

submitted by the applicant, or both. 

(c) If BSEF decides to admit an applicant as a Participant, it shall promptly notify the 

applicant and state in such notice the date on which the applicant shall become a Participant. 

(d) If BSEF decides to decline or condition an application for admission as a 

Participant, or terminate a Person’s status as a Participant, BSEF shall promptly notify such 

Affected Person thereof in a Writing sent to the address provided by the applicant or maintained 

in BSEF registry of Participants. Such Affected Person may, within seven (7) calendar days, 

request in Writing that BSEF provide the reasons for the denial, conditioning or termination of 

Participant status. Within fourteen (14) calendar days after receiving such Written request, 

BSEF shall send in Writing to the Affected Person the reasons for the denial, conditioning or 

termination. Within fourteen (14) calendar days of receiving the BSEF’s Written response, the 

Affected Person may request in Writing that BSEF reconsider its determination, and may provide 

any relevant representations or other information that such Affected Person believes to be 

relevant to the reconsideration. 

(e) BSEF may deny, condition or terminate Participant status of any Person if: 

(i) such Person is unable to satisfactorily demonstrate its ability to satisfy the Eligibility Criteria 
27 

as set forth in Rule 301(a) to become or remain a Participant; (ii) such Person is unable to 

satisfactorily demonstrate its capacity to adhere to all applicable BSEF Rules; (iii) such Person 

would bring BSEF into disrepute as determined by BSEF in its sole discretion; or (iv) for such 

other cause as BSEF may reasonably determine. 

RULE 304. Trading Privileges of a Participant 

(a) Upon admission as a Participant or DMA Customer, the Participant or DMA 

Customer must execute such Participant Documentation or DMA Customer Documentation, as 

applicable, as required from time to time by BSEF, and such Participant Documentation or DMA 

Customer Documentation, as applicable, must remain in effect for the Participant or DMA 

Customer to access the SEF operated by BSEF. 

(b) Admission as a Participant entitles the Participant only to Trading Privileges and 

does not confer any right of ownership in, or right to attend or vote at meetings of, BSEF, or 

right to share in the profits, of BSEF. A Participant may not transfer or assign its status as a 

Participant. 

RULE 305. Termination or Limitation of Trading Privileges and Trading 

Access 

(a) Notwithstanding anything in the BSEF Rules to the contrary, the Chief 

Compliance Officer may, after consultation with the Regulatory Oversight Committee, if 

practicable, summarily suspend, revoke, limit, condition, restrict or qualify the Trading 

Privileges of a Participant or the Trading Access of an Authorized Trader, and may take other 

summary action against any Participant or any of its Supervised Persons or any Authorized 

Trader in accordance with the BSEF Rules; provided, however, that the Chief Compliance 

Officer must reasonably believe that the business, conduct or activities of the Participant, 

Authorized Trader or Supervised Person in question is not in the best interests of BSEF or the 

marketplace, including based on any of the following: (i) statutory disqualification from 

registration as provided in CEA Section 8a(2) or (3); (ii) non-payment of fees, costs, charges, 

fines or arbitration awards; or (iii) the reasonable belief that immediate action is necessary to 

protect the public or the best interests of BSEF and the SEF operated by BSEF. BSEF may deny 

or limit Trading Privileges of a Participant or Trading Access of any Authorized Trader upon 

default of the Participant, Customer or Account, as applicable, on any Swap with respect to such 

Participant, Customer or Account. 

(b) Whenever practicable, the Compliance Department, acting on behalf of the Chief 

Compliance Officer, shall provide prior Written notice to the party against whom any action in 

accordance with paragraph (a) shall be taken. If prior notice is not practicable, BSEF will give 

notice at the earliest possible opportunity to the respondent against whom the action is brought. 

The Compliance Department, acting on behalf of the Chief Compliance Officer, will prepare a 

notice of summary action (which will state the action, the reasons for the action, and the effective 

time, date and duration of the action) and serve the notice on such party. 

(c) The summary action will become final upon the expiration of 20 days after the 

notice of action is served on the respondent. 
28 

(d) At the request of BSEF, a respondent against whom a summary action is brought 

pursuant to this Rule 305 must provide books and records over which the respondent has access 

or control and must furnish information to, or appear or testify before, BSEF or the in connection 

with the enforcement of any BSEF Rule. 

(e) Participant may appeal any decision taken by BSEF under this Rule 305 as 

provided in Rule 620; provided, however, that any such decision by BSEF to deny or otherwise 

limit applicant’s Trading Privileges or Trading Access shall continue in effect during such 

review. 

RULE 306. Assessments and Fees 

BSEF shall set the times and amounts of any assessments or fees to be paid by 

Participants, which assessments or fees shall be paid to BSEF when due. If a Participant fails to 

pay when due any such assessments or fees levied on such Participant, and such payment 

obligation remains unsatisfied for thirty days after its due date, BSEF may suspend, revoke, 

limit, condition, restrict or qualify the Trading Privileges of such Participant as it deems 

necessary or appropriate. 

RULE 307. Authorized Representatives 

Each Participant shall designate one or more Authorized Representatives who will 

represent the Participant before BSEF and its committees and receive notices on behalf of the 

Participant. The Authorized Representative shall be empowered by the Participant to act on its 

behalf and BSEF shall be entitled to rely on the actions of the Authorized Representative as 

binding on the Participant. Each Participant must provide BSEF with current contact and other 

requested information for each of its Authorized Representatives so that BSEF is able to 

immediately contact the Authorized Representatives. 

RULE 308. Recording of Communications 

BSEF may record conversations and retain copies of electronic communications between 

SEF Officials, on one hand, and Participants, their Account Managers, Authorized Traders, 

Supervised Persons or other agents, on the other hand, to the extent required by Applicable Law. 

Any such recordings may be retained by BSEF or the Regulatory Services Provider in such 

manner and for such periods of time as BSEF may deem necessary or appropriate. 

RULE 309. Notices to Participants 

BSEF shall publish a notice with respect to each addition to, modification of, or 

clarification of, the BSEF Rules or of any action to implement any BSEF Rules, in a form and 

manner that is reasonably designed to enable each Participant to become aware of and familiar 

with, and to implement any necessary preparatory measures to be taken by it with respect to, 

such addition or modification, prior to the effective date thereof (each a “Notice to 

Participants”). For purposes of publication in accordance with the first sentence of this Rule, it 

shall be sufficient (without limiting the discretion of BSEF as to any other reasonable means of 

communication) if a Notice to Participants is published on BSEF’s website and posted on 

BSEF’s internal notification system. Any Notice to Participants shall also be deemed to have 

been made to all Account Managers, Authorized Traders and Supervised Persons. 
29 

RULE 310. Communications between BSEF and Participants 

Each Participant must provide BSEF with its current electronic mail address and 

telephone number and the electronic mail address and telephone number of any of its Authorized 

Traders and immediately (and in any event within 24 hours) update this information whenever it 

changes. All communications between BSEF and the Participant will be transmitted by 

electronic mail and/or posted on BSEF’s website, except as otherwise specified by BSEF. The 

Participant shall be responsible for conveying such communications to its Authorized Traders 

and/or to its Account Managers. Each Participant will be responsible for promptly reviewing 

and, if necessary, responding to all electronic communications from BSEF to the Participant or 

any of its Account Managers, Authorized Traders, Supervised Persons or any Person to whom it 

has given Trader ID(s). All communications made to a Participant shall also be deemed to have 

been made to all Account Managers, Authorized Traders and Supervised Persons of such 

Participant. 

RULE 311. Application of BSEF Rules and Jurisdiction 

(a) ANY MARKET PARTICIPANT THAT DIRECTLY OR INDIRECTLY 

EFFECTS A TRANSACTION ON THE SEF OPERATED BY BSEF, OR ANY 

PARTICIPANT, AUTHORIZED TRADER, CLEARING MEMBER OR OTHER 

PERSON ACCESSING OR ENTERING ANY RFQ OR ORDER OR SUBMITTING 

ANY SWAP INTO THE SEF OPERATED BY BSEF OR EXECUTING ANY TRADE 

PURSUANT TO THE RULES (i) IS BOUND BY, AND SHALL COMPLY WITH, THE 

BSEF RULES AND OBLIGATIONS, THE CLEARING HOUSE RULES, SWAP 

SPECIFICATIONS AND APPLICABLE LAW, IN EACH CASE TO THE EXTENT 

APPLICABLE TO IT, (ii) SUBMITS TO THE JURISDICTION OF BSEF WITH 

RESPECT TO ANY AND ALL MATTERS ARISING FROM, RELATED TO, OR IN 

CONNECTION WITH, THE STATUS, ACTIONS OR OMISSIONS OF SUCH 

PARTICIPANT, AUTHORIZED TRADER OR OTHER PERSON, AND (iii) AGREES 

TO ASSIST BSEF IN COMPLYING WITH ITS LEGAL AND REGULATORY 

OBLIGATIONS, COOPERATE WITH BSEF, THE CFTC AND ANY 

GOVERNMENTAL BODY WITH JURISDICTION OVER BSEF OR THE SEF 

OPERATED BY BSEF IN ANY INQUIRY, INVESTIGATION, AUDIT, 

EXAMINATION OR PROCEEDING. 

(b) Any Person whose access to the SEF operated by BSEF is suspended for any 

period remains subject to the BSEF Rules, the Obligations and BSEF’s jurisdiction throughout 

the period of suspension. Any Person whose access to the SEF operated by BSEF is revoked or 

terminated shall remain bound by the BSEF Rules and Applicable Law, in each case to the 

extent applicable to it, and subject to the jurisdiction of BSEF with respect to any and all 

matters arising from, related to, or in connection with, the status, actions or omissions of such 

Participant prior to such revocation or termination. 

RULE 312. Description of Participant’s Status 

A Participant shall ensure that the form, content and context of any description of the 

Participant’s status on the SEF operated by BSEF is not inconsistent with, and does not 

misrepresent, the Participant’s capacity on the SEF operated by BSEF under the BSEF Rules or 

the Participant’s registration, if any, under the CEA, or under any other Applicable Law. 
30 

RULE 313. Dissolution of Participants 

All rights and privileges of a Participant terminate upon, and all obligations of a 

Participant shall survive the dissolution of the Participant. 

RULE 314. Withdrawal of Participant 

(a) To withdraw from the SEF operated by BSEF, a Participant must notify BSEF of 

its withdrawal. Such withdrawal shall be accepted and effective immediately upon receipt of 

such notice by BSEF. 

(b) When BSEF accepts the withdrawal of a Participant, all rights and privileges of 

such Participant terminate (including the Trading Privileges). The accepted withdrawal of a 

Participant shall not affect the rights of BSEF under the BSEF Rules or relieve the former 

Participant of such Participant’s obligations under the BSEF Rules before such withdrawal. 

Notwithstanding the accepted withdrawal of a Participant, the withdrawn Participant remains 

subject to the BSEF Rules, the Obligations and the jurisdiction of BSEF for acts done and 

omissions made while a Participant, and must cooperate in any SEF Proceeding under Chapter 6 

as if the withdrawn Participant were still a Participant. 

RULE 315. Compliance with the Commodity Exchange Act 

All SEF Participants shall comply with all relevant provisions of the CEA and the Rules 

and regulations duly issued pursuant thereto by the CFTC, including the filing of reports, 

maintenance of books and records, and permitting inspection and visitation by Authorized 

Representatives of the CFTC or Department of Justice. 

RULE 316. Access 

RULE 316.A. ECP Access 

BSEF will provide its services to any ECP with access to its markets and BSEF services 

that is impartial, transparent and applied in a fair and non-discriminatory manner; provided, 

however, that each ECP complies with BSEF’s documentation and the eligibility requirements 

set forth in this Rulebook. 

RULE 316.B. ISV Access 

BSEF will provide ISVs with access to its trading platform and its data in a fair and nondiscriminatory manner; provided, however, that each ISV shall comply with BSEF’s criteria 

governing such access. Such access criteria shall be impartial and transparent. 

RULE 317. Direct Market Access 

(a) DMA may be sponsored only by a Sponsoring Broker. 

(b) All trades in Cleared Swaps executed via DMA connection must be guaranteed by 

a Sponsoring Broker that assumes financial responsibility for all trades in Cleared Swaps 

executed through the DMA connection. 
31 

(c) Each DMA Customer must execute the DMA Customer Documentation as a 

condition of being granted access to the SEF operated by BSEF. 

(d) A Sponsoring Broker shall assist BSEF in any investigation into potential 

violations of the BSEF Rules, CFTC Regulations or the Act which occur through or with respect 

to a DMA connection guaranteed by such Sponsoring Broker. Such assistance must be timely 

and may include requiring any DMA Customer to produce documents, to answer questions from 

BSEF, and/or to appear in connection with an investigation. 

(e) A Sponsoring Broker shall suspend or terminate the Trading Access of a DMA 

Customer or any Authorized Trader associated with such DMA Customer if BSEF determines 

that the actions of the DMA Customer or any of its Authorized Traders threaten the integrity of 

the SEF operated by BSEF or liquidity of any Swap or violate any BSEF Rule or if the DMA 

Customer or any of its Authorized Traders fails to cooperate in an investigation. 

(f) If a Sponsoring Broker has actual or constructive notice of a violation of the 

BSEF Rules in connection with Direct Market Access by its DMA Customer and the Sponsoring 

Broker fails to take appropriate action, BSEF may consider that the Sponsoring Broker has 

committed an act detrimental to the interest or welfare of BSEF. 

RULE 318. Legal Certainty for SEF Trades 

A transaction entered into on or pursuant to the BSEF Rules shall not be void, voidable, 

subject to rescission, otherwise invalidated, or rendered unenforceable as a result of: 

(a) a violation by BSEF of the provisions of section 5h of the Act or CFTC 

Regulations; 

(b) any CFTC proceeding to alter or supplement a Rule, term, or condition under 

section 8a(7) of the Act or to declare an emergency under section 8a(9) of the Act; or 

(c) any other proceeding the effect of which is to: 

(i) alter or supplement a specific term or condition or trading rule or 

procedure; or 

(ii) require BSEF to adopt a specific term or condition, trading rule or 

procedure, or to take or refrain from taking a specific action. 

RULE 319. Rights and Responsibilities after Suspension or Termination 

(a) When the Trading Privileges of a Participant or the Trading Access of any 

Authorized Trader are suspended, none of its rights and Trading Privileges (including the right to 

hold oneself out to the public as a Participant, enter RFQs or Orders into the SEF operated by 

BSEF and receive Participant rates for fees, costs, and charges at Participant levels) will apply 

during the period of the suspension, except for the right of the Participant in question to assert 

claims against others as provided in the BSEF Rules or the right to Trading Access. Any such 

suspension will not affect the rights of creditors under the BSEF Rules or relieve the Participant 

in question of its, his or her obligations under the BSEF Rules to perform any Swaps entered into 

before the suspension, or for any SEF fees, costs, or charges incurred during the suspension. 
32 

(b) When the Trading Privileges of a Participant or the Trading Access of any 

Authorized Trader are terminated, all of a Participant’s rights and Trading Privileges or an 

Authorized Trader’s right to Trading Access will terminate, except for the right of the Participant 

in question to assert claims against others, as provided in the BSEF Rules. Any such termination 

will not affect the rights of creditors under the BSEF Rules. A terminated Participant may only 

seek to reinstate its Trading Privileges by applying for Trading Privileges pursuant to Rule 304. 

BSEF will not consider the application of a terminated Participant if such Participant continues 

to fail to appear at disciplinary or appeals proceedings without good cause or continues to 

impede the progress of disciplinary or appeals proceedings. 

(c) A suspended or terminated Participant, Authorized Trader or Supervised Person 

remains subject to the BSEF Rules and the jurisdiction of BSEF for acts and omissions prior to 

the suspension or termination, and must cooperate in any inquiry, investigation, disciplinary or 

appeals proceeding, summary suspension or other summary action as if the suspended or 

terminated Participant still had Trading Privileges or the terminated Authorized Trader still had 

Trading Access. BSEF may discipline a suspended Participant or Authorized Trader under this 

Chapter 6 for any violation of a BSEF Rule or provision of Applicable Law committed by the 

Participant or Authorized Trader before, during or after the suspension. 

(d) Upon the request of a Customer, in the event of the suspension or revocation of 

the Trading Privileges of a Participant, BSEF shall seek to facilitate the transfer of any Customer 

accounts held by such Participant to other Participants with Trading Privileges. 

CHAPTER 4. OBLIGATIONS OF PARTICIPANTS, ACCOUNT MANAGERS, 

DMA CUSTOMERS, AUTHORIZED TRADERS AND 

SUPERVISED PERSONS 

RULE 401. Duties and Responsibilities 

(a) Each Participant, Account Manager, DMA Customer, Authorized Trader and 

Supervised Person shall: 

(i) ensure that BSEF’s facilities are used in a responsible manner and are not 

used for any improper purpose; 

(ii) ensure that BSEF’s facilities are used only to conduct SEF Activity; 

(iii) ensure that all SEF Activity conducted by the Participant, Account 

Managers, Authorized Traders and Supervised Persons is performed in a manner 

consistent with applicable BSEF Rules and their respective Obligations; 

(iv) comply with all BSEF Rules and Obligations and act in a manner 

consistent with each BSEF Rule and Obligation; 

(v) observe high standards of integrity, market conduct, commercial honor, 

fair dealing, and just and equitable principles of trade while conducting or attempting to 

conduct any SEF Activity, or any aspect of any business connected with or concerning 

the SEF operated by BSEF; 
33 

(vi) not mislead or conceal any material fact or matter in any dealings or 

filings with BSEF or in response to any SEF Proceeding; and 

(vii) keep the Authorized Trader’s Trader IDs, account numbers and passwords 

confidential. 

(b) Each Participant shall be responsible for promptly informing BSEF of any 

material changes to Eligibility Criteria information provided to BSEF by the Participant. 

RULE 402. Required Disclosures to BSEF 

Each Participant shall immediately notify the Compliance Department upon becoming 

aware of any of the following events: 

(a) any material change to the contact or other information provided to BSEF by the 

Participant; 

(b) any damage to, or failure or inadequacy of, the systems, facilities or equipment of 

the Participant to effect transactions pursuant to the BSEF Rules or to timely perform the 

Participant’s financial obligations under or in connection with Swaps of such Participant or 

Swaps of any Customer or Account of such Participant; 

(c) any refusal of admission of the Participant for membership in, any SelfRegulatory Organization, SEF, DCM, or Derivatives Clearing Organization; 

(d) any expulsion, suspension or fine in excess of $25,000 (whether through an 

adverse determination, voluntary settlement or otherwise) imposed on the Participant by any 

Self-Regulatory Organization, SEF, DCM, Derivatives Clearing Organization or, with respect to 

SEF Activity, any relevant Governmental Body; 

(e) any revocation, suspension or conditioning of any registration or license of a 

Participant necessary to conduct SEF Activity granted by any relevant Governmental Body; 

(f) (A) the commencement of any judicial or administrative proceeding against the 

Participant or any Authorized Trader or Supervised Person or (B) the imposition of any fine in 

excess of $25,000, cease and desist order, denial of trading privileges, censure or other sanction 

or remedy (whether through an adverse determination, voluntary settlement or otherwise) 

imposed, in each case of (A) and (B), by any Self-Regulatory Organization, SEF, DCM, 

Derivatives Clearing Organization or, with respect to SEF Activity, any relevant Governmental 

Body; 

(g) any indictment or conviction of, or any confession of guilt or plea of guilty or 

nolo contendere by, any principals or senior officers of the Participant or any Authorized Trader 

for any felony or misdemeanor involving, arising from, or related to, the purchase or sale of any 

commodity, futures contract, swap, option, security, securities futures product or other financial 

instrument, or involving or arising from fraud or moral turpitude; and 

(h) the Participant’s or a 10% or greater owner of the Participant becoming the 

subject of a petition for bankruptcy; 
34 

(i) the appointment of a receiver, trustee or administrator for the Participant or a 10% 

or greater owner of the Participant; 

(j) the presentment of a petition, or the passing of a resolution, for the Participant’s 

or a 10% or greater owner of the Participant winding-up; 

(k) the commencement of proceedings for the Participant’s or the 10% or greater 

owner’s of the Participant dissolution; or 

(l) the occurrence of an event of insolvency with respect to the Participant or the 

10% owner or greater owner of the Participant. 

RULE 403. Inspections by BSEF 

(a) BSEF or the Regulatory Services Provider (or their respective authorized 

representatives), shall have the right with such prior reasonable advance notice as is practicable 

under the circumstances, in connection with determining whether all BSEF Rules are being, will 

be, or have been complied with by the Participant, to: 

(i) inspect the books and records of the Participants relating to SEF Activity; 

(ii) inspect systems, equipment and software of any kind operated by the 

Participant in connection with SEF Activity and any data stored in any of the systems or 

equipment related to SEF Activity; and/or 

(iii) copy or reproduce any data to which BSEF has access under this Rule. 

(b) Such books and records, systems, equipment, software and data shall be made 

available to BSEF and the Regulatory Services Provider and their respective authorized 

representatives during regular business hours and BSEF and the Regulatory Services Provider 

and their respective authorized representatives agree to adhere to Participant’s reasonable logical 

and physical access and security procedures. 

(c) Each Participant, DMA Customer and Authorized Trader shall provide the 

Regulatory Services Provider with the same access to their books and records as they are 

required to provide to BSEF under the BSEF Rules and Applicable Law. 

(d) The Compliance Department may require a Participant to furnish (periodically or 

on a particular occasion) information concerning the Participant’s SEF Activity. 

RULE 404. Minimum Financial and Related Reporting Requirements 

Each Participant that is registered with any Self-Regulatory Organization shall comply 

with the provisions of Applicable Law relating to minimum financial and related reporting and 

recordkeeping requirements.
35 

RULE 405. Position Liquidation upon Default 

Upon default of any Swap by a Participant, Customer or Client, BSEF shall have the right 

to arrange the liquidation of all or some Swap positions of such Participant, Customer or Client, 

as applicable, opened via the SEF operated by BSEF. 

RULE 406. Authority to Impose Restrictions 

Whenever a Participant is subject to the early warning requirements set forth in the CFTC 

Regulations, including CFTC Regulation 1.12, the President, or his or her designee, may impose 

such conditions or restrictions on the business and operations of such Participant as the 

President, or his or her designee, may deem necessary or appropriate for the protection of 

Customers, other Participants or the SEF operated by BSEF. 

RULE 407. Customers and Accounts 

(a) No Participant shall carry an account for a Customer or enter an RFQ or Order in 

the name of a Account unless the Participant has entered into a Written agreement with the 

Customer or Account that is in compliance with Applicable Law and the BSEF Rules. 

(b) Each Participant must: (1) ensure that the Customer or Account is an ECP at the 

time of execution of any Swap; (2) subject every Swap executed for the Customer or Account to 

the terms of the BSEF Rules insofar as they are applicable to that Swap; (3) in relation to any 

Swap executed for the Customer or Account, be able to comply with all requirements of the 

BSEF Rules and any other arrangements, provisions and directions given by BSEF; and (4) 

provide BSEF and its agents, including its Regulatory Services Provider, access to all 

information in connection with or related to its SEF Activity necessary for monitoring and 

enforcement of BSEF Rules. 

RULE 408. Disclosure Requirements; Know Your Counterparty 

Requirements 

(a) With respect to Non-Cleared Swaps, Participants that are Swap Dealers or Major 

Swap Participants shall verify the status of each Counterparty as an ECP with respect to each 

Trade as provided in Part 23 of the CFTC Regulations applicable to business conduct standards 

for Swap Dealers and Major Swap Participants in their dealing with counterparties. 

(b) Each Participant must comply with the disclosure requirements imposed by the 

BSEF Rules. 

RULE 409. Books and Records 

RULE 409.A. Participant and Clearing Member Books and Records 

(a) Each Participant, Clearing Member and market participant shall prepare and keep 

current all books, ledgers and other similar records relating to SEF Activity required to be kept 

by it pursuant to the Act, CFTC Regulations and these Rules and shall prepare and keep current 

such other books and records relating to SEF Activity and adopt such forms as BSEF may from 

time to time prescribe. Such books and records shall be made available, upon request, to BSEF, 
36 

the CFTC, the Department of Justice or any Governmental Body, regulator or Self-Regulatory 

Organization with jurisdiction over BSEF, and their respective Authorized Representatives. 

(b) In addition to information required by subsection (a) of this Rule 409, each 

Participant, Clearing Member and market participant must comply with all applicable 

requirements of CFTC Regulation 1.35. 

(c) If a Participant cannot enter an Order or Request for Quote received from its 

Customer into the SEF Platform, the Participant must immediately create an electronic record 

that includes the account identifier that relates to the Customer Account, time of receipt, and 

terms of the Order or Request for Quote. 

(d) As required by CFTC Regulation 37.404, each Participant, Clearing Member and 

market participant, as applicable, must keep records of their trading on the SEF operated by 

BSEF (including records of its or its activity in the index or instrument used as a reference price, 

the underlying commodity and related derivatives markets) and make such records available, 

upon request, to BSEF, the CFTC or any Governmental Body, regulator or Self-Regulatory 

Organization with jurisdiction over BSEF, and their respective Authorized Representatives. 

(e) Each Participant, Clearing Member and market participant shall keep all books 

and records required to be kept by it pursuant to these Rules for a period of five years from the 

date on which they are first prepared unless otherwise provided in these Rules or required by 

Applicable Law. Such books and records shall be readily accessible during the first two years of 

such five-year period. During such five-year period, all such books and records shall be made 

available for inspection by, and copies thereof shall be delivered to, BSEF and its Authorized 

Representatives upon request. 

(f) Each Participant and Authorized Trader shall provide the NFA with the same 

access to its books and records and offices as it is required to provide BSEF under these Rules 

and Applicable Law. 

(g) BSEF may require a Participant, Clearing Member and market participant to 

furnish such information concerning the Participant or Clearing Member’s business that is 

subject to these Rules as BSEF deems necessary to enable it to perform its obligations under 

Applicable Law, including information relating to (i) Swaps executed on the SEF operated by 

BSEF and in related derivatives markets, including in the products underlying those Swaps, and 

(ii) information requested by a government agency relating to the SEF and/or BSEF’s 

compliance with Applicable Law that BSEF believes is maintained by, or otherwise in the 

possession of, a Participant or Clearing Member. 

(h) All data and information provided to or obtained by BSEF pursuant to this Rule 

409 shall be subject to the provisions of Rule 805. 

(i) A DMA Customer can delegate the maintenance of the DMA Customer’s records 

required by CFTC Regulation 1.35 for transactions executed on BSEF to its Sponsoring Broker; 

provided, however, that the DMA Customer has an agreement with its Sponsoring Broker 

regarding the maintenance of such records. The DMA Customer shall remain ultimately 

responsible for all CFTC Regulation 1.35 recordkeeping obligations, including any records not 

covered by the agreement with its Sponsoring Broker. Notwithstanding anything to the contrary 
37 

in this Rule 409.A, the DMA Customer shall remain directly responsible for the maintenance of 

all records set forth in Rule 409.A(d). 

RULE 409.B. BSEF Books and Records 

BSEF shall keep, or cause to be kept, complete and accurate books and records, including 

all books and records required to be maintained pursuant to the CEA, the CFTC Regulations or 

the BSEF Rules as required by CFTC Regulation 1.31. 

RULE 410. Responsibility for Mandatory Trading 

Each Participant that is a Swap Dealer or Major Swap Participant shall be responsible for 

compliance with the mandatory trading requirement under Section 2(h)(8) of the CEA and shall 

not enter into any Required Transaction outside a SEF that lists a Swap related to such Required 

Transaction. 

RULE 411. Eligibility for Clearing Exempt Transactions 

(a) Each Participant wishing to execute any Clearing Exempt Transaction on the SEF 

operated by BSEF must submit to BSEF documentation demonstrating its eligibility (or the 

eligibility of its relevant Client or Customer, if applicable) for a Clearing Exception (a 

“Clearing Exception Form”) required by CFTC Regulations or CFTC Staff No-Action 

Letters prior to sending an RFQ or placing an Order subject to the Clearing Exception. 

(b) Each Participant must comply with the conditions of the applicable Clearing 

Exception. 

CHAPTER 5. TRADING PRACTICES, REPORTING, CLEARING AND 

BUSINESS CONDUCT 

RULE 501. Scope 

This Chapter 5 prescribes Rules concerning trading practices and business conduct on the 

SEF operated by BSEF and applies to all RFQs, Orders and Trades in Swaps as defined in 

Chapter 1. 

RULE 502. Procedures 

(a) With respect to trading on or though the SEF Platform or subject to BSEF Rules, 

BSEF may adopt, without limitation, procedures relating to transactions in Swaps and trading on 

the SEF Platform or subject to BSEF Rules, including procedures to: 

(i) disseminate the prices of bids and offers on, and trades in, Swaps; 

(ii) record, and account for, Swaps and SEF Activity and regulate 

administrative matters affecting Swaps and SEF Activity; 

(iii) establish limits on the number and/or size of RFQs or Orders that may be 

submitted by a Participant through the SEF Platform or subject to BSEF Rules; 
38 

(iv) establish limits on the aggregate notional amount of Swaps that may be 

held by a Participant; 

(v) establish a limit on the maximum daily price fluctuations for any Swap 

and provide for any related restriction or suspension of trading in the Swap; and 

(vi) establish minimum price quoting increments for each Swap. 

(b) BSEF may, in its discretion and at any time, amend any procedures adopted 

pursuant to Rule 502(a), and will publish the amendments in a Notice to Participant or in any 

other manner determined appropriate by BSEF. 

RULE 503. Business Days and Trading Hours 

Except as provided in Rule 212 with respect to Emergencies, BSEF shall determine and 

publish a Notice to Participants listing the Business Days of the SEF operated by BSEF and the 

Trading Hours for each Swap. 

RULE 504. Rule Violations 

(a) It shall be an offense for a Participant, Account Manager, DMA Customer, 

Authorized Trader or Supervised Person to violate any BSEF Rule regulating the conduct or 

business of a Participant or its Account Managers, Authorized Traders or Supervised Persons, 

or any agreement made with BSEF, or to engage in fraud, dishonorable or dishonest conduct, or 

in conduct which is inconsistent with just and equitable principles of trade. 

(b) Participants shall assist BSEF in any investigation into potential violations of the 

BSEF Rules or, with respect to the SEF Activity, the CEA. Such assistance must be timely and 

may include, but not be limited to, producing documents, answering questions from BSEF or its 

designee, and/or appearing in connection with an investigation. 

(c) If a Participant has actual or constructive notice of a violation of BSEF Rules in 

connection with the use of the SEF operated by BSEF by a Participant, Customer, Account, 

Clearing Member or Authorized Trader and the Participant fails to take appropriate action, the 

Participant may be found to have committed an act detrimental to the interest or welfare of the 

SEF operated by BSEF. 

RULE 505. Fraudulent Acts 

No Participant, Account Manager, DMA Customer, Authorized Trader, Supervised 

Person or any market participant shall (a) intentionally or recklessly, directly or indirectly, 

engage, or attempt to engage, in any fraudulent act or intentionally or recklessly, directly or 

indirectly, use or employ, or attempt to use or employ, any manipulative device, scheme or 

artifice to defraud, deceive, trick or mislead or intentionally or recklessly, directly or indirectly, 

engage, or attempt to engage in any other activity prohibited by CFTC Regulation 180.1(a), or 

(b) engage, or attempt to engage, in any other activity prohibited by CEA section 9(a)(2), in each 

case of (a) and (b) in connection with or related to any SEF Activity. Specifically, no 

Participant, Account Manager, DMA Customer, Authorized Trader or Supervised Person shall 

directly or indirectly, engage in front running, fraudulent trading, money passes, trading ahead of 

customers, trading against customers, accommodation trading or improper cross trading. 
39 

RULE 506. Fictitious, Wash or Pre-Arranged Transactions 

(a) No Participant, Account Manager, DMA Customer, Authorized Trader, 

Supervised Person or any market participant that directly or indirectly effects a transaction on the 

SEF operated by BSEF shall create fictitious transactions or wash transactions or execute any 

Order with knowledge of its nature. No Person shall place or accept Orders in the same Swap 

where the Person knows or reasonably should know that the purpose of the Orders is to avoid 

taking a bona fide market position exposed to market risk (transactions commonly known or 

referred to as wash sales). Orders for different accounts with common beneficial ownership that 

are entered with the intent to negate market risk or price competition shall also be deemed to 

violate the prohibition on wash trades. Additionally, no Person shall knowingly execute or 

accommodate the execution of such Orders by direct or indirect means. 

(b) No Participant, Account Manager, DMA Customer or Authorized Trader shall 

engage in a pre-arranged transaction except as permitted by Rule 516, Rule 521 or Rule 531. 

RULE 507. Pre-Execution Communications

(a) Pre-Execution Communications with respect to Swaps executed through the 

Order Book shall be prohibited except in the case of Trades executed in accordance with Rule 

521. 

(b) Pre-Execution Communications are permitted with respect to Swaps executed 

through the Request for Quote Functionality or Manual Order Ticket in accordance with Rule 

522. 

RULE 508.A Price Manipulation 

No Participant, Account Manager, DMA Customer, Authorized Trader, Supervised 

Person or any market participant shall directly or indirectly engage in any conduct that 

manipulates or attempts to manipulate the price of any Swap, including without limitation, 

engaging in activity in violation of CFTC Regulation 180.2. 

RULE 508.B Disruptive Practices 

(a) No Participant, Account Manager, DMA Customer, Authorized Trader or 

Supervised Person shall engage in any trading, practice or conduct that constitutes a 

“disruptive practice,” as such term is described in CEA section 4c(a)(5) or in any interpretive 

guidance issued by the CFTC, in relation to the trading of any Swap. 

(b) A Participant may post on the CLOB and submit an RFQ to the SEF Platform in 

the same Swap at the same time using the same Participant ID only as permitted by Rule 

508.B(a) and Rule 508.A. 

RULE 509. Prohibition of Misstatements 

It shall be an offense to make any knowing misstatement of a material fact to BSEF, any 

SEF Official, any Board committee or SEF panel, the Compliance Department and/or agents of 

BSEF (including the Regulatory Services Provider) or any Participant or any of its Account 

Managers, Authorized Traders or Supervised Persons. 
40 

RULE 510. Acts Detrimental to Welfare of SEF 

It shall be an offense to engage in any act that is detrimental to the interest or welfare of 

the SEF operated by BSEF.

RULE 511. Adherence to Law 

(a) No Participant, Account Manager, Customer, Authorized Trader or Supervised 

Person shall engage in conduct in violation of the BSEF Rules, the Act, CFTC Regulations, the 

Rules of any SEF, or the rules of any DCM, DCO or SRO that has jurisdiction over such 

Participant, Account Manager, Customer, Authorized Trader or Supervised Person or, with 

respect to SEF Activity, the laws, rules or regulations of any relevant Governmental Body. 

(b) Without limiting subsection (a) of this Rule, 

(i) each Participant that is an FCM or a Clearing Member must comply with 

all requirements of Applicable Law regarding the treatment of Customer 

funds and Customer Orders; and 

(ii) each Participant, Customer or Account must comply with all margin 

requirements established by each relevant Clearing House and by each relevant Clearing 

Member, if applicable, as well as any margin requirements set forth by the CFTC or 

Applicable Law. 

RULE 512. Use of Trading Privileges 

No Participant, Account Manager, DMA Customer, Authorized Trader or Supervised 

Person may use such Participant’s Trading Privileges in any way that could be expected to bring 

disrepute upon such Participant, Account Manager, DMA Customer, Authorized Trader or 

Supervised Person. 

RULE 513. Supervision 

Each Participant, DMA Customer and Account Manager shall be responsible for 

establishing, maintaining and administering reasonable supervisory procedures to ensure that its 

Authorized Traders and Supervised Persons, as applicable, comply with the BSEF Rules, the 

Act, CFTC Regulations, the Rules of any SEF, or the rules of any DCM, DCO or SRO that has 

jurisdiction over such Participant, Account Manager, DMA Customer, Authorized Traders or 

Supervised Persons or, with respect to SEF Activity, the laws, rules or regulations of any 

relevant Governmental Body, and such Participant may be held accountable for the actions of 

such Account Managers, Authorized Traders or Supervised Persons. 

RULE 514. Misuse of the SEF Platform 

Misuse of the SEF Platform is strictly prohibited. Only Swaps can be traded on the SEF 

operated by BSEF. It shall be deemed an act detrimental to the interest and welfare of the SEF 

operated by BSEF to willfully or negligently engage in unauthorized use of the SEF Platform, to 

assist any Person in obtaining unauthorized access to the SEF Platform, to trade on the SEF 

Platform without an agreement and an established account with a Derivatives Clearing 

Organization or a Clearing Member, to alter the equipment associated with the SEF Platform, to 
41 

interfere with the operation of the SEF Platform, to intercept or interfere with information 

provided thereby, or in any way to use the SEF Platform in a manner contrary to the BSEF 

Rules. 

RULE 515. Mishandling of Customer Orders 

Any Participant that mishandles any Customer Order is responsible for all remedial 

actions with respect to such Order.

RULE 516. Trade Cancellation, Correction, Offset and Adjustment 

RULE 516.A Trade Review and Notification of Action Taken – Cleared 

Swaps 

(a) Any Trade in Cleared Swaps executed on or in accordance with the Rules of the 

SEF operated by BSEF can be canceled, corrected, adjusted or offset only upon consent of BSEF 

and in accordance with this Rule 516. To request cancellation, correction, adjustment or offset 

of a Trade alleged to be erroneous (“Alleged Error Trade”), a Participant must notify the BSEF 

Support Desk at 1-212-617-1530 or bsefdesk@bloomberg.net or by any form of written 

communication approved by BSEF by providing the Trade ID (FIT Key) of the Alleged Error 

Trade and stating the grounds for the request as soon as possible, but no later than the end of the 

Business Day following the date of execution of the Alleged Error Trade. For notifications 

received after such date, BSEF shall have discretion as to whether to review the request to 

cancel, correct, adjust or offset the Alleged Error Trade. 

(b) For an Alleged Error Trade, the Compliance Department will review promptly the 

electronic audit trail of the Alleged Error Trade as well as any other facts and circumstances 

associated with the Alleged Error Trade. If BSEF makes an affirmative finding that the Alleged 

Error Trade was the result of a clerical or operational error and that the cancellation, correction, 

adjustment or offset of the Alleged Error Trade is appropriate and would not adversely impact 

market integrity, facilitate market manipulation or other illegitimate activity, or otherwise violate 

the CEA, CFTC Regulations or BSEF Rules, BSEF will designate such Alleged Error Trade as 

an “Error Trade.” 

(c) BSEF will inform affected Participants of the Error Trade and of the next steps 

that the Participants must or could make. BSEF will also inform the affected Participants of the 

final disposition of the Error Trade. 

(d) In the course of its review of an Alleged Error Trade, other than a Trade executed 

via the CLOB, BSEF may, but is not obliged to, inform Participants affected by the Alleged 

Error Trade of the identity and contact information of any other Participant affected by the 

Alleged Error Trade. 

(e) For Trades executed via the CLOB that are determined to be Error Trades, BSEF 

will inform Participants affected by the Error Trade of the identity and contact information of 

any other Participant affected by the Error Trade if (i) all such Participants agree to or are 

required to enter into Trades described in Rule 516.B; and (ii) all such Participants consent to the 

disclosure of their identity and contact information to any other Participant affected by the Error 

Trade. 
42 

(f) For purposes of this Rule 516, a Participant involved in an Alleged Error Trade 

and acting as an Account Manager, Introducing Broker or FCM shall have the authority to 

request or consent to the cancellation, adjustment or offset, as applicable, of such Trade on 

behalf of the relevant Counterparty involved in the Trade. 

(g) “Offsetting Terms” mean the terms that match all terms of the corresponding 

Error Trade other than the direction of the Error Trade. 

RULE 516.B Error Trade Cancellation, Correction, Adjustment and Offset 

– Cleared Swaps 

(a) Participant Errors

(i) For each Error Trade cleared by a Clearing House, BSEF may, if both 

Participants agree: 

(A) request, or allow the Participants to request, the appropriate 

Clearing House to cancel, correct or adjust the Error Trade; or 

(B) allow the affected Participants to enter into a pre-arranged Trade 

with Offsetting Terms to offset the position on the books of the Clearing 

House that resulted from the Error Trade; and/or 

(C) if desired by the affected Participants, allow the affected 

Participants to execute a new Trade that corrects the error in the Error 

Trade, provided, however, that the terms of such new Trade shall not 

include costs or fees associated with the Error Trade. 

(ii) For each Error Trade rejected by a Clearing House and determined to be 

void ab initio under Rule 533 because of an operational or clerical error or omission 

made by a Participant, Counterparty or Account Manager, BSEF may, if both Participants 

agree, allow the affected Participants to enter into a new pre-arranged Trade correcting 

the terms of the rejected Error Trade. 

(iii) All BSEF Rules other than Rule 522.A shall apply to new Trades executed 

by Participants pursuant to this Rule 516.B(a). 

(iv) Participants must report to BSEF as soon as possible all changes made to 

the Error Trade pursuant to Rule 516.B(a)(i)(A). 

(v) With respect to an Error Trade rejected by a Clearing House for non-credit 

reasons, if the new Trade that corrects the Error Trade is also rejected by the Clearing 

House and void ab initio, the affected Participants will not be provided a second 

opportunity to correct the Error Trade. 

(b) System Errors

(i) If, after its own investigation or a notice from a Participant, BSEF 

determines in its sole discretion that the execution of a Trade cleared by a Clearing House 
43 

was the result of an error made by the SEF Platform and the Trade has been designated as 

an Error Trade, then BSEF may: 

(A) request, or allow the Participants to request, the appropriate 

Clearing House to cancel, correct or adjust the Error Trade; or 

(B) direct the affected Participants to enter into a pre-arranged Trade 

with Offsetting Terms to offset the position on the books of the Clearing 

House that resulted from the Error Trade; and/or 

(C) direct the affected Participants to execute a new Trade that corrects 

the error in the Error Trade, provided, however, that the terms of such new 

Trade shall not include costs or fees associated with the Error Trade. 

(ii) If, after its own investigation or a notice from a Participant, BSEF 

determines in its sole discretion that the execution of a Trade rejected by a Clearing 

House and determined to be void ab initio under Rule 533 because of an operational or 

clerical error or omission made by the SEF Platform was the result of an error made by 

the SEF Platform and the Trade has been designated as an Error Trade, then BSEF may 

direct the affected Participants to enter into a new pre-arranged Trade correcting the 

terms of the rejected Error Trade, provided, however, that the terms of such new Trade 

shall not include costs or fees associated with the Error Trade. 

(iii) If BSEF directs affected Participants to enter into a pre-arranged Trade in 

accordance with sub-section (i)(B) above, the affected Participants shall enter into such 

pre-arranged Trade. 

(iv) All BSEF Rules other than Rule 522.A shall apply to new Trades executed 

by Participants pursuant to this Rule 516.B(b). 

(v) Notwithstanding anything to the contrary in this Rule 516(B)(b), BSEF 

reserves the right to correct an Error Trade resulting from an error made by the SEF 

Platform by any means BSEF deems appropriate. 

(vi) If BSEF is unable to determine how to correct the Error Trade, BSEF may 

either not fix the error, or it may seek guidance on how to address the error from the 

affected Participants. Any such guidance may not be implemented without consent from 

both Participants. 

(vii) Participant must report to BSEF as soon as possible all changes made to 

the Error Trade pursuant to Rule 516.B(b)(i)(A). 

(viii) With respect to an Error Trade rejected by a Clearing House for non-credit 

reasons, if the new Trade that corrects the Error Trade is also rejected by the Clearing 

House and void ab initio, the affected Participants will not be directed to enter into 

another Trade to correct the Error Trade. 

(c) Timing of an Offset or Correction. 
44 

(i) For Error Trades rejected by a Clearing House for non-credit reasons, the 

new Trade must be executed on the SEF operated by BSEF and submitted for clearing as 

quickly as technologically practicable after receipt of notice of the rejection by the 

Clearing House to the Clearing Members, but, in any event, no later than one hour from 

the issuance of the notice. 

(ii) For Error Trades in Cleared Swaps, the Trade to offset the Error Trade 

carried on the Clearing House’s books or the new Trade that corrects the error in the 

Error Trade executed pursuant to this Rule 516.B must be executed and submitted for 

clearing no later than three Business Days after the Error Trade was executed. 

(d) This Rule 516.B is subject to CFTC No-Action Letter 17-27, which does not 

expire until the effective date of revised CFTC Regulations that establish a permanent, 

practicable solution for swaps with operational or clerical errors executed on a SEF. 

RULE 516.C Erroneous Trade Cancellation, Correction and Adjustment – 

Non-Cleared Swaps 

(a) Participant Error 

(i) The Participants involved in an erroneous Trade, other than a Prime 

Broker Trade, may mutually agree to cancel the erroneous Trade or to correct or adjust 

the erroneous Trade. BSEF will cancel, correct or adjust the erroneous Trade as 

instructed by the affected Participants. A Prime Broker Trade shall be canceled in 

accordance with Rule 516.D. 

(b) System Error 

(i) If, after its own investigation or a notice from a Participant, BSEF 

determines in its sole discretion that the execution of a Trade, other than a Prime Broker 

Trade, was the result of an error made by the SEF Platform, then BSEF may: 

(A) cancel such Trade; or 

(B) if both Participants, or with respect to a Prime Broker Trade, both 

Participants and the Prime Broker, affected by the erroneous Trade agree, 

correct or adjust the price. 

(c) Timing of a Correction, Cancellation or Adjustment. Any correction, 

cancellation or adjustment made pursuant to this Rule 516.C shall be made no later than three 

Business Days after the erroneous Trade was discovered. 

RULE 516.D Prime Broker Trades 

(a) A Participant that is a Counterparty to a Prime Broker Trade may request the 

cancellation of a Prime Broker Trade. The Participant must request cancellation by sending a 

cancellation message to BSEF. The cancellation message must state the USI of the Prime Broker 

Trade, name and contact information of the Prime Broker for the Prime Broker Trade and the 

reason for cancellation. If the Prime Broker confirms the cancellation, BSEF will cancel the 

Prime Broker Trade. 
45 

(b) Subject to subsection (c) of this Rule, a Prime Broker shall have the right to 

cancel any Prime Broker Trade (i) that is executed in excess of the limit, terms or parameters 

established by the Prime Broker with respect to the Prime Broker Trade, (ii) because the Prime 

Broker Trade was executed by or with a Person that was not authorized by the Prime Broker, or 

(iii) because the Prime Broker Trade was executed for an unauthorized product. The Prime 

Broker must request cancellation by sending a cancellation message to BSEF. The cancellation 

message must state the USI of the Prime Broker Trade and the reason for cancellation. If BSEF 

determines that the cancellation satisfies the conditions of Rule 516.D(b), BSEF will cancel the 

Prime Broker Trade. 

(c) Each Prime Broker that wishes to have the ability to instruct BSEF to cancel 

Trades executed on BSEF under Rule 516.D.(b) must enter into an agreement with BSEF. 

RULE 516.E Trade Cancellation and Adjustment by BSEF 

(a) BSEF may adjust or cancel a Trade (i) that resulted from a market disrupting 

event, (ii) that is executed at a price that was outside the No-Bust Range, (iii) to comply with 

the Applicable Law or (iv) that was intended to be cleared and was submitted to a Clearing 

House via a service provider but was not presented to the Clearing House for clearing due to a 

post-execution processing issue. 

(b) If BSEF takes action pursuant to this Rule 516.E, it will give prompt notice to 

affected Participant or Participants and will use good faith, commercially reasonable efforts to 

obtain such Participants’ consent to such adjustment or cancellation. 

RULE 516.F Trade Reporting by BSEF 

BSEF will report the adjustment or cancellation of the Trade and any new Trade entered 

into pursuant to this Rule in accordance with Rule 532. 

RULE 517. Withholding Orders Prohibited 

(a) Any Participant entering RFQs or Orders on the SEF operated by BSEF for its 

Customers shall not withhold or withdraw from the market any RFQ or Order, or any part of an 

RFQ or Order, for the benefit of any Person other than the Customers. 

(b) A Participant must enter immediately into the SEF operated by BSEF all Orders 

or Requests for Quotes received from its Customers that are executable immediately. If a 

Participant cannot immediately enter into the SEF Platform an Order or Request for Quote 

received from its Customer, the Participant must enter the Order or Request for Quote into the 

SEF operated by BSEF as soon as practicable, and must immediately create an electronic record 

as provided in Rule 409. 

RULE 518. Priority of Customers’ Orders 

No Participant that is an FCM or Introducing Broker shall enter an Order into the SEF 

operated by BSEF for his own account, an account in which he has a direct or indirect financial 

interest or an account over which he has discretionary trading authority, including an Order 

allowing discretion as to time and price, when such Person is in possession of any Order in the 

same Swap for its Customer that the SEF operated by BSEF is capable of accepting. 
46 

RULE 519. Trading Against Customers’ Orders Prohibited 

RULE 519.A. General Prohibition 

No Person in possession of a Customer’s Order shall knowingly take, directly or 

indirectly, the opposite side of such Order for its own account, an account in which it has a direct 

or indirect financial interest, or an account over which it has discretionary trading authority. 

RULE 519.B. Exceptions 

The foregoing restriction shall not apply to transactions executed pursuant to Rule 531.A 

or Rule 531.B. 

RULE 520. Disclosing Orders Prohibited 

No Person shall disclose another Person’s RFQ or Order to buy or sell except to a 

designated SEF Official or the CFTC, and no Person shall solicit or induce another Person to 

disclose RFQ or Order information. No Person shall take action or direct another to take action 

based on non-public RFQ or Order information, however acquired. 

RULE 521. Simultaneous Buy And Sell Orders For Different Beneficial 

Owners 

(a) A Participant that is a broker or a dealer which seeks either to execute against a 

Customer’s Order or to execute two Customers against each other through an Order Book 

following some form of pre-arrangement or pre-negotiating of such Orders must expose one side 

of the transaction for a minimum of 15 seconds to the other Participants before the second side of 

the transaction (whether for the Participant’s own account or for a second Customer) can be 

submitted for execution.

(b) Notwithstanding the foregoing clause (a), this Rule shall not apply to any DMA 

Order.

RULE 522. Execution of Orders on the SEF Platform 

RULE 522.A. Required Transactions 

(a) No Participant shall execute a Required Transaction in a Swap listed on the SEF 

operated by BSEF other than as described in this Rule 522.A unless it is a Block Trade. 

(b) Request for Quote Functionality 

(i) An RFQ for a specific Swap must be sent to at least three MAT Recipient 

Participants. A Participant is prohibited from sending an RFQ to less than three MAT 

Recipient Participants. 

(ii) Together with the first response from any MAT Recipient Participant, the 

SEF Platform will display to a Requesting Participant any firm Resting Quotes for the 

Swap indicated in the RFQ that are posted on an Order Book together with any responses 

to the RFQ from the MAT Recipient Participants, and such Resting Quotes will remain 
47 

displayed until all responses to the RFQ are received or the time for response has lapsed. 

The SEF Platform will permit the Requesting Participant to execute against such firm 

Resting Quotes along with any responsive Order from a MAT Recipient Participant. 

“MAT Recipient Participant” means, with respect to any Requesting Participant 

sending any RFQ via the Request for Quote functionality of the SEF Platform, a 

Participant other than the Requesting Participant that (x) is not an Affiliate of or 

Controlled by the Requesting Participant and (y) is not an Affiliate of or Controlled by 

any other MAT Recipient Participant receiving the same RFQ of the Requesting 

Participant. 

(iii) The Request for Quote Functionality will provide each Participant with 

equal priority in receiving RFQs, transmitting and displaying responses and accepting 

resulting Orders. 

(c) CLOB for Cleared Swaps 

Only firm bids and offers can be posted on the CLOB. Firm bids or offers may be 

posted on the CLOB for Cleared Swaps only by a Participant that is a member of the applicable 

Clearing House, by a Participant that has a clearing account with a Clearing Member as set forth 

in Rule 533(b), or by a Participant in the name of an Account or Customer that has a clearing 

account with a Clearing Member as set forth in Rule 533(b). Bids and offers posted on the 

CLOB for Cleared Swaps are anonymous and will be matched on a price/time priority basis. 

RULE 522.B. Permitted Transactions 

The following execution methods are available for Permitted Transactions: 

(a) Disclosed Order Book for Permitted Transactions in foreign exchange Swaps; 

(b) Anonymous CLOB for Permitted Transactions in rate Swaps and credit Swaps 

that are Cleared Swaps; 

(c) Disclosed CLOB for Permitted Transactions in rate Swaps and credit Swaps that 

are Non-Cleared Swaps; 

(d) Request For Quote Functionality-request for streaming quote for rate Swaps, 

credit Swaps, non-deliverable forwards and precious metals Swaps; 

(e) Request For Quote Functionality-request for non-streaming quote for all Swaps; 

and 

(f) Manual Order Ticket for Permitted Transaction rate Swaps and credit Swaps that 

are Cleared Swaps. 

RULE 522.C. Package Transactions 

(a) Other than as set forth in Rule 522.C(b), a Package Transaction or a component of 

a Package Transaction that is a Required Transaction must be executed as provided in Rule 

522.A. 
48 

(b) A Covered Package Transaction or a component of a Covered Package 

Transaction that is a Required Transaction may be executed using the following means of 

execution for Permitted Transactions in accordance with CFTC No-Action Letter 17-55, which 

expires November 15, 2020: 

(i) Request For Quote Functionality-request for non-streaming quote; and 

(ii) Manual Order Ticket. 

RULE 522.D. Execution of Swaps Subject to the Clearing Exemption 

No Participant shall enter into a Clearing Exempt Transaction unless it (or its Account or 

Customer) or its Counterparty can claim a Clearing Exception with respect to such Clearing 

Exempt Transaction. An Order for a Clearing Exempt Transaction will be rejected if an 

applicable Clearing Exception Form is not on file with BSEF. 

RULE 522.E. Block Trades 

(a) In accordance with CFTC No-Action Letter 17-60, which expires November 15, 

2020 at 11:59 p.m. EST, until November 15, 2017 Block Trades in Cleared Swaps may be 

executed using the Request for Quote Functionality or a Manual Order Ticket and reported to an 

SDR as set forth in BSEF Rule 532(d). 

(b) Each Counterparty to a Block Trade must be an ECP. 

(c) The aggregation of Orders for different accounts in order to satisfy the Minimum 

Block Trade size is permissible only by a Person who is a Qualified Account Manager. 

(d) A Qualified Account Manager transacting an aggregated Block Trade on behalf of 

any other Person must receive prior Written instruction or consent from each such other Person 

to do so. Such instruction or consent may be provided in the power of attorney or similar 

document by which the other Person provides the Person with discretionary trading authority or 

the authority to direct the trading in its account. 

RULE 523. Trade Confirmations 

(a) BSEF will confirm each Trade at the same time as execution of the Trade. BSEF 

will provide each Counterparty to a Trade that is entered into on or pursuant to the BSEF Rules 

with a Written record of all of the terms of the Trade which shall legally supersede any previous 

agreement and serve as a confirmation of the transaction (a “Confirmation”) as soon as 

technologically practicable after the execution of a Trade. Such terms shall legally supersede 

any previous agreement and serve as a confirmation of the Trade. BSEF will not include specific 

customer identifiers for accounts included in Bunched Orders if the applicable requirements of 

CFTC Regulation 1.35(b)(5) are met.

(b) On the Confirmation BSEF will:

(i) provide the USI for the Trade and the name of the SDR where the Trade is 

reported; 
49 

(ii) identify the Counterparty that is a Reporting Counterparty pursuant to 

CFTC Regulation 45.8, and notify each Counterparty or its agent if the Counterparty is a 

Reporting Counterparty, using the information provided by a Participant pursuant to Rule 

524.A or 524.C; and 

(iii) if each Counterparty has equal reporting status under CFTC Regulation 

45.8 BSEF will designate the Reporting Counterparty using the following rules: 

(A) For rates asset class, the Reporting Counterparty will be 

determined in accordance with the ISDA Dodd-Frank Act – Swap 

Transaction Reporting Party Requirements, the relevant portion of which 

is attached to this Rulebook as Annex A; 

(B) For credit asset class, the Reporting Counterparty is the seller of 

protection; 

(C) For foreign exchange and commodity asset classes: the Reporting 

Counterparty is the liquidity provider. A “liquidity provider” is a Person 

that: (i) for RFQ, provided the responses to an RFQ that led to the reported 

Trade; or (ii) for an Order Book, provided the first quote that led to the 

reported Trade. 

(c) With respect to any Non-Cleared Swap, a Confirmation shall for purposes of 

Commission Regulation 37.6(b) consist of the Trade Communication and the Terms 

Incorporated by Reference. In the event of any conflict between (x) the Trade Communication 

and (y) the Terms Incorporated by Reference, the Trade Communication shall prevail to the 

extent of any inconsistency and the Trade Communication will state the same. 

“Trade Communication” shall mean a Written communication provided by 

BSEF to each Participant involved in a Trade containing the economic terms of 

the Trade agreed by the Participants on the SEF operated by BSEF. 

“Terms Incorporated by Reference” shall mean the Non-Cleared Swap 

Agreement(s) governing the Trade memorialized in the Trade Communication. 

(d) In accordance with CFTC No-Action Letter 16-25 and CFTC No-Action Letter 

17-17, until the effective date of revised CFTC regulations that establish a permanent, 

practicable SEF confirmation solution, Participants entering into Non-Cleared Swaps on or 

subject to the rules of the SEF operated by BSEF are not required to provide to BSEF the NonCleared Swap Agreement(s) governing such Non-Cleared Swaps prior to entering into a Trade in 

a Non-Cleared Swap, but must provide copies of the Non-Cleared Swap Agreement(s) to BSEF 

upon request. Upon request from the Commission, BSEF will request a Participant to provide 

copies of the applicable Non-Cleared Swap Agreement(s) and will provide such copies to the 

Commission. 
50 

RULE 524. Order Entry Requirements 

RULE 524.A. General 

Each Authorized Trader entering an RFQ or Order with respect to any Swap traded on 

the SEF operated by BSEF must include with the Order, as applicable: 

(a) the Trader ID; 

(b) the Participant ID; 

(c) the Legal Entity Identifier of the Participant or Account Manager placing the RFQ 

or Order, if available; 

(d) the Counterparty’s Legal Entity Identifier; 

(e) the Swap description or code; 

(f) the price or yield, quantity, maturity or expiration date of the Swap; 

(g) side of the Order; 

(h) the CTI code; 

(i) Trading Accounts and other relevant account(s); 

(j) a yes/no indication of whether the Counterparty is a Swap Dealer with respect to 

the Swap with respect to which the Order is placed; 

(k) a yes/no indication of whether the Counterparty is a Major Swap Participant with 

respect to the Swap with respect to which the Order is placed; 

(l) a yes/no indication of whether the Counterparty is a Financial Entity; 

(m) a yes/no indication of whether the Counterparty is a U.S. person; 

(n) a yes/no indication that a Swap is an inter-affiliate Swap that should not be 

subject to the real-time reporting requirements; 

(o) a yes/no indication of the Clearing Exception; 

(p) an indication of whether the Swap is a leg of a Package Transaction that is a Swap 

subject to (i) the trade execution requirement of Section 2(h)(8) of the Act and (ii) relief granted 

by CFTC No-Action Letter 16-76; 

(q) if applicable, other terms of a Swap that is not a Cleared Swap required by BSEF 

(e.g., type of Clearing Exception, collaterization); or 

(r) if the Swap will be allocated: 

(i) an indication that the Swap will be allocated; and 
51 

(ii) the Legal Entity Identifier of the Account Manager. 

RULE 524.B. Customer Type Indicator (CTI) Codes 

Each Participant must identify each transaction submitted to the SEF operated by BSEF 

with the correct customer type indicator code (a “CTI” code). The CTI codes are as follows: 

CTI 1- Transactions executed by a Participant for its own account, for an account it 

controls, or for an account in which it has an ownership or financial interest. 

Applies to Trades placed by Account Managers and proprietary traders other than 

FCMs and Introducing Brokers.

CTI 2- Transactions executed for the Proprietary Account of a Participant. Applies to 

FCMs and Introducing Brokers trading for their Proprietary Accounts. 

CTI 3- Orders that a Participant executes on behalf of another Participant, or for an 

account such other Participant controls or in which such other Participant has an 

ownership or financial interest. Applies to Trades placed by a DMA Customer 

using the Participant ID of the Sponsoring Broker. 

CTI 4- Any transaction not meeting the definition of CTIs 1, 2 or 3. Applies to Trades 

placed by FCMs and Introducing Brokers for their Customers and anything else.

RULE 524.C. Pre-Arranged Transactions 

All Trades executed in accordance with Rule 531, unless otherwise exempted by a Rule, 

must be in the form of a Written or electronic record and include in the Order ticket all 

information required by Rule 524.A. 

RULE 525. Position Limits 

(a) To reduce the potential threat of market manipulation or congestion, BSEF shall 

adopt for each of the contracts of the SEF operated by BSEF, as is necessary and appropriate, 

position limitations for speculators. Where the CFTC has established a position limit for any 

Swap, BSEF’s position limit for that Swap shall not be higher than such limit established by the 

CFTC. Such limits will apply only with respect to trading on the SEF operated by BSEF. 

(b) Except as otherwise provided by the BSEF Rules, no Person, including a 

Participant, may hold or control a position in excess of such position limits and a Participant may 

not maintain a position in excess of such position limits for an Account or Customer if such 

Participant knows, or with reasonable care should know, that such position will cause such 

Account or Customer to exceed the applicable position limits. 

(c) Position limits shall apply to (i) all positions in accounts for which any Person, by 

power of attorney or otherwise, directly or indirectly holds positions or controls trading, and (ii) 

positions held by two or more Persons acting pursuant to an expressed or implied agreement or 

understanding, as if the positions were held by, or the trading of the positions were done by, a 

single Person. 
52 

(d) For Required Transactions, BSEF will enforce position limits only for Trades 

executed on the SEF operated by BSEF. If BSEF establishes position limits or position 

accountability levels for Permitted Transactions, BSEF will demonstrate compliance with CFTC 

Regulation 37.600 by sending the CFTC a list of Permitted Transactions traded on the SEF 

operated by BSEF. 

RULE 526. Exemptions from Position Limits 

Any Person seeking an exemption from the position limits referred to in Rule 525 must 

file an application with BSEF. BSEF shall notify the applicant whether the exemption has been 

approved and whether BSEF has imposed any limitations or conditions on the exemption. The 

decision of BSEF shall be final. 

RULE 527. Position Accountability 

(a) To reduce the potential threat of market manipulation or congestion, BSEF shall 

adopt for each of the contracts of the SEF operated by BSEF, as is necessary and appropriate, 

position accountability levels for speculators. Any Person, including a Participant, who owns or 

controls Swaps in excess of the applicable position accountability level shall provide to BSEF at 

its request any information regarding the nature of the position, trading strategy or hedging 

activities, if applicable, and if ordered by BSEF, shall not increase the size of any such position. 

(b) For purposes of this Rule, all positions in accounts for which a Person, by power 

of attorney or otherwise, directly or indirectly controls trading shall be included with the 

positions held by such Person. The provisions of this Rule shall apply to positions held by two 

or more Persons acting pursuant to an expressed or implied agreement or understanding, as if the 

positions were held by a single Person. 

RULE 528. Bunched Orders and Orders Eligible for Post-Execution 

Allocation 

(a) Only the following categories of Persons may place a Bunched Order to be 

allocated post-execution on the SEF Platform or that is subject to BSEF Rules: 

(i) a commodity trading advisor registered with the Commission pursuant to 

the Act or excluded or exempt from registration under the Act or the CFTC Regulations, 

except for entities exempt under CFTC Regulation 4.14(a)(3); 

(ii) an investment adviser registered with the SEC pursuant to the Investment 

Advisers Act of 1940 or with a state pursuant to applicable state law or excluded or 

exempt from registration under the Investment Advisers Act of 1940 or applicable state 

law or rule; 

(iii) a bank, insurance company, trust company, or savings and loan 

association subject to federal or state regulation; 

(iv) a foreign adviser that exercises discretionary trading authority solely over 

the accounts of non-U.S. persons, as defined in CFTC Regulation 4.7(a)(1)(iv); 
53 

(v) a Futures Commission Merchant registered with the Commission pursuant 

to the Act; or 

(vi) an Introducing Broker registered with the Commission pursuant to the 

Act. 

(b) Bunched Orders must be allocated and recorded in accordance with CFTC 

Regulation 1.35(b)(5) and the NFA’s Interpretative Notice related to Compliance Rule 2-10. 

(c) Bunched Orders may be entered using an Account Series Designation or suspense 

account number; provided, however, that: 

(i) the Order is being placed by an Account Manager for multiple accounts 

eligible for post-execution allocation; and 

(ii) in accordance with CFTC No-Action Letter 15-68, which expires 

November 15, 2017, an Account Manager that places a Bunched Order shall keep and 

must make available upon request of any representative of the Commission, the United 

States Department of Justice, BSEF or other appropriate regulatory agency, records 

sufficient to demonstrate that all allocations meet the standards of CFTC Regulations 

1.35(b)(5)(iv) and to permit the reconstruction of the handling of the order from the time 

of placement by the Account Manager to the allocation to individual accounts. 

RULE 529. Orders Entered Prior to SEF Opening 

Participants are prohibited from sending any Request for Quote or Order or using an 

Order Book or any other facility of BSEF prior to the opening of the trading session. 

RULE 530. Identification of Authorized Traders 

Each Authorized Trader shall be identified to BSEF and shall be subject to the BSEF 

Rules. It is the duty of the Participant to ensure that Authorized Trader (and Trader ID) 

registration is current and accurate at all times. Each individual must use a Trader ID to access 

the SEF operated by BSEF. In no event may a Person enter an RFQ or Order or permit the entry 

of an RFQ or Order by an individual using a user Trader ID other than the individual’s own 

Trader ID. 

RULE 531. Pre-Arranged Transactions 

RULE 531.A. Block Trades 

(a) Each buy or sell Order underlying a Block Trade must (1) if the Order is entered 

by a broker, state explicitly that it is to be, or may be, executed by means of a Block Trade and 

(2) comply with any other applicable CFTC Regulations governing Block Trades. 

(b) Each Person transacting a Block Trade shall be a Participant and shall comply 

with all applicable BSEF Rules other than those which by their terms only apply to trading 

through the SEF Platform. 
54 

(c) Each Counterparty to a Block Trade must be an ECP. 

(d) A Block Trade must be reported to the SEF operated by BSEF. A Block Trade 

must be reported to the SEF operated by BSEF by one Counterparty (or a Participant acting on 

behalf of such Counterparty) and confirmed by the other Counterparty (or a Participant acting on 

behalf of such Counterparty) as soon as practicable after its execution, but may not be submitted 

any later than 10 minutes after the execution of the Block Trade. Each Block Trade must state 

the time of execution to the nearest millisecond. 

(e) BSEF will review the information submitted by the Participant(s) for the Block 

Trade and will report the Block Trade as required by Part 43 and Part 45 of the CFTC 

Regulations if the details are complete and accurate in accordance with this Rule. A Participant 

that executes a Bunched Order as a Block Trade must comply with Rule 524.C. A Participant 

that executes a Bunched Order as a Block Trade must provide BSEF with the allocation 

information as soon as practicable. 

(f) Block Trades shall not trigger unexecuted Orders. 

(g) Each Participant or Account Manager that is a party to a Block Trade or executes 

a Block Trade on behalf of its Accounts or Customers must comply with the recordkeeping 

requirements set forth in Rule 409.A(c). Upon request by BSEF, such Participant shall produce 

satisfactory evidence, including the order ticket referred to in the preceding sentence, that the 

Block Trade meets the requirements set forth in this Rule 531.A. 

(h) Any Block Trade in violation of these requirements shall constitute conduct 

which is inconsistent with just and equitable principles of trade. 

(i) The aggregation of Orders for different accounts in order to satisfy the Minimum 

Block Trade size is permissible only by a Person who is a Qualified Account Manager. 

(j) A Qualified Account Manager transacting an aggregated Block Trade on behalf of 

any other Person must receive prior Written instruction or consent from each such other Person 

to do so. Such instruction or consent may be provided in the power of attorney or similar 

document by which the other Person provides the Person with discretionary trading authority or 

the authority to direct the trading in its account. 

RULE 531.B. Trade Correction 

 If permitted by Rule 516, two Participants may pre-arrange a trade correcting an error. 

RULE 531.C. Covered Package Transactions 

 Two Participants may arrange bilaterally a Covered Package Transaction subject to BSEF 

Rules outside the SEF Platform; provided, however, that each component of such Covered 

Package Transaction that is a Required Transaction must be executed on the SEF Platform. Such 

Required Transaction may be executed via execution methods for Permitted Transactions. 
55 

RULE 532. Reporting to SDR 

(a) BSEF will report each Trade to an SDR of BSEF’s choice as soon as 

technologically practicable after the execution of such Trade. For Cleared Swaps, BSEF will 

report all real-time data required by Part 43 of the CFTC Regulations and all creation data 

required by Part 45 of the CFTC Regulations. Until the expiration date of CFTC No-Action 

Letter 16-25, for Non-Cleared Swaps, BSEF will report all real-time data required by Part 43 of 

the CFTC Regulations and all primary economic terms data required by Part 45 of the CFTC 

Regulations, as well as any confirmation data that is readily available and collected by BSEF. 

(b) The Reporting Counterparty designated in accordance with subsection (b) of Rule 

523 shall comply with all reporting obligations set forth in Part 45 of the CFTC Regulations 

applicable to a Reporting Counterparty including reporting Trade allocations. 

(c) BSEF will report the actual notional or principal amount of a Block Trade to the 

appropriate SDR as set forth in Part 43 and Part 45 of the CFTC Regulation. 

(d) A Participant that is a Reporting Counterparty or the Account Manager or broker 

for a Reporting Counterparty may instruct BSEF to report a Trade executed pursuant to BSEF 

Rules 522.E or 531.A as a “block trade” for purposes of Part 43 of CFTC Regulations. 

(e) Each Participant that is the Reporting Counterparty, or an Account Manager or 

broker for a Reporting Counterparty shall review the Trade details as soon as technologically 

practicable upon transmission of the Trade details to the Participant. The non-reporting 

counterparty shall report any errors in such Trade details to the Reporting Counterparty as soon 

as technologically practicable. The Reporting Counterparty shall report all errors in such Trade 

details to BSEF as soon as technologically practicable after finding or being made aware of any 

error or omission in the data as reported and/or maintained by the relevant SDR. BSEF shall 

then submit the corrected data to the relevant SDR. 

(f) No Person, including BSEF, shall submit or agree to submit a cancellation or 

correction for the purpose of re-reporting Swap transaction and pricing data in order to gain or 

extend a delay in public dissemination of accurate Swap transaction or pricing data or to 

otherwise evade the reporting requirements in Part 43 of the CFTC Regulations. 

(g) BSEF will report all Trades to DTCC Data Repository (U.S.) LLC. 

RULE 533. Cleared Swaps 

(a) Each Cleared Swap shall be cleared through the Clearing House indicated in the 

Swap Specification in accordance with the CEA and the CFTC Regulations. 

(b) For each Cleared Swap a Participant expects to enter into via the SEF Platform or 

subject to BSEF Rules, the Participant or an Account or Customer of the Participant must 

establish a clearing account with the Clearing House or with a Clearing Member of the Clearing 

House, in each case, designated in the Swap Specification for such Cleared Swap. 

(c) All Trades in Cleared Swaps by a Participant or its Account or Customer must be 

guaranteed to the Clearing House by a Clearing Member following the Clearing Member’s 

acceptance of such Trade for clearing. 
56 

(d) BSEF shall submit each Trade to the Clearing House specified in the Swap 

Specifications. If BSEF receives a notice from the Clearing House rejecting a Trade for clearing, 

such Trade is void ab initio. 

(e) BSEF will provide each Clearing Member with tools to screen each Order or RFQ 

in Cleared Swaps based on criteria established by such Clearing Member. If an Order or an RFQ 

fails to satisfy the criteria established by the Clearing Member, BSEF will reject the Order or 

will not allow the RFQ to be sent. 

(f) If manual affirmation of a Trade in Cleared Swaps is required prior to 

presentation of the Trade to a Clearing House, a Participant must affirm the Trade within 5 

minutes after the execution of the Trade. 

RULE 534. Non-Cleared Swaps 

(a) Any Participant that is a Swap Dealer or Major Swap Participant, or if neither 

Counterparty is a Swap Dealer or Major Swap Participant, the Participant that is the Reporting 

Counterparty, that places an Order or sends or responds to an RFQ with respect to a Non-Cleared 

Swap shall ensure that there is a Non-Cleared Swap Agreement between the Participant or its 

Account or Customer, as applicable, and the prospective Counterparty to such Swap prior to 

placing such Order or sending or responding to such RFQ. Both Participants involved in 

execution of a Non-Cleared Swap (whether in a principal capacity or in their capacity as agents 

on behalf of their respective Accounts or Customers) shall, upon the request of BSEF, make 

available to BSEF any terms of such Non-Cleared Swap that are not reflected in the applicable 

Swap Specification and shall comply with Order entry requirements for Non-Cleared Swaps that 

BSEF shall establish from time to time. 

(b) Each Participant involved in a Prime Broker Trade must notify the Prime Broker 

as soon as technologically possible of each Prime Broker Trade executed pursuant to the Rules 

of BSEF to which the Prime Broker is a Counterparty, and provide to the Prime Broker the 

Confirmation for the Prime Broker Trade issued by BSEF. 

RULE 535. Risk Controls 

(a) BSEF may, in its sole discretion, reject any RFQ or Order or Block Trade placed 

or reported on the SEF Platform if such RFQ or Order or Block Trade is in violation of any 

BSEF Rule or Applicable Law. 

(b) BSEF shall have the right to take any action to reduce the potential of market 

disruption, including market restrictions that pause or halt trading in market conditions 

prescribed by BSEF if such action is in the best interest of the swap markets. 

(c) BSEF shall have the right in its sole discretion to cancel Trades executed at prices 

outside the No-Bust Range. “No-Bust Range” shall mean the price of a Swap that is no more 

than 30% higher or lower than the prior Business Day’s Daily Settlement Price for such Swap. 

(d) If a Swap affected by any action of BSEF under this Rule 535 is fungible with, 

linked to, or a substitute for, other Swaps on the SEF operated by BSEF, BSEF may apply the 

same action to any such other Swaps. 
57 

(e) If a Swap is fungible with, linked to or a substitute for a financial instrument 

trading on another trading venue, including any trading venue regulated by the SEC (a “Linked 

Swap”), and such other trading venue placed risk controls on such financial instrument, BSEF 

shall have the right to place similar risk controls on the Linked Swap. 

CHAPTER 6. DISCIPLINARY RULES 

RULE 601. General 

(a) Any Person is subject to this Chapter 6 if it is alleged to have violated, to have 

aided and abetted a violation, to be violating, or to be about to violate, any BSEF Rule or any 

provision of Applicable Law for which BSEF possesses jurisdiction. 

(b) BSEF, through the Compliance Department, the Disciplinary Panel and the 

Appeals Panel, will conduct inquiries, investigations, disciplinary and appeals proceedings, 

summary impositions of fines, summary suspensions or other summary actions in accordance 

with this Chapter 6. 

(c) No SEF Official will interfere with or attempt to influence the process or 

resolution of any inquiry, investigation, disciplinary or appeals proceeding, summary imposition 

of fines, summary suspension or other summary action. No Director will interfere with or 

attempt to influence the process or resolution of any inquiry, investigation, disciplinary or 

appeals proceeding and summary imposition of fines, summary suspension or other summary 

action, except to the extent provided under the BSEF Rules with respect to a proceeding in which 

the Director is a member of the relevant panel. 

(d) Any Person that directly or indirectly effects a transaction on the SEF operated by 

BSEF may be represented by counsel during any inquiry, investigation, disciplinary or appeals 

proceeding, summary imposition of fines, summary suspension or other summary actions 

pursuant to this Chapter 6. 

(e) Pursuant to this Chapter 6, BSEF may hold a Participant liable for, and impose 

sanctions against such Participant, for such Participant’s own acts and omissions that constitute a 

violation as well as for the acts and omissions of each (i) Authorized Trader of such Participant, 

(ii) Supervised Person of such Participant, (iii) other Person using the Trader ID or login 

credentials linked to the Participant or Participant ID, or (iv) other agent or representative of such 

Participant, in each case, that constitute a violation as if such violation were that of the 

Participant. 

(f) Pursuant to this Chapter 6, BSEF may hold an Authorized Trader liable for, and 

impose sanctions against him or her, for such Authorized Trader’s own acts and omissions that 

constitute a violation as well as or for the acts and omissions of any other agent or representative 

of such Authorized Trader that constitute a violation as if such violation were that of the 

Authorized Trader. 

(g) A Person subject to a disciplinary or appeals proceeding (and any counsel or 

representative of such Person) and the Compliance Department (and any counsel or 

representative of the Compliance Department including any Regulatory Services Provider) shall 

not knowingly make or cause to be made an ex parte communication relevant to the merits of a 
58 

disciplinary or appeals proceeding to any member of the Disciplinary Panel or Appeals Panel 

hearing such proceeding. Members of a Disciplinary Panel or Appeals Panel shall not 

knowingly make or cause to be made an ex parte communication relevant to the merits of a 

disciplinary or appeals proceeding to any Person subject to such proceeding (and any counsel or 

representative of such Person) and the Compliance Department (and any counsel or 

representative of the Compliance Department including any Regulatory Services Provider). 

Any Person who receives, makes or learns of any communication which is prohibited by this 

Rule shall promptly give notice of such communication and any response thereto to the 

Compliance Department and all parties to the proceeding to which the communication relates. A 

Person shall not be deemed to have violated this Rule if the Person refuses an attempted 

communication concerning the merits of a proceeding as soon as it becomes apparent the 

communication concerns the merits. 

RULE 602. Inquiries and Investigation 

(a) The Compliance Department, with the assistance of a Regulatory Services 

Provider, if necessary, will conduct inquiries and, if applicable, investigations with respect to any 

matter within BSEF’s jurisdiction of which it becomes aware or which the Commission requests 

BSEF to investigate. The Compliance Department will determine the nature and scope of its 

inquiries and investigations within its sole discretion and will function independently of any 

commercial interests of BSEF. The Compliance Department’s investigation must be completed 

within 12 months of the date when the Compliance Department commenced its investigation 

unless there are mitigating factors that may reasonably justify an investigation taking longer than 

12 months, including the complexity of the investigation, the number of Participants or 

individuals involved as potential wrongdoers, the number of potential violations to be 

investigated, and the volume of documents and data to be examined and analyzed by the 

Compliance Department. 

(b) The Compliance Department has the authority to: 

(i) initiate inquiries and investigations; 

(ii) prepare investigation reports and provide recommendations concerning 

initiating disciplinary proceedings; 

(iii) prosecute alleged violations if a disciplinary proceeding has been 

authorized; and 

(iv) represent BSEF on appeals of a Disciplinary Panel decision, the summary 

imposition of fines, summary suspension or other summary action. 

(c) Each Participant, Account Manager, Authorized Trader, Supervised Person and 

Clearing Member: 

(i) is obligated to appear and testify and respond in Writing to requests for 

information within the time period required by the Compliance Department in connection 

with: (A) any BSEF Rule; (B) any inquiry or investigation; or (C) any preparation by and 

presentation during a disciplinary or appeals proceeding, summary imposition of fines, 

summary suspension or other summary action by BSEF; 
59 

(ii) is obligated to produce books, records, papers, documents or other 

tangible evidence in its, his or her possession, custody or control within the time period 

required by the Compliance Department in connection with: (A) any BSEF Rule; (B) any 

inquiry or investigation; or (C) any preparation by and presentation during a disciplinary 

or appeals proceeding, summary imposition of fines, summary suspension or other 

summary action by BSEF; and 

(iii) may not impede or delay any inquiry, investigation, disciplinary or appeals 

proceeding, summary imposition of fines, summary suspension or other summary action. 

RULE 603. Investigative Reports 

(a) The Compliance Department will maintain a Written log of all inquiries and 

investigations and their disposition. The Compliance Department will prepare a Written report 

of each inquiry and investigation, regardless of whether the evidence gathered during any inquiry 

or investigation forms a reasonable basis to believe that a violation within BSEF’s jurisdiction 

has occurred or is about to occur or whether the evidence gathered results in closing the matter 

without further action or through summary action. 

(b) Any such report prepared in accordance with Rule 603(a) will include (i) the 

reasons the inquiry or investigation was initiated; (ii) a summary of the complaint, if any; (iii) the 

relevant facts and evidence gathered; (iv) the Compliance Department’s analysis, conclusions 

and recommendations; and (v) the Participant’s disciplinary history at BSEF. 

(c) For each potential respondent, the Compliance Department will recommend either 

(i) closing the investigation without further action; (ii) resolving the investigation through an 

informal disposition; or (iii) initiating disciplinary proceedings. 

RULE 604. Warning Letters 

(a) The Chief Compliance Officer may issue a warning letter without the approval of 

a Disciplinary Panel in order to close an inquiry or investigation administratively. 

(b) No more than one warning letter may be issued to the same Person or entity for 

the same Rule violation within a rolling 12-month period. 

(c) Warning letters must contain an affirmative finding that a Rule violation has 

occurred. 

RULE 605. Review of Investigation Reports 

(a) The Chief Compliance Officer will timely review each proposed investigation 

report received from the Compliance Department to determine whether a reasonable basis exists 

for finding that a violation of BSEF Rules within BSEF’s jurisdiction has occurred or is about to 

occur. Within 30 days of receipt of the investigation report the Chief Compliance Officer must 

take one of the following actions: 

(i) If the Chief Compliance Officer determines that additional investigation or 

evidence is needed to decide whether a reasonable basis exists to find that a violation of 

BSEF Rules within BSEF’s jurisdiction has occurred or is about to occur, the Chief 
60 

Compliance Officer will promptly direct the Compliance Department to do at least one of 

the following: 

(A) conduct further investigation; and/or 

(B) gather any necessary new or additional information or evidence 

from the potential respondents. 

(ii) The Compliance Department will revise the investigation report as 

necessary to reflect the additional information gathered pursuant to this paragraph (a) and 

will resubmit a revised proposed investigation report to the Chief Compliance Officer. 

(b) After receiving a completed investigation report, the Chief Compliance Officer 

will determine for each potential respondent whether to authorize: 

(i) the commencement of disciplinary proceedings because a reasonable basis 

exists to believe that a violation of BSEF Rules within BSEF’s jurisdiction has occurred 

or is about to occur and adjudication is warranted; 

(ii) the informal disposition of the investigation because disciplinary 

proceedings are unwarranted, in which case the Chief Compliance Officer shall complete 

the investigation report in compliance with Rule 603; or 

(iii) the closing of the investigation without any action because no reasonable 

basis exists to believe that a violation of BSEF Rules within BSEF’s jurisdiction has 

occurred or is about to occur, in which case the Chief Compliance Officer shall complete 

the investigation report in compliance with Rule 603. 

(c) If the Chief Compliance Officer determines that disciplinary proceedings should 

be authorized pursuant to Rule 605(b)(i), the Chief Compliance Officer may in his or her 

discretion provide each potential respondent with a Written draft Notice of Charges (“Draft 

Notice of Charges”) which shall contain all information required pursuant to Rule 607. 

(d) The Draft Notice of Charges must be accompanied by a Written notice that shall 

inform the potential respondent: 

(i) that an investigation report has been completed by BSEF’s Compliance 

Department; 

(ii) that a Notice of Charges will be served, in accordance with Rule 608, 10 

business days, as defined in CFTC Regulation 40.1, after receipt of the Written notice; 

(iii) that a settlement offer may be submitted pursuant to Rule 612; and 

(iv) of the respondent’s right to a hearing if a Notice of Charges is served in 

accordance with Rule 608. 
61 

RULE 606. [Reserved] 

RULE 607. Notice of Charges 

(a) If the Chief Compliance Officer authorizes disciplinary proceedings pursuant to 

Rule 605(b)(i), the Compliance Department will prepare, and serve in accordance with Rule 608, 

a Notice of Charges. 

(b) A Notice of Charges will: 

(i) state the acts, practices or conduct that the respondent is alleged to have 

engaged in; 

(ii) state the BSEF Rule or provision of Applicable Law alleged to have been 

violated or about to be violated; 

(iii) state the proposed sanctions; 

(iv) advise the respondent of its right to a hearing; 

(v) state the period of time within which the respondent can request a hearing 

on the Notice of Charges, which will not be less than 20 days after service of the Notice 

of Charges; 

(vi) advise the respondent that any failure to request a hearing within the 

period stated, except for good cause, will be deemed to constitute a waiver of the right to 

a hearing; 

(vii) advise the respondent that any allegation in the Notice of Charges that is 

not expressly denied will be deemed to be admitted; and 

(viii) advise the respondent of its right to be represented by legal counsel or any 

other representative of its choosing (other than any member of the Disciplinary Panel or 

any Person substantially related to the disciplinary proceedings such as a material witness 

or other respondent) in all succeeding stages of the disciplinary process. 

RULE 608. Service of Notice of Charges 

Any Notice of Charges or other documents contemplated to be served pursuant to this 

Chapter 6 may be served (and service shall be deemed complete) upon the respondent either 

personally or by leaving the same at his or her place of business, or by tracked delivery via 

reputable overnight courier, or by deposit in the United States mail, postage prepaid, via 

registered or certified mail addressed to the respondent at the address as it appears on the books 

and records of BSEF. 

RULE 609. Answer to Notice of Charges 

(a) If the respondent determines to answer a Notice of Charges, the respondent must 

file answers within 20 days after being served with such notice, or within such other time period 

determined appropriate by the Chief Compliance Officer. 
62 

(b) To answer a Notice of Charges, the respondent must in Writing: 

(i) specify the allegations that the respondent denies or admits; 

(ii) specify the allegations that the respondent does not have sufficient 

information to either deny or admit; 

(iii) specify any specific facts that contradict the Notice of Charges; 

(iv) specify any affirmative defenses to the Notice of Charges; and 

(v) sign and serve the answer on the Chief Compliance Officer. 

(c) Any failure by the respondent to timely serve an answer to a Notice of Charges 

will be deemed to be an admission to the allegations in such notice. Any failure by the 

respondent to answer one or more allegations in a Notice of Charges will be deemed to be an 

admission of that allegation or those allegations. Any allegation in a Notice of Charges that the 

respondent fails to expressly deny will be deemed to be admitted. A statement of a lack of 

sufficient information shall have the effect of a denial of an allegation. A general denial by the 

respondent, without more, will not satisfy the requirements of paragraph (b) above. 

RULE 610. Admission or Failure to Deny 

(a) If respondent admits or fails to deny any of the charges, the Chief Compliance 

Officer may find that the violations alleged in the Notice of Charges for which the respondent 

admitted or failed to deny any of the charges have been committed. The Chief Compliance 

Officer then must take the following action: 

(i) impose a sanction for each violation found to have been committed; and 

(ii) notify the respondent in Writing of any sanction to be imposed and advise 

the respondent that it may request a hearing on such sanction within a specified period of 

time. 

(b) If a respondent fails to request a hearing within 20 days as specified in the notice 

described in 610(a)(ii), the respondent will be deemed to have accepted the sanction and will 

have waived any right to appeal such sanctions. 

RULE 611. Denial of Charges and Right to a Hearing 

In every instance where a respondent has denied a charge, the respondent shall have a 

right to request a hearing before the Disciplinary Panel. Except for good cause, the hearing must 

be limited to only those denied charges for which a hearing has been requested. 

RULE 612. Settlements 

(a) Any offer of settlement should contain proposed findings and sanctions and be 

signed by a potential respondent/respondent and submitted to the Chief Compliance Officer. A 

potential respondent/respondent may offer to settle disciplinary proceedings without admitting or 

denying the findings contained in a Draft Notice of Charges or a Notice of Charges, but must 
63 

accept the jurisdiction of BSEF over it and over the subject matter of the proceedings and 

consent to the entry of the findings and sanctions imposed. 

(b) A potential respondent may at any time within 10 business days, as defined in 

CFTC Regulation 40.1, of receipt of the Draft Notice of Charges specified in Rule 605, propose 

in Writing an offer of settlement to anticipated disciplinary proceedings. The Chief Compliance 

Officer must review an offer of settlement received pursuant to this paragraph (b) within 30 

business days, as defined in CFTC Regulation 40.1, after receipt of the offer of settlement. The 

Chief Compliance Officer shall have discretion and be authorized to accept or reject an offer of 

settlement for $25,000 or less on behalf of BSEF. The Chief Compliance Officer shall also have 

the discretion and be authorized to convene and forward the offer of settlement to the 

Disciplinary Panel with a recommendation on whether to accept or reject the offer of settlement. 

The potential respondent may withdraw such offer of settlement at any time before acceptance 

by the Chief Compliance Officer, but may not withdraw such offer of settlement at any time 

after acceptance by the Chief Compliance Officer. 

(c) A respondent may at any time after receipt of a Notice of Charges, but before 

disciplinary proceedings have concluded, propose in Writing an offer of settlement to instituted 

disciplinary proceedings. If a respondent submits an offer of settlement after being served a 

Notice of Charges pursuant to Rule 608, the Chief Compliance Officer will forward the offer of 

settlement to the Disciplinary Panel with a recommendation on whether to accept or reject the 

offer of settlement. The Disciplinary Panel must review an offer of settlement received pursuant 

to this paragraph (c) or paragraph (b) above within 90 business days, as defined in CFTC 

Regulation 40.1, after the receipt of the offer of settlement by the Chief Compliance Officer 

unless an extension was agreed by the respondent in Writing. The respondent may withdraw 

such offer of settlement at any time before acceptance by the Disciplinary Panel, but may not 

withdraw such offer of settlement at any time after acceptance by the Disciplinary Panel. The 

Disciplinary Panel may review the offer of settlement and determine whether to accept or reject 

the offer of settlement in person, by means of telephone conference or in Writing. 

(d) The Chief Compliance Officer or the Disciplinary Panel may accept an offer of 

settlement received pursuant to paragraph (b) or (c) of this Rule, respectively, but may not alter 

the terms of a settlement offer unless the potential respondent/respondent agrees. 

(e) If an offer of settlement is accepted by the Chief Compliance Officer or the 

Disciplinary Panel, a Written decision shall be issued by the Chief Compliance Officer or the 

Disciplinary Panel, as applicable, specifying: 

(i) the Rule violations the Compliance Department/it has reason to believe 

were committed, including the basis or reasons of its conclusions; 

(ii) any sanction to be imposed, which must include full customer restitution 

where customer harm has been demonstrated; and 

(iii) if applicable, that the potential respondent/respondent has accepted the 

sanctions imposed without either admitting or denying the Rule violations. 
64 

(f) In the event that the Disciplinary Panel accepts an offer of settlement without the 

agreement of the Compliance Department, the Written decision must adequately support such 

acceptance. 

(g) If an offer of settlement is accepted pursuant to this Rule and the related Written 

decision becomes final, the respondent’s submission of the offer of settlement will be deemed to 

constitute a waiver of the right to notice, opportunity for a hearing and review and appeal under 

these Rules. 

(h) If an offer of settlement of a potential respondent/respondent is not accepted by 

the Chief Compliance Officer or the Disciplinary Panel, pursuant to paragraph (b) or (c) of this 

Rule, respectively, fails to become final or is withdrawn by the potential respondent/respondent, 

the matter will proceed as if the offer of settlement had not been made and the offer of settlement 

and all documents relating to it will not become part of the record. Neither a potential 

respondent/respondent nor the Compliance Department may use an unaccepted offer of 

settlement as an admission or in any other manner at a hearing of disciplinary proceedings. 

RULE 613. Disciplinary Panel 

(a) The Disciplinary Panel is responsible for adjudicating disciplinary cases pursuant 

to a Notice of Charges authorized by the Chief Compliance Officer. 

(b) Each Disciplinary Panel shall be composed of three individuals selected by the 

Chief Compliance Officer. Except in cases concerning the timely submission of accurate 

records, each Disciplinary Panel shall consist of at least one individual who would not be 

disqualified from serving as a Public Director, who shall chair the Disciplinary Panel. No 

member of the BSEF Compliance Department or Person involved in adjudicating any other stage 

of a proceeding shall participate in a Disciplinary Panel for such proceeding. 

(c) A respondent may seek to disqualify any individual on the Disciplinary Panel for 

the reasons identified in the BSEF Rules or for any other reasonable grounds, by serving Written 

notice on the Chief Compliance Officer. By not filing a request for disqualification within 10 

days, the respondent will be deemed to have waived any objection to the composition of a 

Disciplinary Panel. The Chief Compliance Officer of BSEF will decide the merits of any request 

for disqualification within his or her sole discretion. Any such decision will be final and not 

subject to appeal. 

RULE 614. Convening Disciplinary Proceeding Hearings 

(a) All disciplinary proceedings (except for summary impositions of fines pursuant to 

Rule 621) will be conducted at a hearing before the Disciplinary Panel. A hearing will be 

conducted privately and confidentially. Notwithstanding the confidentiality of hearings, the 

Disciplinary Panel may appoint an expert to attend any hearing and assist in deliberations if such 

expert agrees to be subject to an appropriate confidentiality agreement. 

(b) After reasonable notice to each respondent, the Disciplinary Panel will promptly 

convene a hearing to conduct the disciplinary proceedings with respect to such respondent. 

Parties to a disciplinary proceeding include each respondent and the Compliance Department 

including BSEF enforcement staff. 
65 

(c) The chairperson of the Disciplinary Panel may continue, adjourn or otherwise 

conduct the hearing, as he or she may deem appropriate. The chairperson of the Disciplinary 

Panel will determine all procedural and evidentiary matters, including the admissibility and 

relevance of any evidence proffered. In determining procedural and evidentiary matters, the 

chairperson of the Disciplinary Panel will not be bound by any evidentiary or procedural rules or 

law. Once admitted during the hearing, the Disciplinary Panel may consider, and attach the 

weight it believes appropriate to, evidence or other materials. The Chief Compliance Officer of 

BSEF, or its designee, will provide guidance to the chairperson of the Disciplinary Panel on the 

conduct of the hearing. 

(d) Except for procedural and evidentiary matters decided by the chairperson of the 

Disciplinary Panel pursuant to paragraph (c) above and Rule 616, unless each respondent 

otherwise consents, the entire Disciplinary Panel must be present during the entire hearing and 

any related deliberations. 

RULE 615. Respondent Review of Evidence 

(a) Prior to the commencement of a Disciplinary Panel hearing, each respondent will 

be given the opportunity to review all books, records, documents, papers, transcripts of 

testimony and other tangible evidence in the possession or under the control of BSEF that the 

Compliance Department will use to support the allegations and proposed sanctions in the Notice 

of Charges or which the chairperson of the Disciplinary Panel deems relevant to the disciplinary 

proceedings. BSEF may withhold documents that: 

(i) are privileged or constitute attorney work product; 

(ii) were prepared by an employee of BSEF but will not be offered as 

evidence in the disciplinary proceedings; 

(iii) may disclose a technique or guideline used in examinations, investigations 

or enforcement proceedings; or 

(iv) disclose the identity of a confidential source. 

(b) If any books, records, documents, papers, transcripts of testimony, or other 

tangible evidence contain information that could adversely affect the competitive position of the 

Person providing the information or if such information might compromise other investigations 

being conducted by the Compliance Department, the Compliance Department may redact, edit or 

code such information before furnishing it to the respondent. 

(c) Notwithstanding anything in paragraph (b) above to the contrary, the Compliance 

Department: 

(i) will not redact, edit or code competitive or investigative information 

contained in documents in a manner that would impair the respondent’s ability to defend 

against the allegations or proposed sanctions in the notices of charges; and 

(ii) will provide the respondent with access to the information and portions of 

the documents that the Compliance Department intends to rely on to support the 

allegations or proposed sanctions in the Notice of Charges. 
66 

(d) For purposes of this Rule 615, information that could adversely affect the 

competitive position includes positions in Swaps currently held, trading strategies employed in 

establishing or liquidating positions, the identity of any Participant or Authorized Trader and the 

personal finances of the Person providing the information. 

RULE 616. Conducting Disciplinary Proceeding Hearings 

(a) At a hearing conducted in connection with any disciplinary proceeding, the 

Compliance Department will present its case supporting the allegations and proposed sanctions 

in the Notice of Charges to the Disciplinary Panel. If a respondent has timely filed an answer to 

the Notice of Charges in accordance with Rule 609, the respondent is entitled to attend and 

participate in the hearing. 

(b) At a hearing conducted in connection with any disciplinary proceedings, the 

Disciplinary Panel or the Compliance Department and each respondent may: 

(i) present evidence and facts determined relevant and admissible by the 

chairperson of the Disciplinary Panel; 

(ii) call and examine witnesses; and 

(iii) cross-examine witnesses called by other parties. 

(c) Any Person within BSEF’s jurisdiction who is called as a witness must participate 

in the hearing and produce evidence. BSEF will make reasonable efforts to secure the presence 

of all other Persons called as witnesses whose testimony would be relevant. 

(d) If the respondent fails to file an answer, has filed a general denial, or if any or all 

of the allegations in the Notice of Charges are not expressly denied in the respondent’s answer, 

the chairperson of the Disciplinary Panel may limit evidence concerning any allegations not 

expressly denied in determining the sanctions to impose. If a respondent fails to file an answer 

but appears at the hearing, the respondent may not participate in the hearing (by calling or cross 

examining witnesses, testifying in defense, presenting evidence concerning the Notice of 

Charges, or otherwise) unless the Disciplinary Panel determines that the respondent had a 

compelling reason for failing to timely file an answer. If the Disciplinary Panel determines that 

the respondent had a compelling reason for failing to timely file an answer, the Disciplinary 

Panel will adjourn the hearing and direct the respondent to promptly file a Written answer in 

accordance with Rule 609. 

(e) Any Person entitled, or required or called upon, to attend a hearing before a 

Disciplinary Panel pursuant to paragraph (b)(ii) above will be given reasonable notice, confirmed 

in Writing, specifying the date, time and place of the hearing, and the caption of the disciplinary 

proceedings. BSEF will require all Participants (that are individuals), Customers, Account 

Managers, Clearing Members, Authorized Traders and Supervised Persons that are called as 

witnesses to appear at the hearing and produce evidence. BSEF will make reasonable efforts to 

secure the presence of all other Persons called as witnesses whose testimony would be relevant. 

(f) If during any disciplinary proceedings the Disciplinary Panel determines that a 

reasonable basis exists to believe that the respondent violated or is about to violate a BSEF Rule 
67 

or a provision of Applicable Law other than the violations alleged in the Notice of Charges, the 

Disciplinary Panel may consider those apparent violations after providing the respondent with an 

opportunity to answer the additional allegations in accordance with Rule 609. In connection 

with considering apparent violations pursuant to this paragraph (f), the Disciplinary Panel may 

request that the Compliance Department provide the Disciplinary Panel with any additional 

information. 

(g) The Disciplinary Panel may summarily impose sanctions on any Participant, 

Account Manager, Authorized Trader or Supervised Person that impedes or delays the progress 

of a hearing. 

(h) BSEF will arrange for any hearing conducted in connection with disciplinary 

proceedings to be recorded hearing verbatim, or substantially verbatim, in a manner capable of 

accurate transcription. If the respondent requests a copy of all or portions of the recording of a 

hearing, the chairperson of the Disciplinary Panel may within his or her sole discretion order the 

respondent to pay the costs for transcribing the recording of the hearing. 

(i) As promptly as reasonable following a hearing, the Disciplinary Panel will issue a 

Written decision rendering its decision based on the weight of the evidence contained in the 

record of the disciplinary proceedings. A decision by a majority of the Disciplinary Panel will 

constitute the decision of the Disciplinary Panel. 

(j) No interlocutory appeals of rulings of any Disciplinary Panel are permitted. 

(k) If the respondent has requested a hearing, a copy of the hearing shall be made and 

shall become a part of the record of the proceeding. The record shall not be required to be 

transcribed unless: 

(i) the transcript is requested by Commission staff or the respondent; 

(ii) the decision is appealed pursuant to the BSEF Rules; or 

(iii) the decision is reviewed by the Commission pursuant to section 8c of the 

Act or Part 9 of CFTC Regulations. 

In all other instances, a summary record of a hearing is permitted. 

RULE 617. Decision of Disciplinary Panel 

(a) The Disciplinary Panel’s Written decision must be based upon the weight of the 

evidence contained in the record of the proceeding and shall provide a copy to the respondent. 

The decision shall include: 

(i) the Notice of Charges or a summary of the charges; 

(ii) the answer, if any, or a summary of the answer; 

(iii) a summary of the evidence produced at the hearing or, where appropriate, 

incorporation by reference of the investigation report; 
68 

(iv) a statement of findings and conclusions with respect to each charge, and a 

complete explanation of the evidentiary and other basis for such findings and conclusions 

with respect to each charge; 

(v) an indication of each specific Rule that the respondent was found to have 

violated; and 

(vi) a declaration of all sanctions imposed against the respondent, including 

the basis for such sanctions and the effective date of such sanctions. 

(b) Upon rendering a final decision by the Disciplinary Panel, BSEF shall, within 30 

days thereafter, provide a Written notice of such action to the Person against whom the action 

was taken. 

(c) The Written decision will become final 20 days after it is served on the 

respondent and a copy thereof is provided to the Compliance Department. 

RULE 618. Sanctions 

(a) After notice and opportunity for hearing in accordance with the BSEF Rules, 

BSEF will impose sanctions on any Participant, Account Manager, Authorized Trader, 

Supervised Person, Account, Customer, Clearing Member or other Person using any Trader ID 

or login credentials linked to the Participant that is found to have violated or to have attempted to 

violate a BSEF Rule or provision of Applicable Law for which BSEF possesses jurisdiction. 

Subject to the limitations set forth in Rule 618(b), BSEF may impose one or more of the 

following sanctions or remedies: (i) censure; (ii) limitation on Trading Privileges, Trading 

Access or other activities, functions or operations; (iii) suspension of Trading Privileges or 

Trading Access; (iv) fine (subject to paragraph (b) below); (v) disgorgement; (vi) termination of 

Trading Privileges or Trading Access; (vii) in the event of a customer harm, full customer 

restitution, except where the amount of restitution or to whom it should be provided cannot 

reasonably be determined; or (viii) any other sanction or remedy deemed to be appropriate. All 

sanctions, including those imposed pursuant to an accepted settlement offer, shall take into 

account respondent’s disciplinary history. 

For purposes of Rule 618(a)(vii), “customer” shall have the meaning set forth in CFTC 

Regulation 1.3(k). 

(b) BSEF may impose a fine of up to $100,000 for each violation of a BSEF Rule. If 

a fine or other amount is not paid within 30 days of the date that it becomes payable, then interest 

will accrue on the sum from the date that it became payable at the quoted prime rate plus three 

percent. BSEF has sole discretion to select the bank on whose quotations to base the prime rate. 

Each Participant will be responsible for paying any fine or other amount imposed on, but not 

paid by, any of its Authorized Traders, Account Managers, Supervised Persons, Accounts or 

Customers. The following schedule lists the recommended fines that BSEF may impose: 

Type of Violation Fine Per Occurrence1

 

1

 Within a “rolling” 12-month period. 
69 

First 

Violation 

Second 

Violation 

Third 

Violation 

Failure to provide information to BSEF as required by 

the BSEF Rules 

$1000 $1500 $2500 

Impeding or delaying a BSEF examination, inquiry or 

investigation undertaken pursuant to BSEF Rule 402 

$1000 $1500 $2500 

RULE 619. Costs 

(a) Regardless of the outcome of any disciplinary proceeding, the Disciplinary Panel 

may order a respondent to pay some or all of the costs associated with the disciplinary 

proceedings that the Disciplinary Panel believes were unnecessarily caused by the respondent. 

Costs may include costs associated with the inquiry or investigation, the prosecution by the 

Compliance Department, legal and professional assistance, as well as the hearing and 

administrative costs and other expenses incurred by the Disciplinary Panel. 

(b) The Disciplinary Panel may only award costs against BSEF if the Panel concludes 

that BSEF has behaved in a manifestly unreasonable manner in the commencement or conduct of 

the disciplinary proceedings in question. The Disciplinary Panel must limit any award of costs 

against BSEF to an amount that the Panel concludes is reasonable and appropriate, but does not 

exceed the respondent’s costs for external legal or other external professional assistance. 

(c) The Disciplinary Panel may determine the amounts and allocation of costs in any 

manner it may deem appropriate. BSEF or the respondent will pay any costs ordered to be paid 

by it by the Disciplinary Panel within 30 days of Written notice of the amount imposed by the 

Disciplinary Panel. 

RULE 620. Right to Appeal Disciplinary Panel Decision, Summary 

Impositions of Fines and Other Summary Actions 

(a) Each respondent found by the Disciplinary Panel to have violated (or, in the case 

of a Participant, whose Authorized Trader, Supervised Person or other Person using its 

Participant ID was found to have violated) a Rule or who is subject to termination or limitation 

of Trading Privileges or Trading Access imposed pursuant to Rule 305, any summary fine 

imposed pursuant to Rule 621 or any summary action imposed pursuant to Rule 622 may appeal 

the decision within 20 days of receiving the Written decision of the Disciplinary Panel or the 

notice of summary action, as the case may be, by filing a notice of appeal with the Chief 

Compliance Officer. 

(b) BSEF may appeal all or any part of a decision of the Disciplinary Panel, including 

any sanctions that may or may not have been imposed by the Disciplinary Panel, within 20 days 

of receiving the Written Decision of the Disciplinary Panel, by filing a notice of appeal with the 

Chief Compliance Officer. 

(c) While an appeal is pending, the effect of the Written decision of the Disciplinary 

Panel or the summary action (including any sanctions, remedies or costs imposed thereby) shall 

be suspended. 
70 

(d) The notice of appeal must state in writing the grounds for appeal, including the 

findings of fact, conclusions or sanctions to which the appellant objects. An appellant may 

appeal the Written decision of the Disciplinary Panel or any summary action on the grounds that: 

(i) the Written decision or summary action was arbitrary, capricious, an abuse 

of discretion, or not in accordance with these Rules; 

(ii) the Written decision or summary action exceeded the authority or 

jurisdiction of the Disciplinary Panel, the Chief Compliance Officer or BSEF; 

(iii) the Written decision or summary action failed to observe required 

procedures; 

(iv) the Written decision or summary action was unsupported by the facts or 

evidence; or 

(v) the sanctions, remedies or costs which were imposed were inappropriate 

or unsupported by the record. 

(e) The Chief Compliance Officer will forward copies of any notice of appeal 

received by it to all parties to the disciplinary proceeding or summary action, as the case may be, 

except the appellant. On or before the 20th day after filing a notice of appeal, the appellant must 

file with the Chief Compliance Officer and serve on BSEF a brief supporting the notice of appeal 

and documents supporting the brief. On or before the 20th day after the date on which the 

appellant serves its supporting brief, the appellee must file and serve its brief in opposition. On 

or before the 10th day after the date on which the appellee serves its brief in opposition, the 

appellant must file and serve on BSEF a brief in reply. 

(f) In connection with any appeal, BSEF will furnish to the Chief Compliance 

Officer and to the respondent/appellant a transcript of the hearing, any exhibits introduced at the 

hearing, the notice of appeal and briefs filed to support and oppose the appeal. 

(g) No later than 30 days after the last submission filed pursuant to paragraph (e) of 

this Rule 620, the Chief Compliance Officer will appoint an Appeals Panel to consider and 

determine the appeal. An Appeals Panel shall be comprised of three individuals, none of whom 

shall be a member of the Compliance Department or have been a member of any Disciplinary 

Panel involved in the matters on appeal. The chairperson of the Appeals Panel shall be an 

individual who would not be disqualified from serving as a Public Director. 

(h) Within 10 days of being notified of the appointment of the Appeals Panel, an 

appellant or appellee may seek to disqualify any individual named to the Appeals Panel for the 

reasons identified in these Rules, by serving Written notice on the Chief Compliance Officer. By 

not timely filing a request for disqualification, the appellant or appellee will be deemed to have 

waived any objection to the composition of the Appeals Panel. The Chief Compliance Officer 

will decide the merits of any request for disqualification within his or her sole discretion. Any 

such decision will be final and not subject to appeal. 

(i) The Appeals Panel may hold a hearing to allow parties to present oral arguments. 

Any hearing will be conducted privately and confidentially. Notwithstanding the confidentiality 
71 

of hearings, the Appeals Panel may appoint an expert to attend any hearing and assist in the 

deliberations if such individual(s) agree to be subject to appropriate confidentiality agreements. 

In determining procedural and evidentiary matters, the Appeals Panel will not be bound by 

evidentiary or procedural rules or law. 

(j) The Appeals Panel will only consider on appeal the record before the Disciplinary 

Panel or, in the case of a summary action, the record considered by the Chief Compliance 

Officer, the notice of appeal, the briefs filed in support and opposition of the appeal, and any oral 

arguments of the parties. The Appeals Panel may only consider new evidence when the Appeals 

Panel is satisfied that good cause exists for why the evidence was not introduced during the 

disciplinary proceeding or when imposing the summary action. 

(k) After completing its review, the Appeals Panel may affirm, modify or reverse any 

Written decision of the Disciplinary Panel or summary action under appeal, in whole or in part, 

including increasing, decreasing or eliminating any sanction or remedy imposed, imposing any 

other sanction or remedy authorized by these Rules, or remanding the matter to the same or a 

different Disciplinary Panel for further disciplinary proceedings or for reconsideration by the 

Chief Compliance Officer in the case of summary action. The Appeals Panel may order a new 

hearing for good cause or if the Appeals Panel deems it appropriate. 

(l) As promptly as reasonably possible following its review, the Appeals Panel will 

issue a Written decision on appeal rendering its decision based on the preponderance of the 

evidence before the Appeals Panel. The decision of the Appeals Panel will include a statement 

of findings of fact and conclusions for each finding, sanction, remedy and cost reviewed on 

appeal, including each specific Rule and provision of Applicable Law that the respondent is 

found to have violated, if any, and the imposition of sanctions, remedies and costs, if any, and 

the effective date of each sanction, remedy or cost. 

(m) The Appeals Panel’s Written order on appeal (including findings of fact and 

conclusions and the imposition of sanctions, remedies and costs, and the effective date of any 

sanction, remedy and cost) will be the final action of BSEF and will not be subject to appeal 

within BSEF. 

RULE 621. Summary Imposition of Fines 

(a) The Chief Compliance Officer may summarily impose a fine against a Participant, 

Account Manager, Authorized Trader, Supervised Person, Account, Customer, Clearing Member 

or other Person using any Trader ID or login credentials linked to the Participant for failing: 

(i) to make timely payments of fees, cost, charges or fines to BSEF; 

(ii) to make timely and accurate submissions to BSEF of notices, reports or 

other information required by the BSEF Rules; or 

(iii) to keep any books and records required by the BSEF Rules. 

(b) The Compliance Department, acting on behalf of the Chief Compliance Officer, 

will give notice of any fine imposed pursuant to this Rule 621 to each Participant subject thereto. 

The notice will specify (i) the violations of the BSEF Rules for which the fine is being imposed, 
72 

(ii) the date of the violation for which the fine is being imposed and (iii) the amount of the fine. 

Within 20 days of serving the notice of fine, the Participant must either pay or cause the payment 

of the fine. The fine will become final upon the expiration of 20 days after the notice of fine is 

served on the Participant. 

(c) BSEF will set the amount of any fines imposed pursuant to this Rule 621, with the 

maximum aggregate fine for each violation not to exceed $5,000 on an annual basis. Summary 

imposition of fines pursuant to this Rule 621 will not preclude BSEF from bringing any other 

action against the Participant (or any of its Account Managers, Authorized Traders or Supervised 

Persons) or Authorized Trader, as the case may be. The following schedule lists the 

recommended summary fines that BSEF or the Chief Compliance Officer may impose: 

Type of Violation Fine Per Occurrence2

First 

Violation 

Second 

Violation 

Third 

Violation 

Failure to maintain complete and accurate books and 

records as required by BSEF Rule 409.B 

$1000 $1500 $2500 

Failure to provide any disclosure required by BSEF Rule 

402 

$1000 $1250 $1500 

Failure to identify and maintain a current list of 

Authorized Traders as required by BSEF Rule 530 

$1000 $1250 $1500 

Violation of Order entry requirements pursuant to Rule 

524, including failure to provide an accurate Legal Entity 

Identifier 

$1250 $1500 $1750 

Violation of Trade reporting requirements $1250 $1500 $1750 

Violation of the requirements to timely report a block 

trade pursuant to Rule 531.A(d) 

$1250 $1500 $1750 

Failure to provide information required by BSEF Rule 

301(e) 

$1250 $1500 $1750 

Failure to notify BSEF under Rule 516.A about a Trade 

executed in error prior to a request for cancellation, 

correction or adjustment of the Trade. 

$1250 $1750 $2000 

RULE 622. Hearings Involving BSEF-Affiliated Trading Entities 

(a) No BSEF employee that is also an employee of an affiliate of BSEF that engages 

in trading activity shall perform an investigation of such affiliated trading entity. 

(b) In the event that a Disciplinary Panel is convened for a hearing involving an 

affiliated trading entity, no Person associated with BSEF or such affiliated trading entity shall be 

a member of such Disciplinary Panel. 

(c) The Board must approve the issuance of disciplinary charges and acceptance of 

settlement offers involving an affiliated trading entity. 

 

2

 Within a “rolling” 12-month period. 
73 

RULE 623. [Reserved] 

RULE 624. Notice to the Respondent, the Regulatory Services Provider 

and the Public 

BSEF will provide Written notice of disciplinary proceedings to the parties consistent 

with applicable CFTC Regulations. Whenever BSEF suspends, expels, fines or otherwise 

disciplines, or denies any Person access, to BSEF, BSEF will make the disclosures required by 

CFTC Regulations. In accordance with CFTC Regulation § 9.11, upon rendering a final decision 

regarding a disciplinary or access denial action, BSEF shall provide notice to the Commission by 

filing with NFA’s BASIC. 

CHAPTER 7. ARBITRATION 

RULE 701. General 

(a) Except as otherwise provided in these Rules, Participants, Authorized Traders and 

any market participant that directly or indirectly effects a transaction on the SEF operated by 

BSEF shall submit to the NFA for arbitration all disputes, controversies and claims between or 

among themselves arising out of a Swap or the use of the systems or services of BSEF or the 

services, equipment, or facilities used to support such systems or services, including the SEF 

Platform and the SEF operated by BSEF (each, a “Dispute”). Any such claim against a 

Participant shall be brought within two years from the time that a cause of action has accrued. 

This Rule 701 shall in no way be construed to create a cause of action and shall not authorize an 

action that would otherwise be prohibited by these Rules or Applicable Law. In the event that 

this Rule 701 is held to be unenforceable in connection with any Dispute or a claim is deemed by 

a court of competent jurisdiction to be not arbitrable, (i) exclusive jurisdiction for any such 

Dispute will reside in any state or federal court sitting in New York County, New York, (ii) the 

Participants involved in the Dispute will be presumed to have submitted to the personal 

jurisdiction of any such court, and (iii) an action to enforce any judgment or decision of such 

court may be brought in the same court or in any other court with jurisdiction or venue. Finally, 

all Participants unconditionally and irrevocably waive any and all right to trial by jury in 

connection with any such Dispute. 

(b) Notwithstanding the foregoing, this Rule 701 does not apply to Disputes between 

Participants, Authorized Traders or any market participant that directly or indirectly effects a 

transaction on the SEF operated by BSEF that: (i) such Persons are required by the Rules of a 

Self-Regulatory Organization to submit to the Dispute resolution procedures of that SelfRegulatory Organization; or (ii) such Persons have, by valid and binding agreement, committed 

to negotiate or litigate in a forum other than the forum set out in Rule 702. 

RULE 702. Forum and Arbitration Rules 

NFA will conduct any and all arbitrations of a type described in Rule 701 pursuant to 

NFA’s Member Arbitration Rules, as if each Participant or Authorized Trader to such arbitration 

was an “NFA Member”. 
74 

RULE 703. Initiating an Arbitration Claim 

(a) A Participant or Authorized Trader may initiate an arbitration claim by submitting 

the required documents and fees to NFA. 

(b) A Participant or Authorized Trader submitting an arbitration claim shall provide 

notice of such claim to BSEF. 

RULE 704. Claims Relating to Trade Cancelations or Price Adjustments 

All claims relating to Trade cancelations pursuant to Rule 516 shall be arbitrated in 

accordance with this Chapter 7.

RULE 705. Penalties 

(a) Any failure on the part of any Participant or Authorized Trader to arbitrate a case 

subject to arbitration, or the commencement by any such Participant or its Person of a suit in any 

court prior to arbitrating a case subject to arbitration, violates these Rules and subjects such 

Person to disciplinary proceedings pursuant to Chapter 6. 

(b) BSEF may summarily suspend, pursuant to Chapter 6, a Participant or Authorized 

Trader that fails to satisfy an arbitration award rendered in any arbitration conducted pursuant to 

this Chapter 7. 

CHAPTER 8. MISCELLANEOUS 

RULE 801. Anti-Money Laundering and Anti-Terrorism 

(a) It is SEF policy: (1) Not to engage in or knowingly assist any money laundering 

or other illicit business, and (2) Not to engage in or knowingly assist, or be a conduit for, terrorist 

financing. 

(b) Participants will be required to provide sufficient information for Participants and 

their Accounts, if applicable, for SEF to complete “know your customer” checks and to conduct 

restricted list searches, including searches against the Specially Designated Nationals and 

Blocked Persons list maintained by the Office of Foreign Assets Control of the U.S. Department 

of the Treasury. 

RULE 802. Gifts and Gratuities 

Except as permitted in Writing by the Chief Compliance Officer, no Participant or 

Authorized Trader shall, directly or indirectly, give or permit to be given anything of value 

(including gratuities) to a SEF Official or BSEF, including any agents or independent contractors 

of BSEF. A gift of any kind is considered a gratuity. 

RULE 803. Market Data 

(a) Subject to each Participant's rights in Participant’s own data (and the data of its 

Accounts and Customers) as set forth in the Participant Documentation, BSEF shall own all 

rights, title and interest, database rights and trade secret rights in and to all data and other 
75 

information contained in, displayed on, generated by or derived from the SEF Platform or the 

SEF operated by BSEF or Trades entered into pursuant to the BSEF Rules, including Orders, 

prices and volumes (“SEF Data”). 

(b) Participants and Authorized Traders shall not, and shall cause their Affiliates, 

Accounts and Customers not to, distribute, sell or retransmit SEF Data or other information 

obtained via the SEF operated by BSEF, provided that any such restrictions shall not apply to 

Participant’s own data (and the data of its Accounts and Customers). 

(c) BSEF may at any time restrict or establish utilization fees in respect of SEF Data 

and/or the format and presentation thereof with respect to Participants, Customers or Accounts, 

provided that any such fees shall not apply to Participants’ use of Participant's own data (and the 

data of its Accounts and Customers). 

(d) Subject to Rule 805, BSEF may make SEF Data and other information it may 

deem appropriate available to Participants and other Persons at such times and in such manner 

(whether through the SEF Platform, a ticker, financial information services or otherwise) as it 

may consider necessary or advisable from time to time. Each Participant or other Person 

receiving any such information through the SEF operated by BSEF may redistribute such 

information only to such extent and in such manner as may be permitted by BSEF from time to 

time. 

RULE 804. Prohibited Use of Data Collected for Regulatory Purposes 

BSEF shall not use for business or marketing purposes any proprietary data or personal 

information it collects or receives, from or on behalf of any person, for the purpose of fulfilling 

its regulatory obligations; provided, however, that BSEF may use such data or information for 

business or marketing purposes if the Person from whom it collects or receives such data or 

information clearly consents in Writing to BSEF’s use of such data or information in such 

manner. BSEF shall not condition access to its market(s) or market services on a Person’s 

consent to BSEF’s use of proprietary data or personal information for business or marketing 

purposes. BSEF, where necessary for regulatory purposes, may share such data or information 

with one or more SEFs or DCMs registered with the CFTC. 

RULE 805. Confidentiality 

(a) All non-public information provided by a Participant or Authorized Trader to 

BSEF shall be held in confidence and shall not be made known to any other Person except as 

follows: 

(i) with the consent of the Participant or Authorized Trader providing such 

information; 

(ii) to a Governmental Body if BSEF is requested or legally required to do so 

by such Governmental Body; 

(iii) pursuant to a lawful discovery request; 

(iv) to a Derivatives Clearing Organization of which such Participant is a 

member or in connection with the clearing of a Swap; 
76 

(v) to an SDR; 

(vi) subject to appropriate confidentiality requirements, to any Person 

providing services to BSEF, including the Regulatory Services Provider; 

(vii) pursuant to an information sharing agreement or other arrangement or 

procedures in accordance with Rule 213; 

(viii) subject to appropriate confidentiality requirements, to BSEF employees, 

the Board, Board committees, Disciplinary Panels, Appeals Panels, BSEF Officers, 

attorneys, auditors, and agents, independent contractors or other Persons that have been 

engaged by BSEF, in each case, who require such information in connection with the 

discharge of their duties to BSEF; and 

(ix) as otherwise permitted under these Rules. 

(b) All information and data obtained or received by BSEF from inspections of 

accounting and other records will be treated as confidential by BSEF; however, this Rule does 

not supplant Rule 212 (Emergency Rules) and the Rules in Chapter 6 (Disciplinary Rules), or 

any other requirement of legal process or law. 

RULE 806. Extension or Waiver of BSEF Rules 

If necessary and expedient, the Chief Compliance Officer may, in its sole discretion, 

waive, or extend the time period for performing, any act or acts designated by the BSEF Rules, 

but only to the extent such waiver or extension is not inconsistent with the CEA or the CFTC 

Regulations or other applicable regulations. 

RULE 807. Effect of Amendment, Repeal or New Rule 

(a) If an amendment or repeal of a BSEF Rule or adoption of a new BSEF Rule does 

not materially change the terms or conditions of a Swap and does not affect the value of open 

Swaps, then the effective date of any amendment or repeal of a Rule or adoption of a new Rule 

relating to Swaps is binding on all Swaps entered into before and after the effective date of such 

amendment, repeal or adoption and, to the extent applicable, before the effective date of such 

amendment, repeal or adoption. 

(b) If an amendment or repeal of a BSEF Rule or adoption of a new Rule materially 

changes the terms or conditions of an open Swap or affects the value of open Swaps, then the 

amendment, repeal or new BSEF Rule shall not affect any open Swaps and shall be binding only 

on new Swaps listed for trading after the effective date of such amendment, repeal or adoption, 

and Swaps listed as of the effective date of such amendment, repeal or adoption with no open 

positions then in existence, unless otherwise specifically provided by the Board. 

RULE 808. Swap Contract Specifications 

(a) BSEF shall permit trading only in Swaps that are not readily susceptible to 

manipulation. To demonstrate to the CFTC compliance with the requirements of this Rule 

808(a), BSEF shall, at the time it submits a new Swap in advance to the CFTC pursuant to Part 

40 of the CFTC Regulations, provide the applicable information as set forth in Appendix C to 
77 

Part 38 of the CFTC Regulations – Demonstration of Compliance That a Contract is not Readily 

Susceptible to Manipulation. 

(b) Notwithstanding any provision of the BSEF Rules to the contrary, the Swap 

Specification with respect to a particular Swap shall govern the applicability of the BSEF Rules 

to trading in such Swap and, in the event of any conflict between the BSEF Rules and the Swap 

Specification, the Swap Specification shall govern with respect to trading in the relevant Swap. 

(c) The Swap Specification for each individual Swap may specify: 

(i) different classes of Participants eligible to trade such Swaps. Each such 

class of Participants shall have the rights and obligations specified by the Swap 

Specification for each such Swap; 

(ii) whether such Swap may be settled via cash settlement, physical delivery 

of the underlying commodity, or by any other means, as applicable; and 

(iii) the method for determining settlement prices. 

(d) Each Swap contract will be published by BSEF on its website. 

(e) Swap Specifications are incorporated into the Rulebook by reference and each 

Swap Specification shall constitute a BSEF Rule. 

RULE 809. Timely Publication of Trading Information 

BSEF will publish trading information as required by Core Principle 9 of Part 37, and by 

Part 16, of the CFTC Regulations. 

RULE 810. Governing Law, Jurisdiction and Dispute Resolution 

(a) Unless preempted by the Act, the law of the State of New York governs the BSEF 

Rules and any Participant Documentation regardless of the laws that would otherwise apply 

under choice-of-law principles. If a Participant provides an opinion of a counsel (i) stating that 

the Participant cannot be subject to the law of the State of New York and must be subject to the 

law of the jurisdiction of the location where the Participant is organized (the “Local Law”) and 

(ii) enumerating specific provisions of these Rules or the Participant Documentation that must be 

subject to the Local Law, BSEF will specify the application of the Local Law to the enumerated 

specific provisions of these Rules and the Participant Documentation; provided, however, that in 

no event shall Local Law supersede any provision of the Act. 

(b) Any dispute between BSEF and a Participant or any market participant that 

directly or indirectly effects a transaction on the SEF operated by BSEF arising from or in 

connection with the BSEF Rules or use of the SEF operated by BSEF must be brought to 

arbitration pursuant to subsection (c) of this Rule 810 within one (1) year from the occurrence of 

the event giving rise to the dispute. This Rule 810 shall in no way create a cause of action nor 

authorize an action that would otherwise be prohibited by the BSEF Rules. 

(c) Any dispute between BSEF and a Participant or any market participant that 

directly or indirectly effects a transaction on the SEF operated by BSEF arising from or in 
78 

connection with the BSEF Rules will be settled by arbitration administered in New York County, 

New York by the American Arbitration Association (the “AAA”) under its Commercial 

Arbitration Rules. The dispute will be submitted to one arbitrator who will be appointed by the 

AAA. Any arbitrator appointed for purposes of this Rule 810 will have experience with and 

knowledge of commodities, derivatives and Swaps as listed on the National Roster of Arbitrators 

kept in the AAA’s records. Judgment on the award rendered by the arbitrator will be binding on 

the parties and may be entered in any state or federal court sitting in New York County, New 

York, and BSEF and each Participant shall be deemed to have consented to the personal 

jurisdiction of any such court. Each party to the dispute will bear its own costs and expenses in 

connection with any arbitration hereunder, as well as an equal share of the administrative fees 

and the fees of the arbitrator; provided, however, that the arbitrator will be entitled to include in 

any award a full reimbursement for the prevailing party’s costs and expenses, such party’s share 

of the administrative fees and the fees of the arbitrator, or any combination of any or all of the 

above. In the event that this Rule 810 is held to be unenforceable in connection with any dispute 

or a claim is deemed by a court of competent jurisdiction to be not arbitrable, (i) exclusive 

jurisdiction for any such dispute will reside in any state or federal court sitting in New York 

County, New York, (ii) BSEF and the Participant involved in the dispute will be presumed to 

have submitted to the personal jurisdiction of any such court, and (iii) an action to enforce any 

judgment or decision of such court may be brought in the same court or in any other court with 

jurisdiction or venue. Finally, all Participants unconditionally and irrevocably waive any and all 

right to trial by jury in connection with any such dispute. 

CHAPTER 9. LIMITATION OF LIABILITY, NO WARRANTIES 

RULE 901. LIMITATION OF LIABILITY, NO WARRANTIES 

(a) NONE OF BSEF, ITS AFFILIATES OR ANY CONTRACTORS AND SUBCONTRACTORS PROVIDING SERVICES RELATED TO BSEF OR THE SEF OPERATED 

BY BSEF, NOR ANY OF THEIR RESPECTIVE SUCCESSORS OR ASSIGNS, DIRECTORS, 

OFFICERS, EMPLOYEES, AGENTS, PARTNERS, CONSULTANTS, OR LICENSORS 

(EACH, A “DISCLAIMING PARTY”) SHALL BE LIABLE TO ANY PERSON 

(INCLUDING ANY PARTICIPANT, AUTHORIZED TRADER, SUPERVISED PERSON, 

ACCOUNT, CUSTOMER, CLEARING MEMBER OR ANY MARKET PARTICIPANT 

THAT DIRECTLY OR INDIRECTLY EFFECTS A TRANSACTION ON THE SEF 

OPERATED BY BSEF) FOR ANY LOSSES, DAMAGES, COSTS OR EXPENSES 

(INCLUDING LOSS OF PROFITS, LOSS OF USE, AND DIRECT, INDIRECT, SPECIAL, 

INCIDENTAL, CONSEQUENTIAL OR PUNITIVE DAMAGES), ARISING FROM: 

(i) ANY FAILURE, MALFUNCTION, FAULT IN DELIVERY, DELAY, 

OMISSION, SUSPENSION, INACCURACY, INTERRUPTION, TERMINATION, OR 

ANY OTHER EVENT, IN CONNECTION WITH THE FURNISHING, 

PERFORMANCE, OPERATION, MAINTENANCE, USE OF OR INABILITY TO USE 

ALL OR ANY PART OF ANY OF THE SEF OPERATED BY BSEF, SEF 

PLATFORM OR SERVICES OF THE DISCLAIMING PARTY, OR SERVICES, 

EQUIPMENT OR FACILITIES USED TO SUPPORT SUCH SEF OPERATED BY 

BSEF, SEF PLATFORM OR SERVICES, INCLUDING ELECTRONIC ORDER 

ENTRY/DELIVERY, TRADING THROUGH ANY ELECTRONIC MEANS, 

ELECTRONIC COMMUNICATION OF MARKET DATA, SEF DATA OR 

INFORMATION, WORKSTATIONS USED BY PARTICIPANTS, AUTHORIZED 
79 

TRADERS, SUPERVISED PERSONS, CLEARING MEMBERS, ACCOUNTS OR 

CUSTOMERS, PRICE REPORTING SYSTEMS AND ANY AND ALL 

COMMUNICATIONS NETWORKS, SOFTWARE AND HARDWARE RELATING 

THERETO; 

(ii) ANY FAILURE, MALFUNCTION, FAULT IN DELIVERY, DELAY, 

OMISSION, SUSPENSION, INACCURACY, INTERRUPTION OR TERMINATION, 

OR ANY OTHER EVENT, OF THE SEF PLATFORM OR ANY SERVICES OF A 

DISCLAIMING PARTY, OR SERVICES, EQUIPMENT OR FACILITIES USED TO 

SUPPORT SUCH TRADING SYSTEMS OR SERVICES, CAUSED BY ANY THIRD 

PARTIES INCLUDING INDEPENDENT SOFTWARE VENDORS OR NETWORK 

PROVIDERS; 

(iii) ANY ERRORS OR INACCURACIES IN INFORMATION PROVIDED 

BY THE DISCLAIMING PARTY OR IN ANY OF THE DISCLAIMING PARTY’S 

SYSTEMS, SERVICES, EQUIPMENT OR FACILITIES; 

(iv) ANY UNAUTHORIZED ACCESS TO OR UNAUTHORIZED USE OF 

ANY OF THE DISCLAIMING PARTY’S SYSTEMS, SERVICES, EQUIPMENT OR 

FACILITIES BY ANY PERSON. 

THE FOREGOING LIMITATION OF LIABILITY SHALL APPLY WHETHER A CLAIM 

ARISES IN CONTRACT, TORT, NEGLIGENCE, STRICT LIABILITY, CONTRIBUTION 

OR OTHERWISE AND WHETHER THE CLAIM IS BROUGHT DIRECTLY OR AS A 

THIRD PARTY CLAIM. 

(b) NOTWITHSTANDING SUBSECTION (a), (c) or (f) OF THIS RULE 901, IN 

NO EVENT SHALL ANY AFFILIATE OF BSEF ACTING AS SEF PLATFORM 

TECHNOLOGY SERVICES PROVIDER BE LIABLE TO ANY PERSON NOR SHALL ANY 

PERSON BRING ANY LEGAL ACTION (WHETHER IN TORT, NEGLIGENCE, OR 

BREACH OF CONTRACT) FOR ANY LOSSES, DAMAGES, COSTS OR EXPENSES 

INCLUDING LOSS OF PROFITS, LOSS OF USE, DIRECT, SPECIAL, PUNITIVE, 

INDIRECT, INCIDENTAL OR CONSEQUENTIAL DAMAGES, ARISING FROM THE USE 

OF THE SEF OPERATED BY BSEF OR SEF PLATFORM. 

(c) WITHOUT LIMITING BSEF’S INDEMNIFICATION OBLIGATION UNDER 

RULE 902, THERE ARE NO EXPRESS OR IMPLIED WARRANTIES OR 

REPRESENTATIONS (INCLUDING WARRANTIES OF MERCHANTABILITY AND 

FITNESS FOR A PARTICULAR PURPOSE OR USE) PROVIDED BY ANY DISCLAIMING 

PARTY RELATING TO ANY SYSTEMS OR SERVICES OF ANY DISCLAIMING PARTY 

OR SERVICES, EQUIPMENT OR FACILITIES USED TO SUPPORT SUCH SYSTEMS OR 

SERVICES. 

(d) ANY DISPUTE ARISING OUT OF THE USE OF SYSTEMS OR SERVICES 

OF ANY DISCLAIMING PARTY OR SERVICES, EQUIPMENT, OR FACILITIES USED TO 

SUPPORT SUCH SYSTEMS OR SERVICES IN WHICH THE DISCLAIMING PARTY OR 

DISCLAIMING PARTIES IS A PARTY SHALL BE SUBJECT TO ARBITRATION AS 

PROVIDED IN RULE 810(c) AS IF THE DISCLAIMING PARTY WERE BSEF AND THE 

OPPOSITE PARTY OR PARTIES WERE A PARTICIPANT. ANY ACTIONS, SUITS OR 
80 

PROCEEDINGS BROUGHT AGAINST ANY DISCLAIMING PARTY MUST BE 

BROUGHT WITHIN ONE YEAR FROM THE TIME THAT A CAUSE OF ACTION HAS 

ACCRUED. THIS PARAGRAPH (d) SHALL IN NO WAY BE CONSTRUED TO LIMIT A 

PARTY’S OBLIGATION TO ARBITRATE ITS CLAIM OR TO CREATE A CAUSE OF 

ACTION (OR MODIFY THE LIMITATION ON ACTIONS PROVIDED IN RULE 901(a)) 

AND SHALL NOT AUTHORIZE AN ACTION THAT WOULD OTHERWISE BE 

PROHIBITED BY THE BSEF RULES. IF FOR ANY REASON, A COURT OF COMPETENT 

JURISDICTION FINDS THAT A DISPUTE IS NOT ARBITRABLE, SUCH DISPUTE 

SHALL BE SUBJECT TO THE JURISDICTION OF EACH OF THE FEDERAL AND STATE 

COURTS LOCATED IN NEW YORK COUNTY, NEW YORK IN CONNECTION WITH 

ANY MATTERS ARISING OUT OF THIS RULEBOOK AND NO PARTY TO SUCH 

DISPUTE MAY ASSERT A DEFENSE OF FORUM NON CONVENIENS, SOVEREIGN 

IMMUNITY, ACT OF STATE OR ANALOGOUS DOCTRINES IN CONNECTION WITH 

ANY ACTION. 

(e) TO THE EXTENT PERMITTED BY APPLICABLE LAW, THE TOTAL 

COMBINED AGGREGATE LIABILITY OF BSEF SHALL NOT EXCEED (i) $20,000 FOR 

ALL LOSSES AND CLAIMS FROM ALL CAUSES SUFFERED ON A SINGLE DAY, (ii) 

$100,000 FOR ALL LOSSES AND CLAIMS FROM ALL CAUSES SUFFERED IN A 

SINGLE CALENDAR MONTH; AND (iii) $1,000,000 FOR ALL LOSSES AND CLAIMS 

FROM ALL CAUSES SUFFERED IN A SINGLE CALENDAR YEAR. ANY DISPUTED 

CLAIM PURSUANT TO THIS PARAGRAPH (e) SHALL BE SUBJECT TO ARBITRATION 

TO THE EXTENT PROVIDED IN RULE 810(c). 

IN NO EVENT SHALL TOTAL COMBINED AGGREGATE LIABILITY OF BSEF FOR ALL 

CLAIMS AND CLAIMS AGAINST DISCLAIMING PARTIES ARISING OUT OF ANY 

FAILURES, MALFUNCTIONS, FAULTS IN DELIVERY, DELAYS, OMISSIONS, 

SUSPENSIONS, INACCURACIES, INTERRUPTIONS, TERMINATIONS, OR ANY OTHER 

CAUSES, IN CONNECTION WITH THE FURNISHING, PERFORMANCE, OPERATION, 

MAINTENANCE, USE OF OR INABILITY TO USE ALL OR ANY PART OF ANY OF THE 

SEF OPERATED BY BSEF OR SEF PLATFORM, OR SERVICES, EQUIPMENT OR 

FACILITIES USED TO SUPPORT BSEF, THE SEF OPERATED BY BSEF OR SEF 

PLATFORM, OR THE NEGLIGENCE OR GROSS NEGLIGENCE OF BSEF EMPLOYEES, 

AGENTS OR SUBAGENTS EXCEED $1,000,000 IN ANY GIVEN CALENDAR YEAR. 

IF THE NUMBER OF ALLOWED CLAIMS ARISING OUT OF ANY FAILURES OR 

MALFUNCTIONS ON A SINGLE DAY, SINGLE MONTH OR SINGLE YEAR CANNOT 

BE FULLY SATISFIED BECAUSE OF THE ABOVE DOLLAR LIMITATIONS, ALL SUCH 

CLAIMS SHALL BE LIMITED TO A PRO RATA SHARE OF THE MAXIMUM AMOUNT 

FOR THE RESPECTIVE PERIOD. 

(f) THE LIMITATIONS OF LIABILITY IN THIS RULE 901 SHALL NOT APPLY 

TO BSEF’S INDEMNIFICATION OBLIGATION UNDER RULE 902 AND SHALL NOT 

PROTECT ANY PARTY FOR WHICH THERE HAS BEEN A FINAL DETERMINATION 

(INCLUDING EXHAUSTION OF ANY APPEALS) BY A COURT OR ARBITRATOR TO 

HAVE ENGAGED IN FRAUD OR WILLFUL MISCONDUCT. ADDITIONALLY, THE 

FOREGOING LIMITATIONS ON LIABILITY OF THIS RULE SHALL BE SUBJECT TO 

THE CEA AND THE REGULATIONS PROMULGATED THEREUNDER, EACH AS IN 

EFFECT FROM TIME TO TIME. 
81 

RULE 902. Indemnification by BSEF 

BSEF, at its expense, shall indemnify, hold harmless and defend Participant against any 

loss, claim, demand or expense (including reasonable attorneys’ fees) (“Claim”) that the SEF 

Platform or any portion thereof infringes, misappropriates or violates any intellectual property or 

proprietary rights of any third party; provided, however, that BSEF shall not be required to 

indemnify Participant for any Claim to the extent it arises from or in connection with any (a) 

additions, changes or modifications by Participant to the SEF Platform, which changes were not 

provided by BSEF or any of its Affiliates, (b) use of the SEF Platform in combination with other 

products or services not provided by BSEF or its Affiliates, or (c) use of the SEF Platform other 

than as expressly permitted by the Rules or the Participant Documentation. BSEF shall control 

such defense and all negotiations relative to the settlement of any such Claim. Participant shall 

promptly provide BSEF with written notice of any claim which falls within the scope of this 

paragraph (provided that failure to provide such notice shall not relieve BSEF of its indemnity 

obligations hereunder except to the extent it is prejudiced thereby). 

CHAPTER 10. [RESERVED] 

CHAPTER 11. [RESERVED] 
82 

CHAPTER 12. CREDIT CONTRACTS TERMS AND CONDITIONS 

RULE 1201. CDS Index Contract – North America High Yield 

Contract Overview An agreement to buy or sell protection on a basket of liquid North America based entities with a high yield credit rating. 

Ticker CDX HY CDSI [series number] [tenor] 

Index CDX.NA.HY: Series 11 to current series other than series “made available to trade” 

Currency USD 

Quoting 

Convention 

and 

Minimum 

Increment 

CLOB: $0.0025 

Trading Protocols other than CLOB: As agreed by counterparties 

Minimum Size CLOB: $1,000,000 

Trading Protocols other than CLOB: As agreed by counterparties 

Trading 

Conventions 

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. Credit 

events include Bankruptcy, Failure to Pay and Restructuring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller 

owns the credit risk of the instrument. 

Swap Conventions Traded on price 

Fixed coupon payments are calculated at a spread of 500 bps and exchanged on a quarterly basis. 

Swap Tenor Any, other than tenors “made available to trade” 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of 

the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit 

Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol). 

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller. 

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, which 

is present valued and paid immediately to the seller. 

Trading Hours and 

Venue 

00:01 -24:00 Sunday-Friday; Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.; 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set in Part 150 of the CFTC Regulations 

Reportable Levels As set in the CFTC Regulation 15.03 
83 

RULE 1202. CDS Index Contract – North America Investment Grade 

Contract Overview An agreement to buy or sell protection on a basket of liquid North America based entities with an investment grade credit 

rating 

Ticker CDX IG CDSI [series number] [tenor] 

Index CDX.NA.IG: Series 11 to current other than series “made available to trade” 

Currency USD 

Quoting 

Convention 

and 

Minimum 

Increment 

CLOB: 0.0025 Basis Points 

Trading Protocols other than CLOB: As agreed by counterparties 

Minimum Size CLOB: 1,000,000 Basis Points 

Trading Protocols other than CLOB: As agreed by counterparties 

Trading 

Conventions 

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. Credit 

events include Bankruptcy and Failure to Pay. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller 

owns the credit risk of the instrument. 

Swap Conventions 

Traded on spread 

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis. 

Swap Tenor Any, other than tenors “made available to trade” 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of 

the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit 

Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol). 

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller. 

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, which 

is present valued and paid immediately to the seller. 

Trading Hours and 

Venue 

00:01 -24:00 Sunday-Friday; Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set in Part 150 of the CFTC Regulations 

Reportable Levels As set in the CFTC Regulation 15.03 
84 

RULE 1203. CDS Index Contract – CDX Emerging Markets 

Contract Overview An agreement to buy or sell protection on a basket comprised of a number of sovereign issuers, domiciled in Latin 

America 

Ticker CDX EM CDSI [series number] [tenor] 

Index CDX Emerging Markets: all series 

Currency USD 

Quoting 

Convention 

and 

Minimum 

Increment 

CLOB: $0.0025 

Trading Protocols other than CLOB: As agreed by counterparties 

Minimum Size CLOB: $1,000,000 

Trading Protocols other than CLOB: As agreed by counterparties 

Trading 

Conventions 

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller 

owns the credit risk of the instrument. 

Swap Conventions Traded on price 

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis. 

Swap Tenor Any 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of 

the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit 

Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol). 

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller. 

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, which 

is present valued and paid immediately to the seller. 

Trading Hours and 

Venue 

00:01 -24:00 Sunday-Friday; Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set in Part 150 of the CFTC Regulations 

Reportable Levels As set in the CFTC Regulation 15.03 
85 

RULE 1204. CDS Index Contract – Europe 

Contract Overview An agreement to buy or sell protection on a basket of liquid European based entities with an investment grade credit 

rating. 

Ticker ITRX EUR CDSI [series number] [tenor] 

Index iTRAXX.EUROPE: Series 7 to current, other than series “made available to trade” 

Currency EUR 

Quoting 

Convention 

and 

Minimum 

Increment 

CLOB: 0.0025 Basis Points 

Trading Protocols other than CLOB: As agreed by counterparties 

Minimum Size CLOB: 1,000,000 Basis Points 

Trading Protocols other than CLOB: As agreed by counterparties 

Trading 

Conventions 

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller 

owns the credit risk of the instrument. 

Swap Conventions Traded on spread 

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis. 

Swap Tenor Any, other than tenors “made available to trade” 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of 

the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit 

Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol). 

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller. 

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, which 

is present valued and paid immediately to the seller. 

Trading Hours and 

Venue 

00:01 -24:00 Sunday-Friday; Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set in Part 150 of the CFTC Regulations 

Reportable Levels As set in the CFTC Regulation 15.03 
86 

RULE 1205. CDS Index Contract – Europe Crossover 

Contract Overview The European Crossover index comprises 50 equally weighted credit default swaps on the most liquid sub-investment 

grade European corporate entities. 

Ticker ITRX XOVER CDSI [series number] [tenor] 

Index iTRAXX.EUROPE CROSSOVER: Series 10 to current, other than series “made available to trade” 

Currency EUR 

Quoting 

Convention 

and 

Minimum 

Increment 

CLOB: 0.0025 Basis Points 

Trading Protocols other than CLOB: As agreed by counterparties 

Minimum Size CLOB: 1,000,000 Basis Points 

Trading Protocols other than CLOB: As agreed by counterparties 

Trading 

Conventions 

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller 

owns the credit risk of the instrument. 

Swap Conventions Traded on spread 

Fixed coupon payments are calculated at a spread of 500 bps and exchanged on a quarterly basis. 

Swap Tenor Any, other than tenors “made available to trade” 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of 

the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit 

Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol). 

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller. 

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, which 

is present valued and paid immediately to the seller. 

Trading Hours and 

Venue 

00:01 -24:00 Sunday-Friday; Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set in Part 150 of the CFTC Regulations 

Reportable Levels As set in the CFTC Regulation 15.03 
87 

RULE 1206. CDS Index Contract – Europe HiVol 

Contract Overview An agreement to buy or sell protection on a basket comprised of 30 equally weighted credit default swaps on the widest 

spread non-financial European corporate entities. 

Ticker HIVOL CDSI [series number] [tenor] 

Index iTRAXX.EUROPE HIVOL: 

Currency EUR 

Quoting 

Convention 

and 

Minimum 

Increment 

CLOB: 0.0025 Basis Points 

Trading Protocols other than CLOB: As agreed by counterparties 

Minimum Size CLOB: 1,000,000 Basis Points 

Trading Protocols other than CLOB: As agreed by counterparties 

Trading 

Conventions 

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller owns 

the credit risk of the instrument. 

Swap Conventions Traded on spread 

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis. 

Swap Tenor Any 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of 

the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit 

Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol). 

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller. 

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, which 

is present valued and paid immediately to the seller. 

Trading Hours and 

Venue 

00:01 -24:00 Sunday-Friday; Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set in Part 150 of the CFTC Regulations 

Reportable Levels As set in the CFTC Regulation 15.03 
88 

RULE 1207. CDS Index Contract – iTraxx Europe Senior Financial 

Contract Overview An agreement to buy or sell protection on a basket of 25 equally weighted credit default swaps on investment grade 

European entities. 

Ticker SNRFIN CDSI [series number] [tenor] 

Index iTRAXX EUROPE SENIOR FINANCIAL 

Currency EUR 

Quoting 

Convention 

and 

Minimum 

Increment 

CLOB: 0.0025 Basis Points 

Trading Protocols other than CLOB: As agreed by counterparties 

Minimum Size CLOB: 1,000,000 Basis Points 

Trading Protocols other than CLOB: As agreed by counterparties 

Trading 

Conventions 

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller 

owns the credit risk of the instrument. 

Swap Conventions Traded on spread 

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis. 

Swap Tenor Any 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of 

the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit 

Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol). 

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller. 

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, which 

is present valued and paid immediately to the seller. 

Trading Hours and 

Venue 

00:01 -24:00 Sunday-Friday; Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set in Part 150 of the CFTC Regulations 

Reportable Levels As set in the CFTC Regulation 15.03 
89 

RULE 1208. CDS Index Contract – iTraxx SovX Western Europe 

Contract Overview An agreement to buy or sell protection on an index comprised of 14 names from the Eurozone region plus Denmark, 

Norway, Sweden and United Kingdom that trade on Western European documentation. 

Ticker ITRX SOVX WE CDSI [series number] [tenor] 

Index iTRAXX SovX Western Europe: all series 

Currency USD 

Quoting 

Convention 

and 

Minimum 

Increment 

CLOB: 0.0025 Basis Points 

Trading Protocols other than CLOB: As agreed by counterparties 

Minimum Size CLOB: 1,000,000 Basis Points 

Trading Protocols other than CLOB: As agreed by counterparties 

Trading 

Conventions 

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller 

owns the credit risk of the instrument. 

Swap Conventions Traded on spread 

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis. 

Swap Tenor Any 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of 

the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit 

Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol). 

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller. 

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, which 

is present valued and paid immediately to the seller. 

Trading Hours and 

Venue 

00:01 -24:00 Sunday-Friday; Eastern Time 

Clearing House n/a; Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set in Part 150 of the CFTC Regulations 

Reportable Levels As set in the CFTC Regulation 15.03 
90 

RULE 1209. CDS Index Contract – iTraxx Europe Subordinated Financial 

Contract Overview An agreement to buy or sell protection on a basket of 25 equally weighted credit default swaps on investment grade 

European entities. 

Ticker SUBFIN CDSI [series number] [tenor] 

Index iTRAXX EUROPE SUBORDINATED FINANCIAL : All Series 

Currency EUR 

Quoting 

Convention 

and 

Minimum 

Increment 

CLOB: 0.0025 Basis Points 

Trading Protocols other than CLOB: As agreed by counterparties 

Minimum Size 

 

CLOB: 1,000,000 Basis Points 

Trading Protocols other than CLOB: As agreed by counterparties 

Trading 

Conventions 

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller 

owns the credit risk of the instrument. 

Swap Conventions Traded on spread 

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis. 

Swap Tenor Any 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of 

the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit 

Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol). 

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller. 

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, which 

is present valued and paid immediately to the seller. 

Trading Hours and 

Venue 

00:01 -24:00 Sunday-Friday; Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set in Part 150 of the CFTC Regulations 

Reportable Levels As set in the CFTC Regulation 15.03 
91 

RULE 1210. CDS Index Contract – iTraxx Japan 

Contract Overview An agreement to buy or sell protection on a basket comprised of 50 equally-weighted investment grade Japanese entities. 

Ticker ITRX JAPAN CDSI [series number] [tenor] 

Index iTRAXX.JAPAN: All Series. 

Currency JPY 

Quoting 

Convention 

and 

Minimum 

Increment 

CLOB: 0.0025 Basis Points 

Trading Protocols other than CLOB: As agreed by counterparties 

Minimum Size 

 

CLOB: 1,000,000 Basis Points 

Trading Protocols other than CLOB: As agreed by counterparties 

Trading 

Conventions 

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller owns 

the credit risk of the instrument. 

Swap Conventions Traded on spread 

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis. 

Swap Tenor Any 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of 

the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit 

Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol). 

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller. 

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, which 

is present valued and paid immediately to the seller. 

Trading Hours and 

Venue 

00:01 -24:00 Sunday-Friday; Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set in Part 150 of the CFTC Regulations 

Reportable Levels As set in the CFTC Regulation 15.03 
92 

RULE 1211. CDS Index Contract – iTraxx Australia 

Contract Overview An agreement to buy or sell protection on a basket comprised of 25 equally-weighted investment grade Australian 

entities. 

Ticker ITRX AUS CDSI [series number] [tenor] 

Index ITRAXX.AUSTRALIA : All Series 

Currency USD 

Quoting 

Convention 

and 

Minimum 

Increment 

CLOB: 0.0025 Basis Points 

Trading Protocols other than CLOB: As agreed by counterparties 

Minimum Size 

 

CLOB: 1,000,000 Basis Points 

Trading Protocols other than CLOB: As agreed by counterparties 

Trading 

Conventions 

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller 

owns the credit risk of the instrument. 

Swap Conventions Traded on spread 

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis. 

Swap Tenor Any 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of 

the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit 

Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol). 

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller. 

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, which 

is present valued and paid immediately to the seller. 

Trading Hours and 

Venue 

00:01 -24:00 Sunday-Friday; Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.; Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set in Part 150 of the CFTC Regulations 

Reportable Levels As set in the CFTC Regulation 15.03 
93 

RULE 1212. MAT CDS Index Contracts – North America Investment Grade 5Y 

Contract Overview An agreement to buy or sell protection on a basket of liquid North America based entities with an investment grade credit 

rating. 

Ticker CDX IG CDSI [series number] 5Y 

Index CDX.NA.IG: at any time, the then-current on-the-run series and the preceding series that was replaced by the current one 

Currency USD 

Quoting 

Convention and 

Minimum Price 

Increment 

CLOB: 0.0025 Basis Points 

Request for Quote Functionality for Streaming Quotes: 0.01 Basis Points 

Trading Protocols other than CLOB and Request for Quote Functionality for Streaming Quotes: As agreed by 

counterparties 

Minimum Size CLOB: 1,000,000 Basis Points 

Trading Protocols other than CLOB: As agreed by counterparties 

Trading 

Conventions 

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. Credit 

events include Bankruptcy and Failure to Pay. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller 

owns the credit risk of the instrument. 

Swap Conventions Traded on spread 

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis. 

Swap Tenor 5Y 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of 

the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Settlement 

Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit 

Derivatives Determination Committees and Auction Settlement Supplement, (ie, the Big Bang Protocol). 

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller. 

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, which 

is present valued and paid immediately to the seller. 

Trading Hours and 

Venue 

00:01 -24:00 Sunday-Friday; Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set in Part 150 of the CFTC Regulations 

Reportable Levels As set in the CFTC Regulation 15.03 
94 

RULE 1213. MAT CDS Index Contract – North America High Yield 5Y 

Contract Overview An agreement to buy or sell protection on a basket of liquid North America based entities with a high yield credit rating. 

Ticker CDX HY CDSI [series number] 5Y 

Index CDX.NA.HY: at any time, the then-current on-the-run series and the preceding series that was replaced by the current 

one 

Currency USD 

Quoting 

Convention and 

Minimum 

Increment 

CLOB: $0.0025 

Request for Quote Functionality for Streaming Quotes: $0.0025 

Trading Protocols other than CLOB and Request for Quote Functionality for Streaming Quotes: As agreed by 

counterparties 

Minimum Size CLOB: $1,000,000 

Trading Protocols other than CLOB: As agreed by counterparties 

Trading 

Conventions 

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. Credit 

events include Bankruptcy, Failure to Pay and Restructuring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller owns 

the credit risk of the instrument. 

Swap Conventions Traded on price 

Fixed coupon payments are calculated at a spread of 500 bps and exchanged on a quarterly basis. 

Swap Tenor 5Y 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of 

the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit 

Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol). 

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller. 

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, which 

is present valued and paid immediately to the seller. 

Trading Hours and 

Venue 

00:01 -24:00 Sunday-Friday; Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set in Part 150 of the CFTC Regulations 

Reportable Levels As set in the CFTC Regulation 15.03 
95 

RULE 1214. MAT CDS Index Contract –iTraxx Europe 5Y 

Contract Overview An agreement to buy or sell protection on a basket of liquid European based entities with an investment grade credit 

rating. 

Ticker iTRX EUR CDSI [series number] 5Y 

Index iTRAXX.EUROPE: at any time, the then-current on-the-run series and the preceding series that was replaced by the 

current one 

Currency EUR 

Quoting 

Convention and 

Minimum 

Increment 

CLOB: 0.0025 Basis Points 

Request for Quote Functionality for Streaming Quotes: 0.001 Basis Points 

Trading Protocols other than CLOB and Request for Quote Functionality for Streaming Quotes: As agreed by 

counterparties 

Minimum Size CLOB: 1,000,000 Basis Points 

Trading Protocols other than CLOB: As agreed by counterparties 

Trading 

Conventions 

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller owns 

the credit risk of the instrument. 

Swap Conventions Traded on spread 

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis. 

Swap Tenor 5Y 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of 

the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit 

Derivatives Determination Committees and Auction Settlement Supplement, (ie, the Big Bang Protocol). 

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller. 

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, which 

is present valued and paid immediately to the seller. 

Trading Hours and 

Venue 

00:01 - 24:00 Sunday-Friday; Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set in Part 150 of the CFTC Regulations 

Reportable Levels As set in the CFTC Regulation 15.03 
96 

RULE 1215. MAT CDS Index Contract –iTraxx Europe Crossover 5Y 

Contract Overview The European Crossover index comprises 50 equally weighted credit default swaps on the most liquid sub-investment 

grade European corporate entities. 

Ticker ITRX XOVER CDSI [series number] 5Y 

Index iTRAXX.EUROPE CROSSOVER: at any time, the then-current on-the-run series and the preceding series that was 

replaced by the current one 

Currency EUR 

Quoting 

Convention 

and 

Minimum 

Increment 

CLOB: 0.0025 Basis Points 

Request for Quote Functionality for Streaming Quotes: 0.001 Basis Points 

Trading Protocols other than CLOB and Request for Quote Functionality for Streaming Quotes: As agreed by 

counterparties 

Minimum Size CLOB: 1,000,000 Basis Points 

Trading Protocols other than CLOB: As agreed by counterparties 

Trading 

Conventions 

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller 

owns the credit risk of the instrument 

Swap Conventions Traded on spread 

Fixed coupon payments are calculated at a spread of 500 bps and exchanged on a quarterly basis. 

Swap Tenor 5Y 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of 

the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit 

Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol). 

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller. 

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, which 

is present valued and paid immediately to the seller. 

Trading Hours and 

Venue 

00:01 - 24:00 Sunday-Friday; Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set in Part 150 of the CFTC Regulations 

Reportable Levels As set in the CFTC Regulation 15.03 
97 

RULE 1216. Option – CDS Index Contract CDX North America High Yield 

Contract Overview An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF which 

is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit the 

underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”). 

Ticker CDX HY CDSI [Series] [Tenor] [Expiry] [Direction] [Strike] 

Underlying Swap CDS Index Contract – North America High Yield. 

Index of 

Underlying Swap 

CDX.NA.HY: Series 11 to current

Tenor of 

Underlying Swap 

Any 

Currency USD 

Quoting 

Convention and 

Minimum 

Increment 

As agreed by counterparties 

Minimum Size As agreed by counterparties 

Trading 

Conventions 

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby the buyer of 

protection pays a premium to the seller in case of a credit event occurring. Credit events include bankruptcy and failure 

to pay. 

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller 

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap. 

Option Strike 

Price 

Fixed coupon of the underlying swap 

Option Expiry 

Date 

As agreed by the parties 

Exercise method 

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on the 

Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the option, 

the counterparties must submit the underlying Swap for clearing to the Clearing House. 

 

Trading Hours and 

Venue 

00:01 -24:00 Sunday-Friday; Eastern Time 

Clearing House for 

the underlying 

Swap 

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits Same as for the underlying Swap 

Reportable Levels Same as for the underlying Swap 
98 

RULE 1217. Option – CDS Index Contract CDX North America Investment Grade 

Contract Overview An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF which 

is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit the 

underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”). 

Ticker CDX IG CDSI [Series] [Tenor] [Expiry] [Direction] [Strike] 

Underlying Swap CDS Index Contract – North America Investment Grade. 

Index of 

Underlying Swap 

CDX.NA.IG: Series 11 to current

Tenor of 

Underlying Swap 

Any 

Currency USD 

Quoting 

Convention and 

Minimum 

Increment 

As agreed by counterparties 

Minimum Size As agreed by counterparties 

Trading 

Conventions 

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby the buyer of 

protection pays a premium to the seller in case of a credit event occurring. Credit events include bankruptcy and failure 

to pay. 

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller 

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap. 

Option Strike 

Price 

Fixed coupon of the underlying swap 

Option Expiry 

Date 

As agreed by the parties 

Exercise method 

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on the 

Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the option, 

the counterparties must submit the underlying Swap for clearing to the Clearing House. 

 

Trading Hours and 

Venue 

00:01 -24:00 Sunday-Friday; Eastern Time 

Clearing House for 

the underlying 

Swap 

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits Same as for the underlying Swap 

Reportable Levels Same as for the underlying Swap 
99 

RULE 1218. Option – CDS Index Contract – CDX Emerging Markets 

Contract Overview An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF which 

is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit the 

underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”). 

Ticker CDX EM CDSI [Series] [Tenor] [Expiry] [Direction] [Strike] 

Underlying Swap CDS Index Contract – CDX Emerging Markets

Index of 

Underlying Swap 

CDX.EM: all series

Tenor of 

Underlying Swap 

Any 

Currency USD 

Quoting 

Convention and 

Minimum 

Increment 

As agreed by counterparties 

Minimum Size As agreed by counterparties 

Trading 

Conventions 

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby the buyer of 

protection pays a premium to the seller in case of a credit event occurring. Credit events include bankruptcy and failure 

to pay. 

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller 

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap. 

Option Strike 

Price 

Fixed coupon of the underlying swap 

Option Expiry 

Date 

As agreed by the parties 

Exercise method 

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on the 

Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the option, 

the counterparties must submit the underlying Swap for clearing to the Clearing House. 

 

Trading Hours and 

Venue 

00:01 -24:00 Sunday-Friday; Eastern Time 

Clearing House for 

the underlying 

Swap 

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits Same as for the underlying Swap 

Reportable Levels Same as for the underlying Swap 
100 

RULE 1219. Option – CDS Index Contract – iTraxx Europe 

Contract Overview An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF which 

is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit the 

underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”). 

Ticker ITRX EUR CDSI [Series] [Tenor] [Expiry] [Direction] [Strike] 

Underlying Swap CDS Index Contract – European Investment Grade. An agreement to buy or sell protection on a basket of liquid 

European based entities with an investment grade credit rating. 

Index of 

Underlying Swap 

ITRAXX.EUROPE: Series 10 to current

Tenor of 

Underlying Swap 

Any 

Currency EUR 

Quoting 

Convention and 

Minimum 

Increment 

As agreed by counterparties 

Minimum Size As agreed by counterparties 

Trading 

Conventions 

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby the buyer of 

protection pays a premium to the seller in case of a credit event occurring. Credit events include bankruptcy and failure 

to pay. 

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller 

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap. 

Option Strike 

Price 

Fixed coupon of the underlying swap 

Option Expiry 

Date 

As agreed by the parties 

Exercise method 

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on the 

Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the option, 

the counterparties must submit the underlying Swap for clearing to the Clearing House. 

 

Trading Hours and 

Venue 

00:01 -24:00 Sunday-Friday; Eastern Time 

Clearing House for 

the underlying 

Swap 

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits Same as for the underlying Swap 

Reportable Levels Same as for the underlying Swap 
101 

RULE 1220. Option – CDS Index Contract – iTraxx Europe Crossover 

Contract Overview An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF which 

is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit the 

underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”). 

Ticker ITRX XOVER CDSI [Series] [Tenor] [Expiry] [Direction] [Strike] 

Underlying Swap CDS Index Contract – Europe Crossover. An index comprising 50 equally weighted credit default swaps on the most 

liquid sub-investment grade European corporate entities. 

Index of 

Underlying Swap 

ITRAXX.EUROPE CROSSOVER: Series 10 to current

Tenor of 

Underlying Swap 

Any 

Currency EUR 

Quoting 

Convention and 

Minimum 

Increment 

As agreed by counterparties 

Minimum Size As agreed by counterparties 

Trading 

Conventions 

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby the buyer of 

protection pays a premium to the seller in case of a credit event occurring. Credit events include bankruptcy and failure 

to pay. 

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller 

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap. 

Option Strike 

Price 

Fixed coupon of the underlying swap 

Option Expiry 

Date 

As agreed by the parties 

Exercise method 

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on the 

Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the option, 

the counterparties must submit the underlying Swap for clearing to the Clearing House. 

Trading Hours and 

Venue 

00:01 -24:00 Sunday-Friday; Eastern Time 

Clearing House for 

the underlying 

Swap 

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits Same as for the underlying Swap 

Reportable Levels Same as for the underlying Swap 
102 

RULE 1221. Option – CDS Index Contract – iTraxx Europe HiVol 

Contract Overview An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF which 

is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit the 

underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”). 

Ticker HIVOL CDSI [Series] [Tenor] [Expiry] [Direction] [Strike] 

Underlying Swap CDS Index Contract – European HiVol. 

Index of 

Underlying Swap 

ITRAXX.EUROPE HIVOL: Series 10 to current

Tenor of 

Underlying Swap 

Any 

Currency EUR 

Quoting 

Convention and 

Minimum 

Increment 

As agreed by counterparties 

Minimum Size As agreed by counterparties 

Trading 

Conventions 

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby the buyer of 

protection pays a premium to the seller in case of a credit event occurring. Credit events include bankruptcy and failure 

to pay. 

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller 

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap. 

Option Strike 

Price 

Fixed coupon of the underlying swap 

Option Expiry 

Date 

As agreed by the parties 

Exercise method 

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on the 

Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the option, 

the counterparties must submit the underlying Swap for clearing to the Clearing House. 

 

Trading Hours and 

Venue 

00:01 -24:00 Sunday-Friday; Eastern Time 

Clearing House for 

the underlying 

Swap 

n/a; Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits Same as for the underlying Swap 

Reportable Levels Same as for the underlying Swap 
103 

RULE 1222. CDS Index Contract – iTraxx Corp CEEMEA 

Contract Overview An agreement to buy or sell protection on a basket comprised of twenty five (25) of the most liquid corporate and quasisovereign entities from Central & Eastern European, Middle Eastern and African countries. 

Ticker iTraxx Corp CEEMEA CDSI [series number] [tenor] 

Index iTraxx CEEMEA: all series 

Currency USD 

Quoting 

Convention 

and 

Minimum 

Increment 

CLOB: $0.0025 

Trading Protocols other than CLOB: As agreed by counterparties 

Minimum Size CLOB: $1,000,000 

Trading Protocols other than CLOB: As agreed by counterparties 

Trading 

Conventions 

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller owns 

the credit risk of the instrument. 

Swap Conventions Traded on spread 

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis. 

Swap Tenor Any 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of 

the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit 

Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol). 

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller. 

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, which 

is present valued and paid immediately to the seller. 

Trading Hours and 

Venue 

00:01 -24:00 Sunday-Friday; Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set in Part 150 of the CFTC Regulations 

Reportable Levels As set in the CFTC Regulation 15.03 
104 

RULE 1223. CDS Index Contract – LCDX 

Contract Overview An agreement to buy or sell protection on a basket comprised of a number of 100 reference entities, referencing first lien 

leveraged loans CDS. 

Ticker LCDX [series number] [tenor] 

Index LCDX: all series 

Currency USD 

Quoting 

Convention 

and 

Minimum 

Increment 

CLOB: $0.0025 

Trading Protocols other than CLOB: As agreed by counterparties 

Minimum Size CLOB: $1,000,000 

Trading Protocols other than CLOB: As agreed by counterparties 

Trading 

Conventions 

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller owns 

the credit risk of the instrument. 

Swap Conventions Traded on price 

Fixed coupon payments are calculated at a spread of 250 bps and exchanged on a quarterly basis. 

Swap Tenor Any 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of 

the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit 

Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol). 

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller. 

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, which 

is present valued and paid immediately to the seller. 

Trading Hours and 

Venue 

00:01 -24:00 Sunday-Friday; Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set in Part 150 of the CFTC Regulations 

Reportable Levels As set in the CFTC Regulation 15.03 
105 

RULE 1224. CDS Index Contract – MCDX 

Contract Overview An agreement to buy or sell protection on a basket comprised of a number of 50 CDS contracts referencing municipal 

issuers as the Reference Entity. 

Ticker MCDX [series number] [tenor] 

Index MCDX: all series 

Currency USD 

Quoting 

Convention 

and 

Minimum 

Increment 

CLOB: $0.0025 

Trading Protocols other than CLOB: As agreed by counterparties 

Minimum Size CLOB: $1,000,000 

Trading Protocols other than CLOB: As agreed by counterparties 

Trading 

Conventions 

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller owns 

the credit risk of the instrument. 

Swap Conventions Traded on spread 

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis. 

Swap Tenor Any 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of 

the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit 

Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol). 

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller. 

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, which 

is present valued and paid immediately to the seller. 

Trading Hours and 

Venue 

00:01 -24:00 Sunday-Friday; Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set in Part 150 of the CFTC Regulations 

Reportable Levels As set in the CFTC Regulation 15.03 
106 

RULE 1225. Option – CDS Index Contract – iTraxx SovX Western Europe 

Contract Overview An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF which 

is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit the 

underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”). 

Ticker iTRAXX SovX Western Europe CDSI [Series] [Tenor] [Expiry] [Direction] [Strike] 

Underlying Swap CDS Index Contract – iTRAXX SovX Western Europe 

Index of 

Underlying Swap 

iTRAXX SovX Western Europe: all series

Tenor of 

Underlying Swap 

Any 

Currency USD 

Quoting 

Convention and 

Minimum 

Increment 

As agreed by counterparties 

Minimum Size As agreed by counterparties 

Trading 

Conventions 

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby the buyer of 

protection pays a premium to the seller in case of a credit event occurring. Credit events include bankruptcy and failure 

to pay. 

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller 

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap. 

Option Strike 

Price 

Fixed coupon of the underlying swap 

Option Expiry 

Date 

As agreed by the parties 

Exercise method 

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on the 

Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the option, 

the counterparties must submit the underlying Swap for clearing to the Clearing House. 

 

Trading Hours and 

Venue 

00:01 -24:00 Sunday-Friday; Eastern Time 

Clearing House for 

the underlying 

Swap 

None. 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits Same as for the underlying Swap 

Reportable Levels Same as for the underlying Swap 
107 

RULE 1226. Option – CDS Index Contract – LCDX 

Contract Overview An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF which 

is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit the 

underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”). 

Ticker LCDX CDSI [Series] [Tenor] [Expiry] [Direction] [Strike] 

Underlying Swap CDS Index Contract – LCDX 

Index of 

Underlying Swap 

LCDX: all series

Tenor of 

Underlying Swap 

Any 

Currency USD 

Quoting 

Convention and 

Minimum 

Increment 

As agreed by counterparties 

Minimum Size As agreed by counterparties 

Trading 

Conventions 

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby the buyer of 

protection pays a premium to the seller in case of a credit event occurring. Credit events include bankruptcy and failure 

to pay. 

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller 

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap. 

Option Strike 

Price 

Fixed coupon of the underlying swap 

Option Expiry 

Date 

As agreed by the parties 

Exercise method 

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on the 

Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the option, 

the counterparties must submit the underlying Swap for clearing to the Clearing House. 

 

Trading Hours and 

Venue 

00:01 -24:00 Sunday-Friday; Eastern Time 

Clearing House for 

the underlying 

Swap 

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits Same as for the underlying Swap 

Reportable Levels Same as for the underlying Swap 
108 

RULE 1227. Option – CDS Index Contract – MCDX 

Contract Overview An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF which 

is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit the 

underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”). 

Ticker MCDX CDSI [Series] [Tenor] [Expiry] [Direction] [Strike] 

Underlying Swap CDS Index Contract – MCDX 

Index of 

Underlying Swap 

MCDX: all series

Tenor of 

Underlying Swap 

Any 

Currency USD 

Quoting 

Convention and 

Minimum 

Increment 

As agreed by counterparties 

Minimum Size As agreed by counterparties 

Trading 

Conventions 

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby the buyer of 

protection pays a premium to the seller in case of a credit event occurring. Credit events include bankruptcy and failure 

to pay. 

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller 

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap. 

Option Strike 

Price 

Fixed coupon of the underlying swap 

Option Expiry 

Date 

As agreed by the parties 

Exercise method 

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on the 

Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the option, 

the counterparties must submit the underlying Swap for clearing to the Clearing House. 

Trading Hours and 

Venue 

00:01 -24:00 Sunday-Friday; Eastern Time 

Clearing House for 

the underlying 

Swap 

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits Same as for the underlying Swap 

Reportable Levels Same as for the underlying Swap 
109 

RULE 1228. CDS Index Contract – iTraxx Asia Ex-Japan 

Contract Overview An agreement to buy or sell protection on a basket comprised of forty (40) liquid Asian (excluding Japanese) entities 

with primarily investment grade credit ratings that trade in the CDS market. 

Ticker iTraxx Asia ex-Japan CDSI [series number] [tenor] 

Index iTraxx Asia ex-Japan; all series 

Currency USD 

Quoting Convention 

and 

Minimum Increment 

CLOB: $0.0025 

Trading Protocols other than CLOB: As agreed by counterparties 

Minimum Size CLOB: $1,000,000 

Trading Protocols other than CLOB: As agreed by counterparties 

Trading Conventions Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The seller 

owns the credit risk of the instrument. 

Swap Conventions Traded on spread 

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis. 

Swap Tenor Any 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date 

of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Settlement Contingent payment – Payments related to credit event settlement will be determined pursuant to the 2014 ISDA 

Credit Derivatives Definitions, as published by the International Swaps and Derivatives Association, Inc. 

Fixed Quarterly cash payments – Reflected in basis points and paid by the protection buyer to the protection seller. 

Upfront fee payment – The upfront fee is a portion of the payments, expressed in percentage points of the notional, 

which is present valued and paid immediately to the seller. 

Trading Hours and 

Venue 

00:01 -24:00 Sunday-Friday; Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 

 
110 

RULE 1229. CDS Index Contract – iTraxx Europe Non-Financial 

Contract Overview An agreement to buy or sell protection on a basket of one hundred (100) equally weighted credit default swaps 

on investment grade European entities. 

Ticker iTraxx Europe NONFIN CDSI [series number] [tenor] 

Index iTraxx Europe Non-Financial 

Currency EUR 

Quoting Convention 

and 

Minimum Increment 

CLOB: 0.0025 Basis Points 

Trading Protocols other than CLOB: As agreed by the counterparties 

Minimum Size CLOB: $1,000,000 

Trading Protocols other than CLOB: As agreed by the counterparties 

Trading Conventions Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The 

seller owns the credit risk of the instrument. 

Swap Conventions Traded on spread 

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis. 

Swap Tenor Any 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the 

start date of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2014 

ISDA Credit Derivatives Definitions, as published by the International Swaps and Derivatives Association, Inc. 

Fixed Quarterly cash payments - Reflected in basis points and paid by the protection buyer to the protection 

seller. 

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the 

notional, which is present valued and paid immediately to the seller. 

Trading Hours and Venue 00:01-24:00 Sunday-Friday; Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or 

Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 
111 

CHAPTER 13. RATES CONTRACTS TERMS AND CONDITIONS 

RULE 1301. AUD BBR-BBSW Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional 

over a term to maturity. 

Ticker AUD SWAP vs Floating Index Maturity 

Currency AUD 

Floating Rate 

Index 

AUD BBR BBSW 

Floating Rate 

Index Maturity 

3, 6 months 

Fixed Rate Par; Custom Coupon 

Quoting 

Convention and 

Minimum 

Increment 

As agreed by the counterparties 

Minimum Size As agreed by the counterparties 

Trading 

Conventions 

Buy = Pay Fixed, Receive Float. 

Sell = Receive Fixed, Pay Float. 

Swap Conventions Fixed Leg 

 Payment: Semi-Annual, Quarterly 

 Day Count Conventions: ACT/365(Fixed) 

 Holiday Calendar: Australia 

 Business Day Conventions: Modified Following 

Floating Leg 

 Payment/Resets : Semi-Annual, Quarterly 

 Day Count Conventions: ACT/365(Fixed) 

 Holiday Calendar: Australia 

 Fixing Calendar: Australia 

 Business Day Conventions: Modified Following 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 28 days to up to 30 

years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments. Also 

known as the start date of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic 

Settlement: 

Payment and 

Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day Count 

Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first BBSW Fixing Date is two (2) Sydney business days prior to the Effective Date. 

Trade Start Types Spot: 

 A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot: 

 Any date where the Effective Date is a date other than the spot date. 

Settlement 

Procedure 

As determined by the Clearing House or an agreement between the counterparties. 

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time) 

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations. 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 
112 

RULE 1302. [Reserved] 
113 

RULE 1303. EUR Euribor Fixed-to-Floating Swap Contract* 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional 

over a term to maturity. 

Ticker EUR SWAP vs [Floating Index Maturity] 

Currency EUR 

Floating Rate 

Index 

EURIBOR 

Floating Rate 

Index Maturity 

1, 3, 6, 12 months 

Fixed Rate  Par 

 Custom coupon 

 Standard coupon; the then-current rates for Market Agreed Coupon (“MAC”) 

Quoting 

Convention and 

Minimum 

Increment 

As agreed by the counterparties 

Contract Size Fixed notional; as agreed by the counterparties 

Minimum Size As agreed by the counterparties 

Trading 

Conventions 

Buy = Pay Fixed, Receive Float 

Sell = Receive Fixed, Pay Float 

Swap Conventions Fixed Leg 

 Payment: Quarterly, Semi-Annual, Annual 

 Day Count Conventions: 30/360, ACT/360, 30E/360 

 Holiday Calendar: Target 

 Business Day Conventions: Modified Following 

Floating Leg 

 Payment/Resets : Monthly, Quarterly, Semi-Annual, Annual 

 Day Count Conventions: ACT/360, 30/360 

 Holiday Calendar: Target 

 Fixing Calendar: Target 

 Business Day Conventions: Modified Following 

Swap Tenor The duration of time from the effective date to the maturity date. A non-MAT or non-MAC EUR EURIBOR Fixed-toFloating Swap Contract can have a tenor from 28 days to up to 50 years. A MAC EUR EURIBOR Fixed-to-Floating 

Swap Contract can have a tenor from 1 year to 30 years. 

Effective Date The date on which the parties begin calculating accrued obligations such as fixed and floating interest rate payments. This 

is also known as the start date of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic 

Settlement: 

Payment and 

Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day Count 

Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first Euribor Fixing Date is 2 Target business days prior to the Effective Date of the swap. 

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot: Any date where the Effective Date is a date other than the spot date. 

International Money Market (“IMM”): One of the four quarterly IMM dates. 

Settlement 

Procedure 

As determined by the Clearing House 

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time) 

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd, Eurex Clearing Aktiengesellschaft. or 

Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations. 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 

____________________________________ 

* Certain EUR EURIBOR Fixed-to-Floating swap contracts are subject to “made available to trade” determinations and must be traded as set 

forth in Rule 522. For the full list of terms of MAT swap contracts, please see the current list of “Swaps Made Available to Trade” at 

http://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm. 
114 

RULE 1304. [Reserved] 

RULE 1305. [Reserved] 

RULE 1306. [Reserved] 
115 

RULE 1307. EUR OIS Eonia Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional 

over a term to maturity. 

Ticker EUR SWAP OIS [Trade Start Type] [tenor] 

Currency EUR 

Floating Rate 

Index 

EUR-EONIA-OIS-Compound 

Fixed Rate Par; Custom Coupon 

Quoting 

Convention 

Minimum 

Increment 

As agreed by counterparties 

Minimum Size As agreed by counterparties

Trading 

Conventions 

Buy = Pay Fixed, Receive Float. 

Sell = Receive Fixed, Pay Float. 

Swap Conventions Fixed Leg 

 Payment: Quarterly, Semi-annual, Annual 

 Day Count Conventions: ACT/360, 30/360, ACT/365 

 Holiday Calendar: Target 

 Business Day Conventions: Modified Following 

Floating Leg 

 Payment/Resets : Quarterly, Semi-annual, Annual 

 Day Count Conventions: ACT/360 

 Holiday Calendar: Target 

 Fixing Calendar: Target 

 Business Day Conventions: Modified Following 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 1 week to as long as 

50 years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments. Also 

known as the start date of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic 

Settlement: 

Payment and 

Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day Count 

Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first EONIA Fixing Date is the trade date. 

Trade Start Types Spot: 

 A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot: 

 Any date where the effective date is a date other than the spot date. 

Settlement 

Procedure 

As determined by the Clearing House 

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft or 

Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations. 

Speculative Limits As set in Part 150 of the CFTC Regulations 

Reportable Levels As set in CFTC Regulation 15.03 
116 

RULE 1308. USD OIS Fed Funds Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional 

over a term to maturity. 

Ticker USD SWAP OIS [Maturity] 

Currency USD 

Floating Rate 

Index 

USD-FED-FUND H.15 OIS Compound 

Fixed Rate Par; Custom Coupon 

Quoting 

Convention 

Minimum 

Increment 

As agreed by counterparties 

Minimum Size As agreed by counterparties 

Trading 

Conventions 

Buy = Pay Fixed, Receive Float. 

Sell = Receive Fixed, Pay Float. 

Swap Conventions Fixed Leg 

 Payment: Quarterly, Semi-annual, Annual 

 Day Count Conventions: ACT/360, Act/365, 30/360 

 Holiday Calendar: New York 

 Business Day Conventions: Modified Following 

Floating Leg 

 Payment/Resets : Quarterly, Annual 

 Day Count Conventions: ACT/360 

 Holiday Calendar: New York 

 Fixing Calendar: New York 

 Business Day Conventions: Modified Following 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 1 week to up to 50 

years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments. Also 

known as the start date of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic 

Settlement: 

Payment and 

Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day Count 

Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first Fed Funds Fixing Date is 2 New York business days prior to the Effective Date. 

Trade Start Types Spot: 

 A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot: 

 Any date where the effective date is a date other than the spot date. 

Settlement 

Procedure 

As determined by the Clearing House 

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd.. Eurex Clearing Aktiengesellschaft or 

Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations. 

Speculative Limits As set in Part 150 of the CFTC Regulations 

Reportable Levels As set in CFTC Regulation 15.03 
117 

RULE 1309. CHF LIBOR Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional 

over a term to maturity. 

Ticker CHF SWAP vs [Floating Index Maturity] 

Currency CHF 

Floating Rate 

Index 

CHF-LIBOR-BBA 

Floating Rate 

Index Maturity 

3, 6 months 

Fixed Rate Par; Custom Coupon 

Quoting 

Convention and 

Minimum 

Increment 

As agreed by the counterparties 

Minimum Size As agreed by the counterparties 

Trading 

Conventions 

Buy = Pay Fixed, Receive Float. 

Sell = Receive Fixed, Pay Float. 

Swap Conventions Fixed Leg 

 Payment: Quarterly, Semi-annually, Annual 

 Day Count Conventions: 30/360, ACT/360 

 Holiday Calendar: Zurich 

 Business Day Conventions: Modified Following 

Floating Leg 

 Payment/Resets : Quarterly, Semi-Annual 

 Day Count Conventions: ACT/360 

 Holiday Calendar: Zurich 

 Fixing Calendar: Switzerland 

 Business Day Conventions: Modified Following 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 28 days to as long as 

30 years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments. Also 

known as the start date of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic 

Settlement: 

Payment and 

Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day Count 

Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first LIBOR Fixing Date is 2 London business days prior to the Effective Date. 

Trade Start Types Spot: 

 A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot: 

 Any date where the effective date is a date other than the spot date. 

Settlement 

Procedure 

As determined by the Clearing House or an agreement between the counterparties 

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft or 

Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations. 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 
118 

RULE 1310. GBP LIBOR Fixed-to-Floating Swap Contract* 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional 

over a term to maturity. 

Ticker GBP SWAP vs [Floating Index Maturity] 

Currency GBP 

Floating Rate 

Index 

LIBOR 

Floating Rate 

Index Maturity 

3, 6 months 

Fixed Rate  Par 

 Custom coupon 

 Standard coupon; the then-current rates for Market Agreed Coupon (“MAC”) 

Quoting 

Convention and 

Minimum 

Increment 

As agreed by the counterparties 

Contract Size Fixed notional; as agreed by the counterparties 

Minimum Size GBP 1000 

Trading 

Conventions 

Buy = Pay Fixed, Receive Float 

Sell = Receive Fixed, Pay Float 

Swap Conventions Fixed Leg 

 Payment: Quarterly, Semi-Annual, Annual 

 Day Count Conventions: ACT/365, ACT/360, ACT/365F 

 Holiday Calendar: London 

 Business Day Conventions: Modified Following 

Floating Leg 

 Payment/Resets : Quarterly, Semi-Annual 

 Day Count Conventions: ACT/365, ACT/360, ACT/365F 

 Holiday Calendar: London 

 Fixing Calendar: London 

 Business Day Conventions: Modified Following 

Swap Tenor The duration of time from the effective date to the maturity date. A non-MAT GBP LIBOR Fixed-to-Floating Swap 

Contract can have a tenor from 28 days to up to 50 years. 

Effective Date The date on which the parties begin calculating accrued obligations such as fixed and floating interest rate payments. This 

is also known as the start date of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic 

Settlement: 

Payment and 

Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day Count 

Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First LIBOR 

Fixing Date 

For non-MAT GBP LIBOR Fixed-to-Floating Swap Contracts, the first LIBOR Fixing Date is the Effective Date. For 

MAT GBP LIBOR Fixed-to-Floating Swap Contracts, the first LIBOR Fixing Date is two (2) London business days prior 

to the Effective Date. 

Trade Start Types Spot: A new swap where the Effective Date is T from the trade date. 

Non-Spot: Any date where the Effective Date is a date other than the spot date. 

International Money Market (“IMM”): One of the four quarterly IMM dates. 

Settlement 

Procedure 

As determined by the Clearing House 

Trading Hours 00:01 - 24:00 Sunday-Friday (Eastern Time) 

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft or 

Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations. 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 

____________________________________ 

* Certain GBP LIBOR Fixed-to-Floating swap contracts are subject to “made available to trade” determinations and must be traded as set forth 

in Rule 522. For the full list of terms of MAT swap contracts, please see the current list of “Swaps Made Available to Trade” at 

http://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm. 
119 

RULE 1311. GBP Basis Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying two floating interest rates to a specified notional over a 

term to maturity. 

Ticker GBP SWAP VS [floating rate 1] V [floating rate 2] [tenor] 

Currency GBP 

Floating Rate 

Index 

1 Month GBP-LIBOR 

3 Month GBP-LIBOR 

6 Month GBP-LIBOR 

Quoting 

Convention and 

Minimum 

Increment 

As agreed by the counterparties 

Minimum Size As agreed by the counterparties 

Trading 

Conventions 

Buy = Pay Spread 

Sell = Receive Spread 

Swap Conventions Floating Leg 1 

 Payment/Resets: Monthly, Quarterly, Semi-annual 

 Day Count Conventions: ACT/360, or as agreed by the counterparties 

 Compounding Method: Flat 

 Holiday Calendar: England 

 Fixing Calendar: England 

 Business Day Conventions: Modified Following 

 Floating Leg 2 

 Payment/Resets: Monthly, Quarterly, Semi-annual 

 Day Count Conventions: ACT/360, or as agreed by the counterparties 

 Holiday Calendar: England 

 Fixing Calendar: England 

 Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to up to 50 

years. 

Effective Date The date on which parties begin calculating accrued obligations such as floating interest rate payments (i.e., the start date 

of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic 

Settlement: 

Payment and 

Resets 

Floating Leg 1: The payment amount of the Floating Leg 1 is based on the following: Notional, Payment Frequency, Day 

Count Convention, Floating Interest Rate Index, and Floating Reset Dates. 

Floating Leg 2: The payment amount of the Floating Leg 2 is based on the following: Notional, Payment Frequency, Day 

Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first LIBOR Fixing Date is two London business days prior to the Effective Date. 

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Settlement 

Procedure 

As determined by the Clearing House 

Trading Hours 00:01-24:00 Sunday-Friday Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft or Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations. 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 
120 

RULE 1312. JPY LIBOR (6M) Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional 

over a term to maturity. 

Ticker [tenor] JPY SWAP VS 6M LBR 

Currency JPY 

Floating Rate 

Index 

6 Month JPY-LIBOR 

Fixed Rate Par; Custom Coupon 

Quoting 

Convention and 

Minimum 

Increment 

As agreed by counterparties 

Minimum Size As agreed by counterparties 

Trading 

Conventions 

Buy = Pay Fixed, Receive Float. 

Sell = Receive Fixed, Pay Float. 

Swap Conventions Fixed Leg 

 Payment: Quarterly, Semi-annual, Annual 

 Day Count Conventions: ACT/360, 30/360, ACT/365(Fixed) 

 Holiday Calendar: London, Tokyo 

 Business Day Conventions: Modified Following 

Floating Leg 

 Payment/Resets : Semi-Annual 

 Day Count Conventions: ACT/360 

 Holiday Calendar: London, Tokyo 

 Fixing Calendar: England; Japan 

 Business Day Conventions: Modified Following 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 28 days to as long as 

40 years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments. Also 

known as the start date of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic 

Settlement: 

Payment and 

Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day Count 

Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first LIBOR Fixing Date is 2 London business days prior to the Effective Date. 

Trade Start Types Spot: 

 A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot: 

 Any date where the effective date is a date other than the spot date. 

Settlement 

Procedure 

As determined by the Clearing House 

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft or 

Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations. 

Speculative Limits As set in Part 150 of the CFTC Regulations 

Reportable Levels As set in CFTC Regulation 15.03 
121 

RULE 1313. [Reserved] 
122 

RULE 1314. USD LIBOR Fixed-to-Floating Swap Contract* 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional 

over a term to maturity. 

Ticker USD SWAP VS [Floating Index Maturity] 

Currency USD 

Floating Rate 

Index 

LIBOR 

Floating Rate 

Index Maturity 

1, 3, 6, 12 months 

Fixed Rate  Par 

 Custom Coupon 

 Standard coupon; the then-current rates for Market Agreed Coupon (“MAC”) 

Contract Size Fixed notional, as agreed by the counterparties 

Minimum Size As agreed by the counterparties 

Trading 

Conventions 

Buy = Pay Fixed, Receive Float 

Sell = Receive Fixed, Pay Float 

Swap Conventions Fixed Leg 

 Payment: Monthly, Quarterly, Semi-Annual, Annual 

 Day Count Conventions: 30/360, ACT/360/ ACT/365 

 Holiday Calendar: London, New York 

 Business Day Conventions: Modified Following 

Floating Leg 

 Payment/Resets: Monthly, Quarterly, Semi-Annual 

 Day Count Conventions: ACT/360 

 Holiday Calendar: London, New York 

 Fixing Calendar: London 

 Business Day Conventions: Modified Following 

Swap Tenor  The duration of time from the effective date to the maturity date. A non-MAT USD LIBOR Fixed-to-Floating Swap 

Contract can have a Tenor from 28 days to up to 50 years. 

Effective Date The date on which the parties begin calculating accrued obligations such as fixed and floating interest rate payments. 

This is also known as the start date of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic 

Settlement: 

Payment and 

Resets 

 Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention and Fixed Interest Rate. 

 Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

 Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first LIBOR Fixing Date is two (2) London business days prior to the Effective Date 

Trade Start Types  Spot: A new swap where the Effective Date is T+2 from the trade date 

 Non-Spot: Any date where the Effective Date is a date other than the spot date 

 International Money Market (“IMM”): Next two (2) IMM dates 

Settlement 

Procedure 

As determined by the Clearing House 

Trading Hours 00:01 -24:00; Sunday-Friday (Eastern Time) 

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft or 

Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 

____________________________________ 

* Certain USD LIBOR Fixed-to-Floating swap contracts are subject to “made available to trade” determinations and must be traded as set forth 

in Rule 522. For the full list of terms of MAT swap contracts, please see the current list of “Swaps Made Available to Trade” at 

http://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm. 
123 

RULE 1315. USD Basis Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying two floating interest rates to a specified notional over a 

term to maturity. 

Ticker USD SWAP [floating rate 1] V [floating rate 2] [tenor] 

Currency GBP 

Floating Rate 

Index 

1 Month USD-LIBOR 

3 Month USD-LIBOR 

6 Month USD-LIBOR 

SOFR 

Fed Funds 

Quoting 

Convention and 

Minimum 

Increment 

As agreed by the counterparties 

Minimum Size As agreed by the counterparties 

Trading 

Conventions 

Buy = Pay Spread 

Sell = Receive Spread 

Swap Conventions Floating Leg 1 

 Payment/Resets: Monthly, Quarterly, Semi-annual, Annual, At Maturity 

 Day Count Conventions: ACT/360, or as agreed by the counterparties 

 Compounding Method: Flat, Exclude Spread 

 Holiday Calendar: England, US 

 Fixing Calendar: USGS 

 Business Day Conventions: Modified Following 

 Floating Leg 2 

 Payment/Resets : Monthly, Quarterly, Semi-annual, Annual, At Maturity 

 Day Count Conventions: ACT/360, or as agreed by the counterparties 

 Holiday Calendar: England, US 

 Fixing Calendar: USGS 

 Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to up to 50 

years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments (i.e., the 

start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic 

Settlement: 

Payment and 

Resets 

Floating Leg 1: The payment amount of the Floating Leg 1 is based on the following: Notional, Payment Frequency, Day 

Count Convention, Floating Interest Rate Index, and Floating Reset Dates. 

Floating Leg 2: The payment amount of the Floating Leg 2 is based on the following: Notional, Payment Frequency, Day 

Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first LIBOR Fixing Date is two London business days prior to the Effective Date. If Fed Funds or SOFR is one of the 

index leg tenors, the first Fixing Date will equal the effective date of the swap. 

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Settlement 

Procedure 

As determined by the Clearing House 

Trading Hours 00:01-24:00 Sunday-Friday Eastern Time 

Clearing House 1 month, 3 month, and 6 month LIBOR rates only: 

Chicago Mercantile Exchange, Inc. 

All rates: 

Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft or Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations. 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 
124 

RULE 1316. [Reserved] 
125 

RULE 1317. SEK STIBOR (3M) Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional 

over a term to maturity. 

Ticker SEK SWAP VS 3M [Trade Start Type] [tenor] 

Currency SEK 

Floating Rate 

Index 

3 Month SEK-STIBOR-SIDE 

Fixed Rate Par; Custom Coupon 

Quoting 

Convention and 

Minimum 

Increment 

As agreed by counterparties 

Minimum Size As agreed by counterparties 

Trading 

Conventions 

Buy = Pay Fixed, Receive Float. 

Sell = Receive Fixed, Pay Float. 

Swap Conventions Fixed Leg 

 Payment: Quarterly, Semi-Annual, Annual 

 Day Count Conventions: 30/360, ACT/360, ACT/365 

 Holiday Calendar: Stockholm 

 Business Day Conventions: Modified Following 

Floating Leg 

 Payment/Resets : Quarterly, Semi-Annual 

 Day Count Conventions: ACT/360 

 Holiday Calendar: Stockholm 

 Fixing Calendar: Stockholm 

 Business Day Conventions: Modified Following 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 28 days to as long as 

15 years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments. Also 

known as the start date of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic 

Settlement: 

Payment and 

Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day Count 

Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first STIBOR Fixing Date is 2 Stockholm business days prior to the Effective Date. 

Trade Start Types Spot: 

 A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot: 

 Any date where the effective date is a date other than the spot date. 

Settlement 

Procedure 

As determined by the Clearing House or an agreement between the counterparties 

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations. 

Speculative Limits As set in Part 150 of the CFTC Regulations 

Reportable Levels As set in CFTC Regulation 15.03 
126 

RULE 1318. USD SOFR OIS Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional 

over a term to maturity. 

Ticker USD SOFR OIS [Tenor] 

Currency USD 

Floating Rate Index 

SOFR 

Fixed Rate Par; Custom Coupon 

Quoting Convention 

and Minimum 

Increment 

As agreed by the counterparties 

Minimum Size As agreed by the counterparties 

Trading Conventions Buy = Pay Fixed, Receive Float. 

Sell = Receive Fixed, Pay Float. 

Swap Conventions Fixed Leg 

 Payment: Annual 

 Day Count Conventions: ACT/360 or as agreed by the counterparties. 

 Holiday Calendars: U.S. Government Securities Business Day 

 Business Day Conventions: Modified Following with adjustment to period end dates 

Floating Leg 

 Payment/Resets: Daily, Annual 

 Day Count Conventions: ACT/360, or as agreed by the counterparties 

 Holiday Calendars: U.S Government Securities Business Day 

 Business Day Conventions: Modified Following with adjustment to period end dates 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to up to 

50 years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments (i.e., 

the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic Settlement: 

Payment and Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first SOFR Fixing Date is equal to the effective date of the swap. 

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Settlement Procedure As determined by the Clearing House 

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time) 

Clearing Venue Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations. 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 
127 

RULE 1319. [Reserved] 

RULE 1320. [Reserved] 

RULE 1321. [Reserved] 

RULE 1322. [Reserved] 

RULE 1323. [Reserved] 

RULE 1324. [Reserved] 

RULE 1325. [Reserved] 

RULE 1326. [Reserved] 
128 

RULE 1327. CAD CDOR CBA (3M) Fixed-to-Floating Swap Contract 

Contract 

Overview

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional over 

a term to maturity. 

Ticker CAD SWAP 3M [Trade Start Type] [tenor] 

Currency CAD 

Floating Rate 

Index 

3 Month CAD CDOR CBA 

Fixed Rate Par; Custom Coupon 

Contract Size As agreed by counterparties 

Minimum Size As agreed by counterparties 

Trading 

Conventions 

Buy = Pay Fixed, Receive Float. 

Sell = Receive Fixed, Pay Float. 

Swap 

Conventions 

Fixed Leg 

 Payment: Semi-Annual 

 Day Count Conventions: ACT/365F 

 Holiday Calendar: Canada 

 Business Day Conventions: Modified Following 

Floating Leg 

 Payment/Resets: Quarterly, Semi-Annual 

 Day Count Conventions: ACT/365F 

 Holiday Calendar: Canada 

 Business Day Conventions: Modified Following 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 28 days to as long as 

50 years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments. Also 

known as the start date of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic 

Settlement: 

Payment and 

Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day Count 

Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Libor Fixing 

Date 

The first CDOR Fixing Date is equal to the Effective Date. 

Trade Start 

Types 

Spot: 

 A new swap where the Effective Date is T+0 from the trade date. 

Non-Spot: 

 Any date where the effective date is a date other than the spot date. 

Settlement 

Procedure 

As determined by the Clearing House or an agreement between the counterparties 

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations. 

Speculative 

Limits 

As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 
129 

RULE 1328. Interest Rate MXN TIIE (28D) Fixed-To-Floating Swap Contract 

Contract 

Overview

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional over 

a term to maturity. 

Ticker MXN SWAP vs. 28D [tenor] 

Currency MXN 

Floating Rate 

Index 

28 Days Interbank Equilibrium Interest Rate (Tasa de Interes Interbancaria de Equilibrio) 

Fixed Rate Par; Custom Coupon 

Contract Size As agreed by counterparties 

Minimum Size As agreed by counterparties 

Trading 

Conventions 

Buy = Pay Fixed, Receive Float. 

Sell = Receive Fixed, Pay Float. 

Swap 

Conventions 

Fixed Leg 

 Payment: 28 Days 

 Day Count Conventions: ACT/360 

 Holiday Calendar: Mexico 

 Business Day Conventions: Modified Following 

Floating Leg 

 Payment/Resets: 28 Days 

 Day Count Conventions: ACT/360 

 Holiday Calendar: Mexico 

 Business Day Conventions: Modified Following 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 3 months to as long as 

260 months. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments. Also 

known as the start date of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic 

Settlement: 

Payment and 

Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day Count 

Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Libor Fixing 

Date 

The first Mexican Interbank Fixing Date is one Mexican business day prior to the Effective Date. 

Trade Start 

Types 

Spot: 

 A new swap where the Effective Date is T+1 from the trade date. 

Settlement 

Procedure 

As determined by the Clearing House 

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations. 

Speculative 

Limits 

As set forth in Part 150 of the CFTC Regulations 
130 

RULE 1329. [Reserved] 

RULE 1330. [Reserved] 
131 

RULE 1331. AUD OIS RBACOR Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional 

over a term to maturity. 

Ticker AUD OIS SWAP [Trade Start Type] [Tenor] 

Currency AUD 

Floating Rate 

Index 

RBACOR (Interbank Overnight Cash Rate) 

Fixed Rate Par; Custom Coupon 

Contract Size As agreed by counterparties 

Minimum Size As agreed by counterparties 

Trading 

Conventions 

Buy = Pay Fixed, Receive Float. 

Sell = Receive Fixed, Pay Float. 

Swap Conventions Fixed Leg 

 Payment: Annual 

 Day Count Conventions: ACT/365 

 Holiday Calendar: Australia 

 Business Day Conventions: Modified Following with adjustment to period end dates 

Floating Leg 

 Payment/Resets : Annual 

 Day Count Conventions: ACT/365 

 Holiday Calendar: Australia 

 Fixing Calendar: Australia 

 Business Day Conventions: Modified Following with adjustment to period end dates 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 1 month to 24 

months. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments. Also 

known as the start date of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic 

Settlement: 

Payment and 

Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day Count 

Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first Libor Fixing Date is T+1. 

Trade Start Types Spot: 

 A new swap where the Effective Date is T+1 from the trade date. 

Non Spot 

 Any date other than the effective date. 

Settlement 

Procedure 

As determined by the Clearing Venue 

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations. 

Speculative Limits As set in Part 150 of the CFTC Regulations 

Reportable Levels As set in CFTC Regulation 15.03 
132 

RULE 1332. [Reserved] 
133 

RULE 1333. GBP OIS SONIA Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional 

over a term to maturity. 

Ticker GBP SWAP vs SON [tenor] 

Currency GBP 

Floating Rate 

Index 

SONIA 

Fixed Rate Par; Custom coupon 

Contract Size As agreed by counterparties 

Minimum Size As agreed by counterparties 

Trading 

Conventions 

Buy = Pay Fixed, Receive Float. 

Sell = Receive Fixed, Pay Float. 

Swap Conventions Fixed Leg 

 Payment: Quarterly, Annual, Semi-Annual 

 Day Count Conventions: ACT/365, ACT/360, 30/360 

 Holiday Calendar: London 

 Business Day Conventions: Modified Following with adjustment to period end dates 

Floating Leg 

 Payment/Resets : Quarterly, Annual, Semi-Annual 

 Day Count Conventions: ACT/365, ACT/360, 30/360 

 Holiday Calendar: London 

 Fixing Calendar: London 

 Business Day Conventions: Modified Following with adjustment to period end dates 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 5 days to up to 50 

years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments. Also 

known as the start date of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic 

Settlement: 

Payment and 

Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day Count 

Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first Libor Fixing Date is equal to the trade date. 

Trade Start Types Spot: 

 A new swap where the Effective Date is T+0 from the trade date. 

Non Spot 

 Any date other than the effective date. 

Settlement 

Procedure 

As determined by the Clearing Venue 

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft or 

Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations. 

Speculative Limits As set in Part 150 of the CFTC Regulations 

Reportable Levels As set in CFTC Regulation 15.03 
134 

RULE 1334. Option – USD LIBOR Fixed-to-Floating Swap Contract 

Contract Overview An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF 

which is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit the 

underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”). 

Ticker IRS USD [Underlying Tenor] [Strike] [Expiry Date] 

Underlying Swap USD LIBOR Fixed-to-Floating Swap Contract 

Index of Underlying 

Swap 

LIBOR (3M) 

Tenor of Underlying 

Swap 

Any 

Currency USD 

Quoting Convention 

and 

Minimum Increment 

As agreed by counterparties 

Minimum Size As agreed by counterparties 

Trading Conventions A payer option gives the owner of the option the right to enter into a swap where they pay the fixed leg and receive 

the floating leg. 

A receiver option gives the owner of the option the right to enter into a swap in which they will receive the fixed leg 

and pay the floating leg. 

Option Strike Price Fixed coupon of the underlying swap 

Option Expiry Date As agreed by the parties 

Option Settlement 

Type 

Cash or a delivery of a cleared swap 

Exercise method The owner of the option must notify the writer of the option of the owner’s intent to exercise the option during 

business hours on the expiration date of the option and the manner of the exercise: cash or physical (delivery). 

Notice shall be in the form and manner as agreed by the counterparties. If the counterparties elected the exercise by 

physical delivery, the counterparties must submit the Swap for clearing to the Clearing House. 

Trading Hours and 

Venue 

00:01 - 24:00 Sunday-Friday; Eastern Time 

Clearing House for the 

underlying Swap 

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet Ltd. or 

Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits Same as for the underlying Swap 

Reportable Levels Same as for the underlying Swap 
135 

RULE 1335. NOK NIBOR Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker NOK SWAP vs [Floating Index Maturity] 

Currency NOK 

Floating Rate Index NIBOR 

Floating Rate Index Maturity 6 months 

Fixed Rate Par; custom coupon 

Quoting Convention and 

Minimum Increment 

As agreed by the counterparties 

Contract Size As agreed by the counterparties 

Minimum Size As agreed by the counterparties 

Trading Conventions Buy = Pay Fixed, Receive Float 

Sell = Receive Fixed, Pay Float 

Swap Conventions Fixed Leg 

o Payment: Annual 

o Day Count Conventions: 30/360 

o Holiday Calendar: Norway 

o Business Day Conventions: Modified Following 

Floating Leg 

o Payment/Resets: Semi-Annual/ Semi-Annual 

o Day Count Conventions: ACT/360 

o Holiday Calendar: Norway 

o Business Day Conventions: Modified Following 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to 

up to 50 years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic Settlement: 

Payment and Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first NIBOR Fixing Date is two Norwegian business days prior to the Effective Date of the swap. 

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties 

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time) 

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 

 
136 

RULE 1336. DKK CIBOR Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker DKK SWAP vs [Floating Index Maturity] 

Currency DKK 

Floating Rate Index CIBOR 

Floating Rate Index Maturity 6 months 

Fixed Rate Par; custom coupon 

Quoting Convention and 

Minimum Increment 

As agreed by the counterparties 

Contract Size As agreed by the counterparties 

Minimum Size As agreed by the counterparties 

Trading Conventions Buy = Pay Fixed, Receive Float 

Sell = Receive Fixed, Pay Float 

Swap Conventions Fixed Leg 

o Payment: Annual 

o Day Count Conventions: 30/360 

o Holiday Calendar: Denmark 

o Business Day Conventions: Modified Following 

Floating Leg 

o Payment/Resets: Semi-Annual/Semi-Annual 

o Day Count Conventions: ACT/360 

o Holiday Calendar: Denmark 

o Business Day Conventions: Modified Following 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to 

up to 50 years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic Settlement 

Payment and Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first CIBOR Fixing Date is two Danish business days prior to the Effective Date of the swap. 

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties 

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time) 

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 

 
137 

RULE 1337. HKD HIBOR Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker HKD SWAP vs [Floating Index Maturity] 

Currency HKD 

Floating Rate Index HIBOR 

Floating Rate Index Maturity 3 months 

Fixed Rate Par; custom 

Quoting Convention and 

Minimum Increment 

As agreed by the counterparties 

Contract Size As agreed by the counterparties 

Minimum Size As agreed by the counterparties 

Trading Conventions Buy = Pay Fixed, Receive Float 

Sell = Receive Fixed, Pay Float 

Swap Conventions Fixed Leg 

o Payment: Quarterly 

o Day Count Conventions: ACT/365 

o Holiday Calendar: Hong Kong 

o Business Day Conventions: Modified Following 

Floating Leg 

o Payment/Resets: Quarterly/ Quarterly 

o Day Count Conventions: ACT/365 

o Holiday Calendar: Hong Kong 

o Business Day Conventions: Modified Following 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to 

up to 50 years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic Settlement 

Payment and Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first HIBOR Fixing Date is equal to the Effective Date of the swap. 

Trade Start Types Spot: A new swap where the Effective Date is T+0 from the trade date. 

Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties 

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time) 

Clearing Venue Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 

 
138 

RULE 1338. PLN WIBOR Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker PLN SWAP vs [Floating Index Maturity] 

Currency PLN 

Floating Rate Index WIBOR 

Floating Rate Index Maturity 6 months 

Fixed Rate Par; custom coupon 

Quoting Convention and 

Minimum Increment 

As agreed by the counterparties 

Contract Size As agreed by the counterparties 

Minimum Size As agreed by the counterparties 

Trading Conventions Buy = Pay Fixed, Receive Float 

Sell = Receive Fixed, Pay Float 

Swap Conventions Fixed Leg 

o Payment: Annual 

o Day Count Conventions: ACT/ACT 

o Holiday Calendar: Poland 

o Business Day Conventions: Modified Following 

Floating Leg 

o Payment/Resets: Semi-Annual/Semi-Annual 

o Day Count Conventions: ACT/365 

o Holiday Calendar: Poland 

o Business Day Conventions: Modified Following 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to 

up to 50 years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic Settlement 

Payment and Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first WIBOR Fixing Date is two Polish business days prior to the Effective Date of the swap. 

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties 

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time) 

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 

 
139 

RULE 1339. ZAR JIBAR Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker ZAR SWAP vs [Floating Index Maturity] 

Currency ZAR 

Floating Rate Index JIBAR 

Floating Rate Index Maturity 3 months 

Fixed Rate Par; custom coupon 

Quoting Convention and 

Minimum Increment 

As agreed by the counterparties 

Contract Size As agreed by the counterparties 

Minimum Size As agreed by the counterparties 

Trading Conventions Buy = Pay Fixed, Receive Float 

Sell = Receive Fixed, Pay Float 

Swap Conventions Fixed Leg 

o Payment: Quarterly 

o Day Count Conventions: ACT/365 

o Holiday Calendar: South Africa 

o Business Day Conventions: Modified Following 

Floating Leg 

o Payment/Resets: Quarterly/Quarterly 

o Day Count Conventions: ACT/365 

o Holiday Calendar: South Africa 

o Business Day Conventions: Modified Following 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to 

up to 50 years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic Settlement 

Payment and Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first JIBAR Fixing Date is equal to the Effective Date of the swap. 

Trade Start Types Spot: A new swap where the Effective Date is T+0 from the trade date. 

Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties 

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time) 

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 

 
140 

RULE 1340. SGD SIBOR Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker SGD SWAP vs [Floating Index Maturity] 

Currency SGD 

Floating Rate Index SIBOR 

Floating Rate Index Maturity 6 months 

Fixed Rate Par; custom coupon 

Quoting Convention and 

Minimum Increment 

As agreed by the counterparties 

Contract Size As agreed by the counterparties 

Minimum Size As agreed by the counterparties 

Trading Conventions Buy = Pay Fixed, Receive Float 

Sell = Receive Fixed, Pay Float 

Swap Conventions Fixed Leg 

o Payment: Semi-Annual 

o Day Count Conventions: ACT/365 

o Holiday Calendar: Singapore 

o Business Day Conventions: Modified Following 

Floating Leg 

o Payment/Resets: Semi-Annual/ Semi-Annual 

o Day Count Conventions: ACT/365 

o Holiday Calendar: Singapore 

o Business Day Conventions: Modified Following 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to 

up to 50 years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic Settlement: 

Payment and Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first SIBOR Fixing Date is two Singapore business days prior to the Effective Date of the swap. 

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties 

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time) 

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 

 
141 

RULE 1341. HUF BUBOR Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker HUF SWAP vs [Floating Index Maturity] 

Currency HUF 

Floating Rate Index BUBOR 

Floating Rate Index Maturity 6 months 

Fixed Rate Par; custom coupon 

Quoting Convention and 

Minimum Increment 

As agreed by the counterparties 

Contract Size As agreed by the counterparties 

Minimum Size As agreed by the counterparties 

Trading Conventions Buy = Pay Fixed, Receive Float 

Sell = Receive Fixed, Pay Float 

Swap Conventions Fixed Leg 

o Payment: Annual 

o Day Count Conventions: ACT/365 

o Holiday Calendar: Hungary 

o Business Day Conventions: Modified Following 

Floating Leg 

o Payment/Resets: Semi-Annual/Semi-Annual 

o Day Count Conventions: ACT/360 

o Holiday Calendar: Hungary 

o Business Day Conventions: Modified Following 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to 

up to 50 years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic Settlement: 

Payment and Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first BUBOR Fixing Date is two Hungarian business days prior to the Effective Date of the swap. 

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties 

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time) 

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 

 
142 

RULE 1342. KRW South Korean Won 3 Month Certificate of Deposit Fixed-to-Floating 

Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker KRW SWAP vs [Floating Index Maturity] 

Currency KRW 

Floating Rate Index South Korean Won 3 Month Certificate of Deposit 

Floating Rate Index Maturity 3 months 

Fixed Rate Par; custom coupon 

Quoting Convention and 

Minimum Increment 

As agreed by the counterparties 

Contract Size As agreed by the counterparties 

Minimum Size As agreed by the counterparties 

Trading Conventions Buy = Pay Fixed, Receive Float 

Sell = Receive Fixed, Pay Float 

Swap Conventions Fixed Leg 

 Payment: Quarterly 

 Day Count Conventions: ACT/365 

 Holiday Calendar: South Korea 

 Business Day Conventions: Modified Following 

Floating Leg 

 Payment/Resets: Quarterly/Quarterly 

 Day Count Conventions: ACT/365 

 Holiday Calendar: South Korea 

 Business Day Conventions: Modified Following 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to 

up to 50 years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic Settlement 

Payment and Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first South Korean Won 3 Month Certificate of Deposit Fixing Date is one South Korean business day 

prior to the Effective Date. 

Trade Start Types Spot: A new swap where the Effective Date is T+1 from the trade date. 

Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties 

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time) 

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 

 
143 

RULE 1343. CZK PRIBOR Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker CZK SWAP vs [Floating Index Maturity] 

Currency CZK 

Floating Rate Index PRIBOR 

Floating Rate Index Maturity 6 months 

Fixed Rate Par; custom coupon 

Quoting Convention and 

Minimum Increment 

As agreed by the counterparties 

Contract Size As agreed by the counterparties 

Minimum Size As agreed by the counterparties 

Trading Conventions Buy = Pay Fixed, Receive Float 

Sell = Receive Fixed, Pay Float 

Swap Conventions Fixed Leg 

o Payment: Annual 

o Day Count Conventions: ACT/360 

o Holiday Calendar: Czech Republic 

o Business Day Conventions: Modified Following 

Floating Leg 

o Payment/Resets: Semi-Annual/ Semi-Annual 

o Day Count Conventions: ACT/360 

o Holiday Calendar: Czech Republic 

o Business Day Conventions: Modified Following 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to 

up to 50 years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic Settlement: 

Payment and Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first PRIBOR Fixing Date is two Czech business days prior to the Effective Date of the swap. 

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties 

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time) 

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 

 
144 

RULE 1344. CLP Indice Cámara Promedio Rate Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker CLP SWAP vs [Floating Index Maturity] 

Currency CLP 

Floating Rate Index Indice Cámara Promedio Rate 

Floating Rate Index Maturity 1 day 

Fixed Rate Par; custom coupon 

Quoting Convention and 

Minimum Increment 

As agreed by the counterparties 

Contract Size As agreed by the counterparties 

Minimum Size As agreed by the counterparties 

Trading Conventions Buy = Pay Fixed, Receive Float 

Sell = Receive Fixed, Pay Float 

Swap Conventions Fixed Leg 

o Payment: Semi-Annual 

o Day Count Conventions: ACT/360 

o Holiday Calendar: Chile 

o Business Day Conventions: Modified Following 

Floating Leg 

o Payment/Resets: Semi-Annual/Semi-Annual 

o Day Count Conventions: ACT/360 

o Holiday Calendar: Chile 

o Business Day Conventions: Modified Following 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to 

up to 50 years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic Settlement: 

Payment and Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first Indice Cámara Promedio Rate Fixing Date is equal to the Effective Date of the swap. 

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties 

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time) 

Clearing House Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 

 
145 

RULE 1345. MYR KLIBOR Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker MYR SWAP vs [Floating Index Maturity] 

Currency MYR 

Floating Rate Index KLIBOR 

Floating Rate Index Maturity 3 months 

Fixed Rate Par; custom coupon 

Quoting Convention and 

Minimum Increment 

As agreed by the counterparties 

Contract Size As agreed by the counterparties 

Minimum Size As agreed by the counterparties 

Trading Conventions Buy = Pay Fixed, Receive Float 

Sell = Receive Fixed, Pay Float 

Swap Conventions Fixed Leg 

o Payment: Quarterly 

o Day Count Conventions: ACT/365 

o Holiday Calendar: Malaysia 

o Business Day Conventions: Modified Following 

Floating Leg 

o Payment/Resets: Quarterly/Quarterly 

o Day Count Conventions: ACT/365 

o Holiday Calendar: Malaysia 

o Business Day Conventions: Modified Following 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to 

up to 50 years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic Settlement 

Payment and Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first KLIBOR Fixing Date is equal to the Effective Date of the swap. 

Trade Start Types Spot: A new swap where the Effective Date is T+0 from the trade date. 

Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties 

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time) 

Clearing House Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 

 
146 

RULE 1346. TWD TAIBOR Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker TWD SWAP vs [Floating Index Maturity] 

Currency TWD 

Floating Rate Index TAIBOR 

Floating Rate Index Maturity 3 months 

Fixed Rate Par; custom coupon 

Quoting Convention and 

Minimum Increment 

As agreed by the counterparties 

Contract Size As agreed by the counterparties 

Minimum Size As agreed by the counterparties 

Trading Conventions Buy = Pay Fixed, Receive Float 

Sell = Receive Fixed, Pay Float 

Swap Conventions Fixed Leg 

o Payment: Quarterly 

o Day Count Conventions: ACT/365 

o Holiday Calendar: Taiwan 

o Business Day Conventions: Modified Following 

Floating Leg 

o Payment/Resets: Quarterly/Quarterly 

o Day Count Conventions: ACT/365 

o Holiday Calendar: Taiwan 

o Business Day Conventions: Modified Following 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to 

up to 50 years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic Settlement: 

Payment and Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first TAIBOR Fixing Date is two Taiwan business days prior to the Effective Date of the swap. 

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties 

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time) 

Clearing House Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 
147 

RULE 1347. INR OIS FBIL MIBOR Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker INR SWAP vs [Floating Index Maturity] 

Currency INR 

Floating Rate Index FBIL Overnight MIBOR 

Floating Rate Index Maturity 1 day 

Fixed Rate Par; custom coupon 

Quoting Convention and 

Minimum Increment 

As agreed by the counterparties 

Contract Size As agreed by the counterparties 

Minimum Size As agreed by the counterparties 

Trading Conventions Buy = Pay Fixed, Receive Float 

Sell = Receive Fixed, Pay Float 

Swap Conventions Fixed Leg 

 Payment: Annual 

 Day Count Conventions: ACT/365 

 Holiday Calendar: India 

 Business Day Conventions: Modified Following 

Floating Leg 

 Payment/Resets: Annual/Daily 

 Day Count Conventions: ACT/365 

 Holiday Calendar: India 

 Business Day Conventions: Modified Following 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to 

up to 50 years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic Settlement 

Payment and Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first FBIL Overnight MIBOR Fixing Date is equal to the Effective Date of the swap. 

Trade Start Types Spot: A new swap where the Effective Date is T+1 from the trade date. 

Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties 

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time) 

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 
148 

RULE 1348. BRL Brazilian Interfinancial Offered Rate (1D) Zero Coupon Fixed-toFloating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker BRL SWAP vs [Floating Index Maturity] 

Currency BRL 

Floating Rate Index Brazilian Interfinancial Offered Rate (DI Rate) 

Floating Rate Index Maturity 1 day 

Fixed Rate Par; custom coupon 

Quoting Convention and 

Minimum Increment 

As agreed by the counterparties 

Contract Size As agreed by the counterparties 

Minimum Size As agreed by the counterparties 

Trading Conventions Buy = Pay Fixed, Receive Float 

Sell = Receive Fixed, Pay Float 

Swap Conventions Fixed Leg 

 Payment: At Maturity 

 Day Count Conventions: DU/252 

 Holiday Calendar: Brazil 

 Business Day Conventions: Following 

Floating Leg 

 Payment/Resets: At maturity/daily 

 Day Count Conventions: DU/252 

 Holiday Calendar: Brazil 

 Business Day Conventions: Following 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to 

up to 50 years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic Settlement 

Payment and Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first Brazilian Interfinancial Offered Rate Fixing Date is equal to the Effective Date of the swap. 

Trade Start Types Spot: A new swap where the Effective Date is T+0 from the trade date. 

Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties 

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time) 

Clearing House Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 
149 

RULE 1349. THB Thai Baht Interest Rate Fixing (6M) Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker THB SWAP vs [Floating Index Maturity] 

Currency THB 

Floating Rate Index Thai Baht Interest Rate Fixing (THBFIX) 

Floating Rate Index Maturity 6 months 

Fixed Rate Par; custom coupon 

Quoting Convention and 

Minimum Increment 

As agreed by the counterparties 

Contract Size As agreed by the counterparties 

Minimum Size As agreed by the counterparties 

Trading Conventions Buy = Pay Fixed, Receive Float 

Sell = Receive Fixed, Pay Float 

Swap Conventions Fixed Leg 

o Payment: Weekly, Monthly, Quarterly, Semi-Annually, Annually 

o Day Count Conventions: ACT/365, or as otherwise agreed by the counterparties 

o Holiday Calendar: Thailand 

o Business Day Conventions: Modified Following 

Floating Leg 

o Payment/Resets: Weekly, Monthly, Quarterly, Semi-Annually, Annually 

o Day Count Conventions: ACT/365, or as otherwise agreed by the counterparties 

o Holiday Calendar: Thailand 

o Business Day Conventions: Modified Following 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to 

up to 50 years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic Settlement: 

Payment and Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first Thai Baht Interest Rate Fixing Date is two Thai business days prior to the Effective Date of the 

swap. 

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties 

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time) 

Clearing House Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 
150 

RULE 1350. CNY China Fixing Repo (7D) Rate Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker CNY SWAP vs [Floating Index Maturity] 

Currency CNY 

Floating Rate Index China Fixing Repo (7D) Rate

Floating Rate Index Maturity 7 days 

Fixed Rate Par; custom coupon 

Quoting Convention and 

Minimum Increment 

As agreed by the counterparties 

Contract Size As agreed by the counterparties 

Minimum Size As agreed by the counterparties 

Trading Conventions Buy = Pay Fixed, Receive Float 

Sell = Receive Fixed, Pay Float 

Swap Conventions Fixed Leg 

o Payment: Weekly, Monthly, Quarterly, Semi-Annually, Annually 

o Day Count Conventions: ACT/365, or as otherwise agreed by the counterparties 

o Holiday Calendar: China Interbank 

o Business Day Conventions: Modified Following 

Floating Leg 

o Payment/Resets: Weekly, Monthly, Quarterly, Semi-Annually, Annually 

o Day Count Conventions: ACT/365, or as otherwise agreed by the counterparties 

o Holiday Calendar: China Interbank 

o Business Day Conventions: Modified Following 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to 

up to 50 years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic Settlement 

Payment and Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first China Fixing Repo (7D) Rate Fixing Date is one business day prior to the Effective Date of the 

swap. 

Trade Start Types Spot: A new swap where the Effective Date is T+1 from the trade date. 

Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties 

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time) 

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 

 
151 

RULE 1351. NZD BKBM Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker NZD [Tenor] Swap 

Currency NZD 

Floating Rate Index Bank Bill Benchmark Rate (BKBM) 

Floating Rate Index Maturity 3 months 

Fixed Rate Par; custom coupon 

Quoting Convention and 

Minimum Increment 

As agreed by the counterparties 

Contract Size As agreed by the counterparties 

Minimum Size As agreed by the counterparties 

Trading Conventions Buy = Pay Fixed, Receive Float 

Sell = Receive Fixed, Pay Float 

Swap Conventions Fixed Leg 

 Payment: Monthly, Quarterly, Semi-Annual, Annual, At Maturity 

 Day Count Conventions: ACT/365.FIXED or as agreed by the counterparties. 

 Holiday Calendars: Auckland, Wellington 

 Business Day Conventions: Modified Following with adjustment to period end dates 

Floating Leg 

 Payment/Resets : Quarterly 

 Day Count Conventions: ACT/365.FIXED, or as agreed by the counterparties 

 Holiday Calendars: Auckland, Wellington 

 Business Day Conventions: Modified Following with adjustment to period end dates 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to up 

to 50 years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments 

(i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic Settlement 

Payment and Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first BKBM Fixing Date is equal to the trade date of the swap. 

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties 

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time) 

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd. or Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 
152 

RULE 1352. CHF SARON Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker CHF SWAP OIS [Tenor] 

Currency CHF 

Floating Rate Index Swiss Average Rate Overnight 

Floating Rate Index Maturity 1 day 

Fixed Rate Par; custom coupon 

Quoting Convention and 

Minimum Increment 

As agreed by the counterparties 

Contract Size As agreed by the counterparties 

Minimum Size As agreed by the counterparties 

Trading Conventions Buy = Pay Fixed, Receive Float 

Sell = Receive Fixed, Pay Float 

Swap Conventions Fixed Leg 

 Payment: Annual, at Maturity 

 Day Count Conventions: ACT/360 or as agreed by the counterparties. 

 Holiday Calendar: Switzerland 

 Business Day Conventions: Modified Following with adjustment to period end dates 

Floating Leg 

 Payment/Resets: Annual, at Maturity 

 Day Count Conventions: ACT/360 or as agreed by the counterparties 

 Holiday Calendar: Switzerland 

 Business Day Conventions: Modified Following with adjustment to period end dates 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 7 days to up 

to 50 years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments 

(i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic Settlement 

Payment and Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first SARON Fixing Date is equal to the effective date of the swap. 

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties 

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time) 

Clearing House LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft or Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 

 
153 

CHAPTER 14. FOREIGN EXCHANGE CONTRACTS TERMS AND CONDITIONS 

RULE 1401. Foreign Exchange Contract – Non-Deliverable Forward 

Contract 

Overview 

A non-deliverable forward (NDF) is an outright forward in which counterparties settle the difference between the 

contracted NDF price or rate and the prevailing spot price or rate on an agreed notional amount. 

Reference 

Currency 

Non-deliverable currency 

 BRL Brazilian Real 

 ARS Argentine Peso 

 CNY Chinese Renminbi 

 IDR Indonesian Rupiah 

 INR Indian Rupee 

 KRW South Korean Won 

 MYR Malaysian Ringgit 

 PHP Philippine Peso 

 TWD Taiwan Dollar 

 VND Vietnamese đồng 

 EGP Egyptian pound 

 RUB Russian ruble 

 KZT Kazakh tenge 

 CLP Chilean Peso 

 COP Colombian Peso 

 PEN Peruvian nuevo sol 

 UAH Ukrainian hryvnia 

 NGN Nigerian naira 

 GHS Ghanaian cedi 

 PKR Pakistani rupee 

Settlement 

Currency 

See currency list below 

Quoting 

Convention and 

Minimum 

Increment 

Notional amount, as agreed by counterparties 

Minimum Size Notional amount, as agreed by counterparties 

Notional 

Currency 

Currency in which contract size is expressed in 

Trading 

Conventions 

Buy or Sell which refers to the contract size expressed in notional currency 

Forward Rate Currency Exchange rate expressed as the amount of Reference currency per unit of Settlement currency 

Trade Date The date on which parties enter into the contract 

Settlement Date Specified settlement or payment date 

Fixing Date The date at which the difference between the prevailing market exchange rate and the agreed upon exchange rate is 

calculated.

Settlement 

Procedure 

Bilateral settlement performed in settlement currency based on the exchange rate published by sources set forth in 

Attachment B hereto. 

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time 

Clearing House Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations. 

Speculative 

Limits 

As set in Part 150 of the CFTC Regulations 

Reportable Levels As set in CFTC Regulation 15.03 
154 

Currency List

 GBP British Pound MXN Mexican Peso THB Thai Baht 

AED UAE Dirham GEL Georgia Lari MYR Malaysian Ringgit (NDF) THO Thai Baht Onshore 

AFN Afghanistan Afghani GMD Gambian Dalasi MZM Mozambique Metical TJS Tajikistan Somoni 

AMD Armenia Dram GNF Guinea Franc MZN New Mozambique Metical TND Tunisian Dinar 

ANG Neth. Ant. Guilder GTQ Guatemala Quetzal NGN Nigeria Naira (NDF) TOP Tonga Pa’Anga 

AOA Angolan Kwanza GYD Guyana Dollar NID New Iraqi Dinar TRY Turkish Lira 

ARS Argentine Peso (NFD) HKD Hong Kong Dollar NIO Nicaragua Cordoba TTD Trinidad/Tobago Dol 

ARS Argentine Peso HNL Honduras Lempira NLG Dutch Guilder TWD Taiwan Dollar (NDF) 

AUD Australian Dollar HRK Croatia Kuna NOK Norwegian Krone TZS Tanzanian Shilling 

AWG Aruban Guilder HTG Haiti Gourde NPR Nepalese Rupee UAH Ukraine Hryvnia (NDF) 

BAM Bosnia-Herze Convrt Mrka HUF Hungarian Forint NZD New Zealand Dollar UDI Mexican UDI 

BBD Barbados Dollar IDR Indonesian Rupiah (NDF) OMR Omani Rial UGX Ugandan Shilling 

BDT Banglaldesh Taka ILS Israeli Shekel PAD Panamanian Balboa USD US Dollar 

BGD Bulgarian Lev INR Indian Rupee (NDF) PEN Peruvian New Sol USDCLF Chilean Unidad SP 

BHD Bahraini Dinar ISK Iceland Krona PGK Papua N.G. Kina x10000 

BIF Burundi Franc JMD Jamaica Dollar PHP Philippines Peso (NDF) UYU Uruguay Peso 

BMD Bermudian Dollar JOD Jordanian Dinar PKR Pakistani Rupee UZS Uzbekistan Sum 

BND Brunei Dollar JPY Japanese Yen PLN Polish Zloty VEE Venezuela Essential Rate 

BOB Bolivian Boliviano KES Kenyan Shilling PTE Portuguese Escudo VEF Venezuelan Bolivar 

BRL Brazilian Real (NDF) KGS Kyrgyzstan Som PYG Paraguay Guarani VND Vietnamese Dong (NDF) 

BSD Bahamas Dollar KHR Cambia Riel WAR Qatari Riyal VUV Vanuatu Vatu 

BWP Botswana Pula KMF Comoros Franc ROL Romanian Leu WST Samoa (West) Tala 

BYR Belarus Ruble KRW South Korean Won (NDF) RON New Romanian Leu XAF CFA Franc Beac 

BZD Belize Dollar KWD Kuwaiti Dinar RSD Serbian Dinar XCD East Caribbean Dollar 

CAD Canadian Dollar KYD Cayman Islands Dollar RUB Russian Ruble (NDF) XDR Special Drawing Rights 

CDF Congolese Franc KZT Kazakhstan Tenge RWF Rwanda Franc XOF CFA Franc Bceao 

CHF Swiss Franc LAK Laos Kip SAR Saudi Riyal XPF Pacific Island Franc 

CLF Chilean UF LBP Lebanese Pound SBD Solomon Is. Dollar XSU Sucre 

CLP Chilean Peso LKR Sri Lankan Rupee SCR Seychelles Rupee YER Yemeni Rial 

CNY China Renminbi (NDF) LTL Lithuanian Litas SDD Sudanese Dinar ZAR S. African Rand 

COP Colombian Peso LVL Latvian Lats SDG New Sudanese Pound ZMK Zambian Kwacha 

CRC Costa Rican Colon MAD Moroccan Dirham SDP Old Sudanese Pound ZMW Zambia Kwacha (NDF) 

CVE Cape Verde Escudo MDL Moldova Leu SEK Swedish Korna ZWR Zimbabwe Dollar 

CZK Czech Koruna MGA Malagascy Ariary SGD Singapore Dollar 

DJF Djibouti Franc MKD Macedonia Denar SIT Slovenia Tolar 

DKK Danish Krone MMK Myanmar Kyat SKK Slovakia Koruna 

DOP Dominican Repb. MNT Mongolian Togrog SLL Sierra Leone Leone 

DZD Algerian Dinar MOP Macau Pataca SOS Somali Shilling 

EGP Egyptian Pound (NDF) MRO Mauritania Ouguiya SRD Suriname Dollar 

ERN Eritrean Nakfa MUR Mauritius Rupee SSP South Sudanese Pound 

EUR Euro MVR Maldives Rufiyaa STD Sao Tome Dobra 

FJD Fiji Dollar MWK Malawi Kwacha SVC El Salvador Colon 
155 

Attachment B 

Exchange Rate Sources 

Currency Primary Fixing Source Description Secondary Fixing 

Source 

Description 

Brazilian Real (BRL) BRL PTAX The BRL PTAX Rate is 

published at 

approximately 6:00 PM 

São Paulo time on the 

Valuation Date. 

The BZFXPTAX Index 

refers to the average rate 

displayed by Brazil's 

Central Bank under the 

transaction PTAX800, in 

the SISBACEN (Central 

Bank System), regarding 

the notation 220-USD 

(moeda 220 - Dolar dos 

Estados Unidos). 

EMTA BRL Industry 

Survey Rate (BRL 12) 

The EMTA BRL 

Industry Survey Rate is 

determined pursuant to 

the EMTA BRL Industry 

Survey Rate 

Methodology dated 

March 1, 2004. 

Argentine Peso (ARS) EMTA ARS Industry 

Survey Rate 

The EMTA ARS 

Industry Survey Rate 

resulting from the 

EMTA ARS Industry 

Survey Rate 

Methodology dated as of 

January 2, 2003, is 

available only on a 

Business Day in both 

Buenos Aires and New 

York City. 

This rate quotation 

appears on EMTA's 

website, 

http://www.emta.org.

EMTA ARS Indicative 

Survey Rate

The EMTA ARS 

Industry Survey Rate 

resulting from the 

EMTA ARS Industry 

Survey Rate 

Methodology dated as of 

January 2, 2003, is 

available only on a 

Business Day in both 

Buenos Aires and New 

York City. 

Chinese Renminbi 

(CNY) 

CNY SAEC The CNY SAEC 

(CNY01) Rate is 

published at 

approximately 9:15 a.m., 

Beijing time on the 

Valuation Date. 

This is the daily CNY 

fixing price released by 

China Foreign Exchange 

Trading System. In the 

interbank market, the 

fluctuation should not 

exceed +/-1% of the 

average price. The price 

of this index starts from 

Jan 4,2006, when China 

introduced OTC trading 

system in interbank 

currency market. For 

more historical prices, 

please refer to HP of 

CYCFUSDP Index. 

SFEMC CNY Indicative 

Survey Rate 

The SFEMC CNY 

Indicative Survey Rate is 

determined pursuant to 

the SFEMC CNY 

Indicative Survey Rate 

Methodology dated 

December 1, 2004. 

Indonesian Rupiah 

(IDR) IDR VWAP 

The IDR VWAP 

(IDR03) Rate is 

published at 

approximately 11:30 

a.m., Singapore time, on 

the Valuation Date. 

As of 6th Aug 2013, the 

Association of Banks 

Singapore's (ABS) IDR 

Spot FX benchmark 

SFEMC IDR Indicative 

Survey Rate 

The SFEMC IDR 

Indicative Survey Rate is 

determined pursuant to 

the SFEMC IDR 

Indicative Survey Rate 

Methodology dated 

December 1, 2004. 
156 

transitions from a 

surveyed benchmark to a 

traded benchmark. It 

will be changed from a 

trimmed arithmetic mean 

of submissions 

contributed by a panel of 

banks (Contributor 

Banks) to a rate based on 

the Volume Weighted 

Average Price (VWAP) 

of actual interbank 

transactions. 

Indian Rupee (INR) 

 INR RBIB 

The INR RBIB (INR01) 

Rate is published at 

approximately 12:30 

p.m. Mumbai time on the 

Valuation Date. 

The Rupee Reference 

Rate is the rate based on 

12.00 noon dollar-rupee 

rates offered by various 

banks in Mumbai. 

SFEMC INR Indicative 

Survey Rate 

The SFEMC INR 

Indicative Survey Rate is 

determined pursuant to 

the SFEMC INR 

Indicative Survey Rate 

Methodology dated 

December 1, 2004. 

South Korean Won 

(KRW) 

KRW KFTC18 The KRW KFTC18 

(KRW02) Rate is 

published at 

approximately 3:30 p.m. 

Seoul time on the 

Valuation Date. 

The basic exchange rate 

of the Korean won 

against the US dollar is 

determined as the 

transaction volumeweighted average of the 

rates applied in daily 

transactions between 

foreign exchange banks 

brokered through Seoul 

Money Brokerage 

Services, Ltd.(SMBS) 

and another brokerage 

house, and is announced 

at 3:00 pm every 

business day. 

SFEMC KRW Indicative 

Survey Rate 

The SFEMC KRW 

Indicative Survey Rate is 

determined pursuant to 

the SFEMC KRW 

Indicative Survey Rate 

Methodology dated 

December 1, 2004. 

Malaysian Ringgit 

(MYR) 

MYR ABS The MYR ABS 

(MYR01) Rate is 

published at 

approximately 11:30 

a.m. Singapore time on 

the Valuation Date. 

Published by the Central 

Bank of Malaysia (Bank 

Nagara) 

SFEMC MYR Indicative 

Survey Rate 

The SFEMC MYR 

Indicative Survey Rate is 

determined pursuant to 

the SFEMC MYR 

Indicative Survey Rate 

Methodology dated July 

15, 2005. 

Philippine Peso (PHP) PHP PDSPESO The PHP PDSPESO 

(PHP06) Rate is 

published at 

approximately 11:30 

a.m., Manila time, on the 

Valuation Date. 

Produced by the Bankers 

Association of 

Philippines. 

The SFEMC PHP 

Indicative Survey Rate is 

determined pursuant to 

the SFEMC PHP 

Indicative Survey Rate 

Methodology dated 

December 1, 2004. 

SFEMC PHP Indicative 

Survey Rate 

Taiwan Dollar (TWD) TWD TAIFX1 The TWD TAIFX1 Rate 

is published at 

approximately 11:00 

a.m. Taipei time on the 

SFEMC TWD Indicative 

Survey Rate 

The SFEMC TWD 

Indicative Survey Rate is 

determined pursuant to 

the SFEMC TWD 
157 

Valuation Date by 

Taipei Forex Inc. 

Indicative Survey Rate 

Methodology dated 

December 1, 2004. 

Vietnamese đồng 

(VND) 

VND The Association of 

Banks Singapore's 

(ABS) 

 

Egyptian pound (EGP) EGP FEMF Published by Central 

Bank of Egypt Treasury. 

Rates are updated only 

when there are FX Spot 

transactions among the 

39 participating banks. 

EMTA EGP Indicative 

Survey Rate 

The EMTA EGP 

Indicative Survey Rate is 

determined pursuant to 

the EMTA EGP 

Indicative Survey Rate 

Methodology dated as of 

May 24, 2010. 

Russian ruble (RUB) RUB CME-EMTA The RUB CME-EMTA 

Ruble Rate is determined 

pursuant to the Chicago 

Mercantile Exchange / 

EMTA, Inc. Daily 

Russian Ruble Per U.S. 

Dollar Reference Rate 

Methodology Effective 

June 16, 2005. 

EMTA RUB Indicative 

Survey Rate 

The EMTA RUB 

Indicative Survey Rate is 

determined pursuant to 

the EMTA RUB 

Indicative Survey 

Methodology effective 

June 16, 2005. 

Kazakh tenge (KZT) KZT KASE The KZT KASE Rate is 

published by the 

Kazakhstan Stock 

Exchange Inc. at 

approximately 11:00 am, 

Almaty, time. 

EMTA KZT Indicative 

Survey Rate 

The EMTA KZT 

Indicative Survey Rate is 

determined pursuant to 

the EMTA KZT 

Indicative Survey 

Methodology effective 

March 16, 2009. 

Chilean Peso (CLP) CLP DÓLAR OBS Chilean Observed Dollar 

Exchange Rate (Dolar 

Observado) - Chilean 

Central Bank Rates are 

published daily for 

operations settled in the 

prior business day. 

EMTA CLP Indicative 

Survey Rate 

The EMTA CLP 

Indicative Survey Rate is 

determined pursuant to 

the EMTA CLP 

Indicative Survey Rate 

Methodology dated as of 

August 1, 2006. 

Colombian Peso (COP) COP TRM The Market 

Representative Exchange 

Rate (Tasa 

Representativa del 

Mercado) states the daily 

exchange rate in the 

Colombian market, 

settled in the previous 

business day. It 

corresponds to the 

arithmetic average of the 

average weighed bid and 

offer rates of interbank 

and transfer operations, 

completed by authorized 

market intermediaries. 

The Superintendencia 

Financiera of Colombia 

is obligated by law 

(Article 80 of the 

Exchange Regulation - 

Board of Directors of the 

Central Bank) to 

calculate and publish the 

TRM. 

 

Peruvian Nuevo sol 

(PEN) 

PEN INTERBANK 

AVE 

The data required to 

calculate this rate are 

derived from the 

interbank market 

transacted over ICAP 

Datatec and published by 

Superintendecia de 

Banca Peru. 

EMTA PEN Indicative 

Survey Rate 

The EMTA PEN 

Indicative Survey Rate is 

determined pursuant to 

the EMTA 

PEN Indicative Survey 

Rate Methodology dated 

as of August 1, 2006 
158 

Ukrainian Hryvnia 

(UAH) 

EMTA UAH Industry 

Survey Rate 

The EMTA UAH 

Industry Survey Rate is 

posted on Thomson 

Reuters Screen 

EMTAUAHFIX Page at 

approximately 11:30 am, 

Kiev Time. 

EMTA UAH Indicative 

Survey Rate 

The EMTA UAH 

Indicative Survey Rate is 

determined pursuant to 

the EMTA UAH 

Indicative Survey 

Methodology effective 

March 16, 2009. 

Nigerian Naira (NGN) NGN FMDA FMDA - Financial Mkt EMTA NGN Indicative 

Survey Rate 

The EMTA NGN 

Indicative Survey Rate is 

determined pursuant to 

the NGN Indicative 

Survey Rate 

Methodology dated as of 

December 27, 2010. 

Ghanaian Cedi (GHS) GHS ICAP The GHS ICAP rate 

(GHS01) is determined 

by ICAP Broking 

Services South Africa 

(Pty) Ltd. not later than 

1:00 p.m., Accra time, 

based on a poll of 

onshore FX dealers. 

EMTA GHS Indicative 

Survey Rate 

The EMTA GHS 

Indicative Survey Rate is 

determined pursuant to 

the GHS Indicative 

Survey Rate 

Methodology dated as of 

May 9, 2012. 

Pakistani Rupee (PKR) PKR SBPK The PKR SBPK Rate is 

published at 

approximately 2:30 pm, 

Karachi time, on the 

Valuation Date by State 

Bank of Pakistan 

SFEMC PKR Indicative 

Survey Rate 

The SFEMC PKR 

Indicative Survey Rate is 

determined pursuant to 

the SFEMC PKR 

Indicative Survey Rate 

Methodology dated as of 

July 14, 2008. 

Bloomberg Fixing Source BFIX: 

The Bloomberg FX Fixing rates (“BFIX”) are fixed and published every 30 minutes on the hour and half-hour (liquidity permitting). The BFIX 

prices are created by taking a short-term Time-Weighted Average Price (TWAP) of the geometric mid-rates of Bloomberg Generic (BGN) prices 

leading up to and following the fixing time. 

By using a short-term TWAP to create the fixing, it ensures that BFIX rates are unsusceptible to spikes and manipulations in the market at fixing 

time. The length of time used in the TWAP varies from currency to currency, and may in fact vary over time, based on the average tick arrival 

frequency of the specific currency pair. By using the geometric average to calculate mid-rates, it ensures that BFIX prices are perfectly invertible 

(e.g., the USDEUR fix is exactly 1 / EURUSD fix). BFIX prices are published on the BLOOMBERG PROFESSIONAL(R) service within 15 

seconds of the fixing time. 

A linear time-weighted average of quotes is used leading up to the fixing time and for a short time after the fix. For major currencies, this linear 

TWAP starts eleven seconds before the fix and then decays for six seconds after the fix. For less liquid currencies, the approaching side of the 

TWAP envelope might be longer than eleven seconds, depending on the quoting frequency of the specific currency pair. The decay after the fix 

time is always six seconds. 

BFIX rates are available on BFIX <GO> and throughout the Bloomberg terminal and API. 

Bloomberg BGN Reference Price 

BGN is a sophisticated pricing algorithm that produces highly accurate bid and ask quotes that are derived from hundreds of quality sources, 

including indicative and executable price quotes from money-center and regional banks, broker-dealers, inter-dealer brokers, and trading 

platforms. 

The Bloomberg Generic represents Bloomberg's highest-quality FX and Precious Metals rate source and is designed to match market-consensus 

executable bid/ask rates and to be resistant to manipulation by market participants. 

For each currency pair the BGN values are based on FX and Precious Metals rates from a select subset of Bloomberg's more than 1000 price 

contributors. The specific members of the subset are chosen by an automated data quality and consistency scoring algorithm and reviewed 

periodically. No contributor knows whether or not their prices are included in any BGN set of input prices. These input prices are run through 

Bloomberg's proprietary blending algorithm which automatically mitigates the effect of outlier quotes and creates a market consensus bid-ask pair 

of prices for each currency pair. 
159 

RULE 1402. Foreign Exchange Contract – Vanilla FX Option 

Contract 

Overview 

A foreign-exchange option (commonly shortened to just FX option or currency option) is a derivative financial 

instrument that gives the owner the right but not the obligation to exchange money denominated in one currency into 

another currency at a pre-agreed exchange rate on a specified date. 

Trade Date The date on which parties enter into the contract 

Option Style American / European 

 A European option may be exercised only at the expiration date of the option, i.e. at a single pre-defined point in 

time. 

 An American option on the other hand may be exercised at any time before the expiration date. 

Option Type Put/ Call 

 Call option – the right to buy an asset at a fixed date and price. 

 Put option – the right to sell an asset a fixed date and price. 

Call Currency Currency for call option 

Put Currency Currency for put option 

Strike Price The exchange rate agreed upon inception of the contract at which the investor can exercise an option. 

Expiration Date Date at which option contract expires 

Expiration Time Time at which option contract expires 

Settlement Date Settlement date of the option contract 

Premium Premium amount expressed in premium currency 

Premium 

currency 

Currency in which option premium is expressed in 

Premium Date Date on which premium amount is due 

Quoting 

Convention 

and Minimum 

Increment 

Notional amount, as agreed by counterparties 

Minimum Size Notional amount, as agreed by counterparties 

Notional 

Currency 

Currency in which contract size is expressed in 

Settlement 

Procedure 

Bilateral settlement performed in settlement currency 

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time 

Clearing House Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations. 

Speculative 

Limits 

As set in Part 150 of the CFTC Regulations 

Reportable 

Levels 

As set in CFTC Regulation 15.03 
160 

Currency List

 GBP British Pound MXN Mexican Peso THB Thai Baht 

AED UAE Dirham GEL Georgia Lari MYR Malaysian Ringgit (NDF) THO Thai Baht Onshore 

AFN Afghanistan Afghani GMD Gambian Dalasi MZM Mozambique Metical TJS Tajikistan Somoni 

AMD Armenia Dram GNF Guinea Franc MZN New Mozambique Metical TND Tunisian Dinar 

ANG Neth. Ant. Guilder GTQ Guatemala Quetzal NGN Nigeria Naira (NDF) TOP Tonga Pa’Anga 

AOA Angolan Kwanza GYD Guyana Dollar NID New Iraqi Dinar TRY Turkish Lira 

ARS Argentine Peso (NFD) HKD Hong Kong Dollar NIO Nicaragua Cordoba TTD Trinidad/Tobago Dol 

ARS Argentine Peso HNL Honduras Lempira NLG Dutch Guilder TWD Taiwan Dollar (NDF) 

AUD Australian Dollar HRK Croatia Kuna NOK Norwegian Krone TZS Tanzanian Shilling 

AWG Aruban Guilder HTG Haiti Gourde NPR Nepalese Rupee UAH Ukraine Hryvnia (NDF) 

BAM Bosnia-Herze Convrt Mrka HUF Hungarian Forint NZD New Zealand Dollar UDI Mexican UDI 

BBD Barbados Dollar IDR Indonesian Rupiah (NDF) OMR Omani Rial UGX Ugandan Shilling 

BDT Banglaldesh Taka ILS Israeli Shekel PAD Panamanian Balboa USD US Dollar 

BGD Bulgarian Lev INR Indian Rupee (NDF) PEN Peruvian New Sol USDCLF Chilean Unidad SP 

BHD Bahraini Dinar ISK Iceland Krona PGK Papua N.G. Kina x10000 

BIF Burundi Franc JMD Jamaica Dollar PHP Philippines Peso (NDF) UYU Uruguay Peso 

BMD Bermudian Dollar JOD Jordanian Dinar PKR Pakistani Rupee UZS Uzbekistan Sum 

BND Brunei Dollar JPY Japanese Yen PLN Polish Zloty VEE Venezuela Essential Rate 

BOB Bolivian Boliviano KES Kenyan Shilling PTE Portuguese Escudo VEF Venezuelan Bolivar 

BRL Brazilian Real (NDF) KGS Kyrgyzstan Som PYG Paraguay Guarani VND Vietnamese Dong (NDF) 

BSD Bahamas Dollar KHR Cambia Riel WAR Qatari Riyal VUV Vanuatu Vatu 

BWP Botswana Pula KMF Comoros Franc ROL Romanian Leu WST Samoa (West) Tala 

BYR Belarus Ruble KRW South Korean Won (NDF) RON New Romanian Leu XAF CFA Franc Beac 

BZD Belize Dollar KWD Kuwaiti Dinar RSD Serbian Dinar XCD East Caribbean Dollar 

CAD Canadian Dollar KYD Cayman Islands Dollar RUB Russian Ruble (NDF) XDR Special Drawing Rights 

CDF Congolese Franc KZT Kazakhstan Tenge RWF Rwanda Franc XOF CFA Franc Bceao 

CHF Swiss Franc LAK Laos Kip SAR Saudi Riyal XPF Pacific Island Franc 

CLF Chilean UF LBP Lebanese Pound SBD Solomon Is. Dollar XSU Sucre 

CLP Chilean Peso LKR Sri Lankan Rupee SCR Seychelles Rupee YER Yemeni Rial 

CNY China Renminbi (NDF) LTL Lithuanian Litas SDD Sudanese Dinar ZAR S. African Rand 

COP Colombian Peso LVL Latvian Lats SDG New Sudanese Pound ZMK Zambian Kwacha 

CRC Costa Rican Colon MAD Moroccan Dirham SDP Old Sudanese Pound ZMW Zambia Kwacha (NDF) 

CVE Cape Verde Escudo MDL Moldova Leu SEK Swedish Korna ZWR Zimbabwe Dollar 

CZK Czech Koruna MGA Malagascy Ariary SGD Singapore Dollar 

DJF Djibouti Franc MKD Macedonia Denar SIT Slovenia Tolar 

DKK Danish Krone MMK Myanmar Kyat SKK Slovakia Koruna 

DOP Dominican Repb. MNT Mongolian Togrog SLL Sierra Leone Leone 

DZD Algerian Dinar MOP Macau Pataca SOS Somali Shilling 

EGP Egyptian Pound (NDF) MRO Mauritania Ouguiya SRD Suriname Dollar 

ERN Eritrean Nakfa MUR Mauritius Rupee SSP South Sudanese Pound 

EUR Euro MVR Maldives Rufiyaa STD Sao Tome Dobra 

FJD Fiji Dollar MWK Malawi Kwacha SVC El Salvador Colon 
161 

RULE 1403. Foreign Exchange Contract – Exotic FX Option 

Contract Overview An exotic foreign-exchange option is an option which has more than one trigger relating to the determination of the 

payoff. 

Trade Date The date on which parties enter into the contract 

Option Style American / European 

 A European option may be exercised only at the expiration date of the option, i.e. at a single pre-defined 

point in time. 

 An American option on the other hand may be exercised at any time before the expiration date. 

Option Type Put/ Call 

 Call option – the right to buy an asset at a fixed date and price. 

 Put option – the right to sell an asset a fixed date and price. 

Call Currency Currency for call option 

Put Currency Currency for put option 

Strike Price The currency exchange rate at which the investor can exercise an option. 

Expiration Date Date at which option contract expires 

Barrier Low Pre-set low barrier level either springs the option into existence or extinguishes an already existing option. 

Barrier High Pre-set high barrier level either springs the option into existence or extinguishes an already existing option. 

Barrier Style American / European 

Barrier Direction The four types of barrier options are: 

 Up-and-out: spot price starts below the barrier level and has to move up for the option to be knocked out. 

 Down-and-out: spot price starts above the barrier level and has to move down for the option to become null 

and void. 

 Up-and-in: spot price starts below the barrier level and has to move up for the option to become activated. 

 Down-and-in: spot price starts above the barrier level and has to move down for the option to become 

activated. 

Expiration Time Time at which option contract expires (cut off time) 

Settlement Date Settlement date of the option contract 

Premium Premium amount expressed in premium currency 

Premium currency Currency in which option premium is expressed in 

Premium Date Date on which premium amount is due 

Quoting Convention 

and Minimum 

Increment 

Notional amount, as agreed by counterparties 

Notional Currency Currency in which contract size is expressed in 

Settlement Procedure Bilateral settlement performed in settlement currency 

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time 

Clearing House Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations. 

Speculative Limits As set in Part 150 of the CFTC Regulations 

Reportable Levels As set in CFTC Regulation 15.03 
162 

Currency List

 GBP British Pound MXN Mexican Peso THB Thai Baht 

AED UAE Dirham GEL Georgia Lari MYR Malaysian Ringgit (NDF) THO Thai Baht Onshore 

AFN Afghanistan Afghani GMD Gambian Dalasi MZM Mozambique Metical TJS Tajikistan Somoni 

AMD Armenia Dram GNF Guinea Franc MZN New Mozambique Metical TND Tunisian Dinar 

ANG Neth. Ant. Guilder GTQ Guatemala Quetzal NGN Nigeria Naira (NDF) TOP Tonga Pa’Anga 

AOA Angolan Kwanza GYD Guyana Dollar NID New Iraqi Dinar TRY Turkish Lira 

ARS Argentine Peso (NFD) HKD Hong Kong Dollar NIO Nicaragua Cordoba TTD Trinidad/Tobago Dol 

ARS Argentine Peso HNL Honduras Lempira NLG Dutch Guilder TWD Taiwan Dollar (NDF) 

AUD Australian Dollar HRK Croatia Kuna NOK Norwegian Krone TZS Tanzanian Shilling 

AWG Aruban Guilder HTG Haiti Gourde NPR Nepalese Rupee UAH Ukraine Hryvnia (NDF) 

BAM Bosnia-Herze Convrt Mrka HUF Hungarian Forint NZD New Zealand Dollar UDI Mexican UDI 

BBD Barbados Dollar IDR Indonesian Rupiah (NDF) OMR Omani Rial UGX Ugandan Shilling 

BDT Banglaldesh Taka ILS Israeli Shekel PAD Panamanian Balboa USD US Dollar 

BGD Bulgarian Lev INR Indian Rupee (NDF) PEN Peruvian New Sol USDCLF Chilean Unidad SP 

BHD Bahraini Dinar ISK Iceland Krona PGK Papua N.G. Kina x10000 

BIF Burundi Franc JMD Jamaica Dollar PHP Philippines Peso (NDF) UYU Uruguay Peso 

BMD Bermudian Dollar JOD Jordanian Dinar PKR Pakistani Rupee UZS Uzbekistan Sum 

BND Brunei Dollar JPY Japanese Yen PLN Polish Zloty VEE Venezuela Essential Rate 

BOB Bolivian Boliviano KES Kenyan Shilling PTE Portuguese Escudo VEF Venezuelan Bolivar 

BRL Brazilian Real (NDF) KGS Kyrgyzstan Som PYG Paraguay Guarani VND Vietnamese Dong (NDF) 

BSD Bahamas Dollar KHR Cambia Riel WAR Qatari Riyal VUV Vanuatu Vatu 

BWP Botswana Pula KMF Comoros Franc ROL Romanian Leu WST Samoa (West) Tala 

BYR Belarus Ruble KRW South Korean Won (NDF) RON New Romanian Leu XAF CFA Franc Beac 

BZD Belize Dollar KWD Kuwaiti Dinar RSD Serbian Dinar XCD East Caribbean Dollar 

CAD Canadian Dollar KYD Cayman Islands Dollar RUB Russian Ruble (NDF) XDR Special Drawing Rights 

CDF Congolese Franc KZT Kazakhstan Tenge RWF Rwanda Franc XOF CFA Franc Bceao 

CHF Swiss Franc LAK Laos Kip SAR Saudi Riyal XPF Pacific Island Franc 

CLF Chilean UF LBP Lebanese Pound SBD Solomon Is. Dollar XSU Sucre 

CLP Chilean Peso LKR Sri Lankan Rupee SCR Seychelles Rupee YER Yemeni Rial 

CNY China Renminbi (NDF) LTL Lithuanian Litas SDD Sudanese Dinar ZAR S. African Rand 

COP Colombian Peso LVL Latvian Lats SDG New Sudanese Pound ZMK Zambian Kwacha 

CRC Costa Rican Colon MAD Moroccan Dirham SDP Old Sudanese Pound ZMW Zambia Kwacha (NDF) 

CVE Cape Verde Escudo MDL Moldova Leu SEK Swedish Korna ZWR Zimbabwe Dollar 

CZK Czech Koruna MGA Malagascy Ariary SGD Singapore Dollar 

DJF Djibouti Franc MKD Macedonia Denar SIT Slovenia Tolar 

DKK Danish Krone MMK Myanmar Kyat SKK Slovakia Koruna 

DOP Dominican Repb. MNT Mongolian Togrog SLL Sierra Leone Leone 

DZD Algerian Dinar MOP Macau Pataca SOS Somali Shilling 

EGP Egyptian Pound (NDF) MRO Mauritania Ouguiya SRD Suriname Dollar 

ERN Eritrean Nakfa MUR Mauritius Rupee SSP South Sudanese Pound 

EUR Euro MVR Maldives Rufiyaa STD Sao Tome Dobra 

FJD Fiji Dollar MWK Malawi Kwacha SVC El Salvador Colon 
163 

RULE 1404. Foreign Exchange Contract – Precious Metals Swaps 

 

Contract 

Overview 

A precious metals contract is a cash settled agreement between two counterparties whereby one counterparty agrees to 

pay a fixed amount to the other counterparty on a given date, and in exchange the second counterparty will pay a floating 

amount to the first counterparty on the same given date. The fixed amount paid is determined based on the notional 

quantity traded and the price of the reference commodity. The floating amount paid is determined based on the notional 

quantity and the price of an applicable futures contract based on the reference commodity over an agreed future 

calculation period. 

Reference 

Commodities 

 Gold 

 Silver 

 Palladium 

 Platinum 

Contracts on 

Reference 

Commodities 

 NYMEX Palladium 

 NYMEX Platinum 

 COMEX Gold 

 COMEX Silver ICE Gasoil (Monthly) 

Settlement 

Currency 

A currency listed below. 

Quoting 

Convention 

and Minimum 

Increment 

Notional amount, as agreed by counterparties 

Minimum Size Notional amount, as agreed by counterparties 

Notional 

Currency 

A currency listed below. 

Trading 

Conventions 

Buy or Sell which refers to whether or not the fixed amount is paid (buy) or received (sell) 

Calculation 

Period 

Can be a single date or date range over which the reference price of the commodity will be calculated. If a date range the 

reference price will be averaged across all days. 

Trade Date The date on which counterparties enter into the contract 

Settlement Date Specified settlement or payment date when the fixed payment amount and the floating payment amount are exchanged 

(can be netted) 

Settlement 

Procedure 

Bilateral cash settlement performed in settlement currency 

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations. 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 
164 

Currency List

 GBP British Pound MXN Mexican Peso THB Thai Baht 

AED UAE Dirham GEL Georgia Lari MYR Malaysian Ringgit (NDF) THO Thai Baht Onshore 

AFN Afghanistan Afghani GMD Gambian Dalasi MZM Mozambique Metical TJS Tajikistan Somoni 

AMD Armenia Dram GNF Guinea Franc MZN New Mozambique Metical TND Tunisian Dinar 

ANG Neth. Ant. Guilder GTQ Guatemala Quetzal NGN Nigeria Naira (NDF) TOP Tonga Pa’Anga 

AOA Angolan Kwanza GYD Guyana Dollar NID New Iraqi Dinar TRY Turkish Lira 

ARS Argentine Peso (NFD) HKD Hong Kong Dollar NIO Nicaragua Cordoba TTD Trinidad/Tobago Dol 

ARS Argentine Peso HNL Honduras Lempira NLG Dutch Guilder TWD Taiwan Dollar (NDF) 

AUD Australian Dollar HRK Croatia Kuna NOK Norwegian Krone TZS Tanzanian Shilling 

AWG Aruban Guilder HTG Haiti Gourde NPR Nepalese Rupee UAH Ukraine Hryvnia (NDF) 

BAM Bosnia-Herze Convrt Mrka HUF Hungarian Forint NZD New Zealand Dollar UDI Mexican UDI 

BBD Barbados Dollar IDR Indonesian Rupiah (NDF) OMR Omani Rial UGX Ugandan Shilling 

BDT Banglaldesh Taka ILS Israeli Shekel PAD Panamanian Balboa USD US Dollar 

BGD Bulgarian Lev INR Indian Rupee (NDF) PEN Peruvian New Sol USDCLF Chilean Unidad SP 

BHD Bahraini Dinar ISK Iceland Krona PGK Papua N.G. Kina x10000 

BIF Burundi Franc JMD Jamaica Dollar PHP Philippines Peso (NDF) UYU Uruguay Peso 

BMD Bermudian Dollar JOD Jordanian Dinar PKR Pakistani Rupee UZS Uzbekistan Sum 

BND Brunei Dollar JPY Japanese Yen PLN Polish Zloty VEE Venezuela Essential Rate 

BOB Bolivian Boliviano KES Kenyan Shilling PTE Portuguese Escudo VEF Venezuelan Bolivar 

BRL Brazilian Real (NDF) KGS Kyrgyzstan Som PYG Paraguay Guarani VND Vietnamese Dong (NDF) 

BSD Bahamas Dollar KHR Cambia Riel WAR Qatari Riyal VUV Vanuatu Vatu 

BWP Botswana Pula KMF Comoros Franc ROL Romanian Leu WST Samoa (West) Tala 

BYR Belarus Ruble KRW South Korean Won (NDF) RON New Romanian Leu XAF CFA Franc Beac 

BZD Belize Dollar KWD Kuwaiti Dinar RSD Serbian Dinar XCD East Caribbean Dollar 

CAD Canadian Dollar KYD Cayman Islands Dollar RUB Russian Ruble (NDF) XDR Special Drawing Rights 

CDF Congolese Franc KZT Kazakhstan Tenge RWF Rwanda Franc XOF CFA Franc Bceao 

CHF Swiss Franc LAK Laos Kip SAR Saudi Riyal XPF Pacific Island Franc 

CLF Chilean UF LBP Lebanese Pound SBD Solomon Is. Dollar XSU Sucre 

CLP Chilean Peso LKR Sri Lankan Rupee SCR Seychelles Rupee YER Yemeni Rial 

CNY China Renminbi (NDF) LTL Lithuanian Litas SDD Sudanese Dinar ZAR S. African Rand 

COP Colombian Peso LVL Latvian Lats SDG New Sudanese Pound ZMK Zambian Kwacha 

CRC Costa Rican Colon MAD Moroccan Dirham SDP Old Sudanese Pound ZMW Zambia Kwacha (NDF) 

CVE Cape Verde Escudo MDL Moldova Leu SEK Swedish Korna ZWR Zimbabwe Dollar 

CZK Czech Koruna MGA Malagascy Ariary SGD Singapore Dollar 

DJF Djibouti Franc MKD Macedonia Denar SIT Slovenia Tolar 

DKK Danish Krone MMK Myanmar Kyat SKK Slovakia Koruna 

DOP Dominican Repb. MNT Mongolian Togrog SLL Sierra Leone Leone 

DZD Algerian Dinar MOP Macau Pataca SOS Somali Shilling 

EGP Egyptian Pound (NDF) MRO Mauritania Ouguiya SRD Suriname Dollar 

ERN Eritrean Nakfa MUR Mauritius Rupee SSP South Sudanese Pound 

EUR Euro MVR Maldives Rufiyaa STD Sao Tome Dobra 

FJD Fiji Dollar MWK Malawi Kwacha SVC El Salvador Colon 
165 

RULE 1405. Foreign Exchange Contract – Average Rate Forward 

 

Contract Overview An average rate forward allows the buyer the ability to create a hedge rate for a future exposure by locking in forward 

points and a spot rate. At some point in the future, there is an averaging period of daily spot observations to determine 

an average rate which, when compared to the hedge rate, will set the payout. Unlike options, this hedge tool is a 

forward contract and has no premium cost associated with it. 

Currency Pair Underlying currency instrument composed of ISO currency codes (ISO 4217) of the base currency and the counter 

currency, separating them with a slash character; see currency list below 

Settlement Currency See currency list below 

Quoting Convention 

and Minimum 

Increment 

Notional amount, as agreed by counterparties 

Minimum Size $1

Notional Currency Currency in which contract size is expressed 

Trading Conventions Buy or Sell which refers to the contract size expressed in notional currency 

Forward Rate Currency Exchange rate expressed as the amount of Reference currency per unit of Settlement currency 

Trade Date The date on which parties enter into the contract 

Settlement Date Settlement or payment date 

Fixing Date End of observation period specified by counterparties

Frequency Observation frequency specified by counterparties 

Settlement 

Procedure 

Bilateral settlement performed in settlement currency based on the exchanges rate published by either Bloomberg 

(BFIX) or Reuters (WM/Reuters) 

Trading Hours 00:01 - 24:00 Sunday-Friday (Eastern Time) 

Clearing House Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations. 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 
166 

Currency List

 GBP British Pound MXN Mexican Peso THB Thai Baht 

AED UAE Dirham GEL Georgia Lari MYR Malaysian Ringgit (NDF) THO Thai Baht Onshore 

AFN Afghanistan Afghani GMD Gambian Dalasi MZM Mozambique Metical TJS Tajikistan Somoni 

AMD Armenia Dram GNF Guinea Franc MZN New Mozambique Metical TND Tunisian Dinar 

ANG Neth. Ant. Guilder GTQ Guatemala Quetzal NGN Nigeria Naira (NDF) TOP Tonga Pa’Anga 

AOA Angolan Kwanza GYD Guyana Dollar NID New Iraqi Dinar TRY Turkish Lira 

ARS Argentine Peso (NFD) HKD Hong Kong Dollar NIO Nicaragua Cordoba TTD Trinidad/Tobago Dol 

ARS Argentine Peso HNL Honduras Lempira NLG Dutch Guilder TWD Taiwan Dollar (NDF) 

AUD Australian Dollar HRK Croatia Kuna NOK Norwegian Krone TZS Tanzanian Shilling 

AWG Aruban Guilder HTG Haiti Gourde NPR Nepalese Rupee UAH Ukraine Hryvnia (NDF) 

BAM Bosnia-Herze Convrt Mrka HUF Hungarian Forint NZD New Zealand Dollar UDI Mexican UDI 

BBD Barbados Dollar IDR Indonesian Rupiah (NDF) OMR Omani Rial UGX Ugandan Shilling 

BDT Banglaldesh Taka ILS Israeli Shekel PAD Panamanian Balboa USD US Dollar 

BGD Bulgarian Lev INR Indian Rupee (NDF) PEN Peruvian New Sol USDCLF Chilean Unidad SP 

BHD Bahraini Dinar ISK Iceland Krona PGK Papua N.G. Kina x10000 

BIF Burundi Franc JMD Jamaica Dollar PHP Philippines Peso (NDF) UYU Uruguay Peso 

BMD Bermudian Dollar JOD Jordanian Dinar PKR Pakistani Rupee UZS Uzbekistan Sum 

BND Brunei Dollar JPY Japanese Yen PLN Polish Zloty VEE Venezuela Essential Rate 

BOB Bolivian Boliviano KES Kenyan Shilling PTE Portuguese Escudo VEF Venezuelan Bolivar 

BRL Brazilian Real (NDF) KGS Kyrgyzstan Som PYG Paraguay Guarani VND Vietnamese Dong (NDF) 

BSD Bahamas Dollar KHR Cambia Riel WAR Qatari Riyal VUV Vanuatu Vatu 

BWP Botswana Pula KMF Comoros Franc ROL Romanian Leu WST Samoa (West) Tala 

BYR Belarus Ruble KRW South Korean Won (NDF) RON New Romanian Leu XAF CFA Franc Beac 

BZD Belize Dollar KWD Kuwaiti Dinar RSD Serbian Dinar XCD East Caribbean Dollar 

CAD Canadian Dollar KYD Cayman Islands Dollar RUB Russian Ruble (NDF) XDR Special Drawing Rights 

CDF Congolese Franc KZT Kazakhstan Tenge RWF Rwanda Franc XOF CFA Franc Bceao 

CHF Swiss Franc LAK Laos Kip SAR Saudi Riyal XPF Pacific Island Franc 

CLF Chilean UF LBP Lebanese Pound SBD Solomon Is. Dollar XSU Sucre 

CLP Chilean Peso LKR Sri Lankan Rupee SCR Seychelles Rupee YER Yemeni Rial 

CNY China Renminbi (NDF) LTL Lithuanian Litas SDD Sudanese Dinar ZAR S. African Rand 

COP Colombian Peso LVL Latvian Lats SDG New Sudanese Pound ZMK Zambian Kwacha 

CRC Costa Rican Colon MAD Moroccan Dirham SDP Old Sudanese Pound ZMW Zambia Kwacha (NDF) 

CVE Cape Verde Escudo MDL Moldova Leu SEK Swedish Korna ZWR Zimbabwe Dollar 

CZK Czech Koruna MGA Malagascy Ariary SGD Singapore Dollar 

DJF Djibouti Franc MKD Macedonia Denar SIT Slovenia Tolar 

DKK Danish Krone MMK Myanmar Kyat SKK Slovakia Koruna 

DOP Dominican Repb. MNT Mongolian Togrog SLL Sierra Leone Leone 

DZD Algerian Dinar MOP Macau Pataca SOS Somali Shilling 

EGP Egyptian Pound (NDF) MRO Mauritania Ouguiya SRD Suriname Dollar 

ERN Eritrean Nakfa MUR Mauritius Rupee SSP South Sudanese Pound 

EUR Euro MVR Maldives Rufiyaa STD Sao Tome Dobra 

FJD Fiji Dollar MWK Malawi Kwacha SVC El Salvador Colon 
167 

RULE 1406. Foreign Exchange Contract – ARS Non-Deliverable Forward 

Contract Overview A non-deliverable forward (NDF) is an outright forward in which counterparties settle the difference 

between the contracted NDF price or rate and the prevailing spot price or rate on an agreed notional amount. 

Reference Currency (i.e., NonDeliverable Currency)

ARS Argentine Peso 

Settlement Currency See currency list below 

Quoting Convention and 

Minimum Increment

Notional amount, as agreed by counterparties 

Minimum Size Notional amount, as agreed by counterparties 

Notional Currency Currency in which contract size is expressed in, as agreed by counterparties 

Trading Conventions Buy or Sell, which refers to the contract size expressed in notional currency 

Forward Rate Currency Exchange rate expressed as the amount of Reference currency per unit of Settlement Currency 

Trade Date The date on which parties enter into the contract 

Settlement Date Specified settlement or payment date, as agreed by counterparties 

Fixing Date The date at which the difference between the prevailing market exchange rate and the agreed upon exchange 

rate is calculated.

Settlement Procedure Bilateral settlement performed in settlement currency based on the EMTA ARS Industry Survey Rate / 

EMTA ARS Indicative Survey Rate (secondary); BFIX or BGN. 

Trading Hours 00:01 - 24:00 (ET), Sunday-Friday 

Clearing House Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations. 

Speculative Limits As set in Part 150 of the CFTC Regulations 

Reportable Levels As set in CFTC Regulation 15.03 

 
168 

Currency List

 GBP British Pound MXN Mexican Peso THB Thai Baht 

AED UAE Dirham GEL Georgia Lari MYR Malaysian Ringgit (NDF) THO Thai Baht Onshore 

AFN Afghanistan Afghani GMD Gambian Dalasi MZM Mozambique Metical TJS Tajikistan Somoni 

AMD Armenia Dram GNF Guinea Franc MZN New Mozambique Metical TND Tunisian Dinar 

ANG Neth. Ant. Guilder GTQ Guatemala Quetzal NGN Nigeria Naira (NDF) TOP Tonga Pa’Anga 

AOA Angolan Kwanza GYD Guyana Dollar NID New Iraqi Dinar TRY Turkish Lira 

ARS Argentine Peso (NFD) HKD Hong Kong Dollar NIO Nicaragua Cordoba TTD Trinidad/Tobago Dol 

ARS Argentine Peso HNL Honduras Lempira NLG Dutch Guilder TWD Taiwan Dollar (NDF) 

AUD Australian Dollar HRK Croatia Kuna NOK Norwegian Krone TZS Tanzanian Shilling 

AWG Aruban Guilder HTG Haiti Gourde NPR Nepalese Rupee UAH Ukraine Hryvnia (NDF) 

BAM Bosnia-Herze Convrt Mrka HUF Hungarian Forint NZD New Zealand Dollar UDI Mexican UDI 

BBD Barbados Dollar IDR Indonesian Rupiah (NDF) OMR Omani Rial UGX Ugandan Shilling 

BDT Banglaldesh Taka ILS Israeli Shekel PAD Panamanian Balboa USD US Dollar 

BGD Bulgarian Lev INR Indian Rupee (NDF) PEN Peruvian New Sol USDCLF Chilean Unidad SP 

BHD Bahraini Dinar ISK Iceland Krona PGK Papua N.G. Kina x10000 

BIF Burundi Franc JMD Jamaica Dollar PHP Philippines Peso (NDF) UYU Uruguay Peso 

BMD Bermudian Dollar JOD Jordanian Dinar PKR Pakistani Rupee UZS Uzbekistan Sum 

BND Brunei Dollar JPY Japanese Yen PLN Polish Zloty VEE Venezuela Essential Rate 

BOB Bolivian Boliviano KES Kenyan Shilling PTE Portuguese Escudo VEF Venezuelan Bolivar 

BRL Brazilian Real (NDF) KGS Kyrgyzstan Som PYG Paraguay Guarani VND Vietnamese Dong (NDF) 

BSD Bahamas Dollar KHR Cambia Riel WAR Qatari Riyal VUV Vanuatu Vatu 

BWP Botswana Pula KMF Comoros Franc ROL Romanian Leu WST Samoa (West) Tala 

BYR Belarus Ruble KRW South Korean Won (NDF) RON New Romanian Leu XAF CFA Franc Beac 

BZD Belize Dollar KWD Kuwaiti Dinar RSD Serbian Dinar XCD East Caribbean Dollar 

CAD Canadian Dollar KYD Cayman Islands Dollar RUB Russian Ruble (NDF) XDR Special Drawing Rights 

CDF Congolese Franc KZT Kazakhstan Tenge RWF Rwanda Franc XOF CFA Franc Bceao 

CHF Swiss Franc LAK Laos Kip SAR Saudi Riyal XPF Pacific Island Franc 

CLF Chilean UF LBP Lebanese Pound SBD Solomon Is. Dollar XSU Sucre 

CLP Chilean Peso LKR Sri Lankan Rupee SCR Seychelles Rupee YER Yemeni Rial 

CNY China Renminbi (NDF) LTL Lithuanian Litas SDD Sudanese Dinar ZAR S. African Rand 

COP Colombian Peso LVL Latvian Lats SDG New Sudanese Pound ZMK Zambian Kwacha 

CRC Costa Rican Colon MAD Moroccan Dirham SDP Old Sudanese Pound ZMW Zambia Kwacha (NDF) 

CVE Cape Verde Escudo MDL Moldova Leu SEK Swedish Korna ZWR Zimbabwe Dollar 

CZK Czech Koruna MGA Malagascy Ariary SGD Singapore Dollar 

DJF Djibouti Franc MKD Macedonia Denar SIT Slovenia Tolar 

DKK Danish Krone MMK Myanmar Kyat SKK Slovakia Koruna 

DOP Dominican Repb. MNT Mongolian Togrog SLL Sierra Leone Leone 

DZD Algerian Dinar MOP Macau Pataca SOS Somali Shilling 

EGP Egyptian Pound (NDF) MRO Mauritania Ouguiya SRD Suriname Dollar 

ERN Eritrean Nakfa MUR Mauritius Rupee SSP South Sudanese Pound 

EUR Euro MVR Maldives Rufiyaa STD Sao Tome Dobra 

FJD Fiji Dollar MWK Malawi Kwacha SVC El Salvador Colon 

 
169 

RULE 1407. Foreign Exchange Contract – KES Non-Deliverable Forward 

Contract Overview A non-deliverable forward (NDF) is an outright forward in which counterparties settle the difference 

between the contracted NDF price or rate and the prevailing spot price or rate on an agreed notional 

amount. 

Reference Currency (i.e., NonDeliverable Currency) KES Kenyan Shilling 

Settlement Currency See currency list below 

Quoting Convention 

and Minimum Increment 

Notional amount, as agreed by the counterparties. 

Minimum Size Notional amount, as agreed by the counterparties. 

Notional Currency Currency in which contract size is expressed in, as agreed by the counterparties. 

Trading Conventions Buy or Sell, which refers to the contract size expressed in notional currency. 

Forward Rate Currency Exchange rate expressed as the amount of Reference Currency per unit of Settlement 

Currency. 

Trade Date The date on which parties enter into the contract. 

Settlement Date Specified settlement or payment date, as agreed by the counterparties. 

Fixing Date The date at which the difference between the prevailing market exchange rate and the agreed upon 

exchange rate is calculated. 

Settlement Procedure Bilateral settlement performed in settlement currency based on the EMTA KES Industry Survey 

Rate or BFIX. 

Trading Hours 00:01 - 24:00 (ET), Sunday-Friday. 

Clearing Venue Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations. 

Speculative Limits As set forth in Part 151 of the CFTC Regulations. 

Reportable Levels As set forth in CFTC Regulation 15.03. 

 
170 

Currency List

 GBP British Pound MXN Mexican Peso THB Thai Baht 

AED UAE Dirham GEL Georgia Lari MYR Malaysian Ringgit (NDF) THO Thai Baht Onshore 

AFN Afghanistan Afghani GMD Gambian Dalasi MZM Mozambique Metical TJS Tajikistan Somoni 

AMD Armenia Dram GNF Guinea Franc MZN New Mozambique Metical TND Tunisian Dinar 

ANG Neth. Ant. Guilder GTQ Guatemala Quetzal NGN Nigeria Naira (NDF) TOP Tonga Pa’Anga 

AOA Angolan Kwanza GYD Guyana Dollar NID New Iraqi Dinar TRY Turkish Lira 

ARS Argentine Peso (NFD) HKD Hong Kong Dollar NIO Nicaragua Cordoba TTD Trinidad/Tobago Dol 

ARS Argentine Peso HNL Honduras Lempira NLG Dutch Guilder TWD Taiwan Dollar (NDF) 

AUD Australian Dollar HRK Croatia Kuna NOK Norwegian Krone TZS Tanzanian Shilling 

AWG Aruban Guilder HTG Haiti Gourde NPR Nepalese Rupee UAH Ukraine Hryvnia (NDF) 

BAM Bosnia-Herze Convrt Mrka HUF Hungarian Forint NZD New Zealand Dollar UDI Mexican UDI 

BBD Barbados Dollar IDR Indonesian Rupiah (NDF) OMR Omani Rial UGX Ugandan Shilling 

BDT Banglaldesh Taka ILS Israeli Shekel PAD Panamanian Balboa USD US Dollar 

BGD Bulgarian Lev INR Indian Rupee (NDF) PEN Peruvian New Sol USDCLF Chilean Unidad SP 

BHD Bahraini Dinar ISK Iceland Krona PGK Papua N.G. Kina x10000 

BIF Burundi Franc JMD Jamaica Dollar PHP Philippines Peso (NDF) UYU Uruguay Peso 

BMD Bermudian Dollar JOD Jordanian Dinar PKR Pakistani Rupee UZS Uzbekistan Sum 

BND Brunei Dollar JPY Japanese Yen PLN Polish Zloty VEE Venezuela Essential Rate 

BOB Bolivian Boliviano KES Kenyan Shilling PTE Portuguese Escudo VEF Venezuelan Bolivar 

BRL Brazilian Real (NDF) KGS Kyrgyzstan Som PYG Paraguay Guarani VND Vietnamese Dong (NDF) 

BSD Bahamas Dollar KHR Cambia Riel WAR Qatari Riyal VUV Vanuatu Vatu 

BWP Botswana Pula KMF Comoros Franc ROL Romanian Leu WST Samoa (West) Tala 

BYR Belarus Ruble KRW South Korean Won (NDF) RON New Romanian Leu XAF CFA Franc Beac 

BZD Belize Dollar KWD Kuwaiti Dinar RSD Serbian Dinar XCD East Caribbean Dollar 

CAD Canadian Dollar KYD Cayman Islands Dollar RUB Russian Ruble (NDF) XDR Special Drawing Rights 

CDF Congolese Franc KZT Kazakhstan Tenge RWF Rwanda Franc XOF CFA Franc Bceao 

CHF Swiss Franc LAK Laos Kip SAR Saudi Riyal XPF Pacific Island Franc 

CLF Chilean UF LBP Lebanese Pound SBD Solomon Is. Dollar XSU Sucre 

CLP Chilean Peso LKR Sri Lankan Rupee SCR Seychelles Rupee YER Yemeni Rial 

CNY China Renminbi (NDF) LTL Lithuanian Litas SDD Sudanese Dinar ZAR S. African Rand 

COP Colombian Peso LVL Latvian Lats SDG New Sudanese Pound ZMK Zambian Kwacha 

CRC Costa Rican Colon MAD Moroccan Dirham SDP Old Sudanese Pound ZMW Zambia Kwacha (NDF) 

CVE Cape Verde Escudo MDL Moldova Leu SEK Swedish Korna ZWR Zimbabwe Dollar 

CZK Czech Koruna MGA Malagascy Ariary SGD Singapore Dollar 

DJF Djibouti Franc MKD Macedonia Denar SIT Slovenia Tolar 

DKK Danish Krone MMK Myanmar Kyat SKK Slovakia Koruna 

DOP Dominican Repb. MNT Mongolian Togrog SLL Sierra Leone Leone 

DZD Algerian Dinar MOP Macau Pataca SOS Somali Shilling 

EGP Egyptian Pound (NDF) MRO Mauritania Ouguiya SRD Suriname Dollar 

ERN Eritrean Nakfa MUR Mauritius Rupee SSP South Sudanese Pound 

EUR Euro MVR Maldives Rufiyaa STD Sao Tome Dobra 

FJD Fiji Dollar MWK Malawi Kwacha SVC El Salvador Colon 
Annex A 

Excerpt from ISDA Dodd Frank Act-Swap Transaction 

Reporting Party Requirements 

Product Attribute Determination 

RP Tiebreaker Logic  ‐ Rates

Trade Type Explanation Reporting Party

Cap/ Floor When a single Fixed Rate Payer exists Fixed Rate Payer. Otherwise, Reverse ASCII sort, first LEI/Entity ID

Debt Option All Option Buyer

Exotic All Reverse   ASCII sort, first LEI/Entity ID

FRA All Fixed Rate Payer

IRS Basis All Reverse   ASCII sort, first LEI/Entity ID

IRS Fix‐Fix All Reverse   ASCII sort, first LEI/Entity ID

IRS Fix‐Float All Fixed Rate Payer

IRSwap: Inflation When a single Fixed Rate Payer exists Fixed Rate Payer. Otherwise, Reverse ASCII sort, first LEI/Entity ID

IRSwap: OIS All Fixed Rate Payer

Swaption All Option Buyer

XCCY Basis All Reverse   ASCII sort, first LEI/Entity ID

XCCY Fix‐Fix All Reverse   ASCII sort, first LEI/Entity ID

XCCY Fix‐Float All Fixed Rate Payer

Tiebreaker Logic

When the participant identifier tiebreaker is invoked the following processes will be used: 

1a. Determining identifiers 

When an entity has multiple entity identifiers (“IDs”), the following hierarchy 

will be used to determine which entity ID to use in the RP determination logic: 

(A) LEI/CICI is used before DTCC GTR ID which is used before an 

AVOX ID which is used before any other identifier. 

1b. Identifier Tiebreaker Logic Scenarios 

i. When both firms must have an LEI/CiCI then rank based on the two LEI/CICIs. 

ii. When one firm has an LEI/CICI and the other firm has a DTCC ID but 

does not have an LEI then rank based on the comparison of the LEI/CICI to 

the DTCC ID. 

iii. When one firm has an LEI/CICI and the other firm has an AVOX ID but 

does not have an LEI then rank based on the comparison of the LEI/CICI to 

the AVOX ID. 
iv. When neither firm has an LEI/CICI and both firms have a DTCC ID 

then rank based on the two DTCC IDs. 

v. When neither firm has an LEI/CICI and one firm has a DTCC ID and the 

other firm has only an AVOX ID then rank based on the comparison of the 

DTCC ID to the AVOX ID. 

vi. A firm will be the RP when that firm has a DTCC ID or LEI/CICI and the other 

has neither an LEI/CICI nor a DTCC ID nor an AVOX ID. Please note that in all 

cases the RP will have a DTCC ID and by extension will have an LEI/CICI. 

2. Determining sort order of identifiers 

(A) LEI/CICI, DTCC GTR IDs, and AVOX IDs are comprised of characters 

from the following set {0‐9, A‐Z}. 

(B) For avoidance of doubt, before comparing IDs convert all IDs to UPPER CASE 

only.

(C) For comparison basis the sort order will be reverse ASCII sort order. 

For avoidance of doubt the following are sort order of precedence: 

(D) Z, Y, X, W, V, U, T, S, R, Q, P, O, N, M, L, K, J, I, H, G, F, E, D, C, B, A, 9, 

8, 7, 6, 5, 4, 3, 2, 1, 0.

3. When comparing two IDs the RP will be the firm with the first ID in the list when sorted 

in reverse ASCII sort order. 

 

 
C-1 

Exhibit C 

Rulebook (marked) 

[see attached] 
600411526600427752

BLOOMBERG SEF LLC 

RULEBOOK 

JANUARY 14MAY 17, 2019 
ii 

CHAPTER 1. DEFINITIONS .......................................................................................................11

CHAPTER 2. SEF GOVERNANCE .........................................................................................1313

RULE 201. Board ..................................................................................................................1313

RULE 202. [Reserved] ..........................................................................................................1414

RULE 203. [Reserved] ..........................................................................................................1414

RULE 204. Regulatory Oversight Committee ......................................................................1414

RULE 205. Additional Committees and Panels ....................................................................1515

RULE 206. Power of the Board to Review Decisions ..........................................................1515

RULE 207. Eligibility ...........................................................................................................1515

RULE 208. Officers ..............................................................................................................1717

RULE 209. Chief Compliance Officer ..................................................................................1717

RULE 210. Conflicts of Interest............................................................................................1818

RULE 211. Restrictions on Certain Persons who Possess Material, Non-Public 

Information: Improper Use or Disclosure of Material Non-Public Information ...20

RULE 212. Emergency Rules ...............................................................................................2121

RULE 213. Information-Sharing Agreements ......................................................................2222

RULE 214. Regulatory Services Agreement with the Regulatory Services Provider ..............23

CHAPTER 3. PARTICIPANTS ................................................................................................2323

RULE 301. Eligibility Criteria for Becoming a Participant ..................................................2323

RULE 302. Authorized Traders ............................................................................................2525

RULE 303. Participant Application Process; Termination of Participant .............................2626

RULE 304. Trading Privileges of a Participant ....................................................................2727

RULE 305. Termination or Limitation of Trading Privileges and Trading Access ..................27

RULE 306. Assessments and Fees ........................................................................................2828

RULE 307. Authorized Representatives ...............................................................................2828

RULE 308. Recording of Communications ..........................................................................2828

RULE 309. Notices to Participants .......................................................................................2828

RULE 310. Communications between BSEF and Participants .............................................2929

RULE 311. Application of BSEF Rules and Jurisdiction .....................................................2929

RULE 312. Description of Participant’s Status .....................................................................2929

RULE 313. Dissolution of Participants .................................................................................3030

RULE 314. Withdrawal of Participant ..................................................................................3030

RULE 315. Compliance with the Commodity Exchange Act ...............................................3030

RULE 316. Access ................................................................................................................3030

RULE 316.A. ECP Access ........................................................................................................3030

RULE 316.B. ISV Access .........................................................................................................3030

RULE 317. Direct Market Access .........................................................................................3030

RULE 318. Legal Certainty for SEF Trades .........................................................................3131

RULE 319. Rights and Responsibilities after Suspension or Termination ...........................3131

CHAPTER 4. OBLIGATIONS OF PARTICIPANTS, ACCOUNT MANAGERS, DMA 

CUSTOMERS, AUTHORIZED TRADERS AND SUPERVISED 

PERSONS ..............................................................................................................32
iii 

RULE 401. Duties and Responsibilities ................................................................................3232

RULE 402. Required Disclosures to BSEF...........................................................................3333

RULE 403. Inspections by BSEF ..........................................................................................3434

RULE 404. Minimum Financial and Related Reporting Requirements ...............................3434

RULE 405. Position Liquidation upon Default .....................................................................3535

RULE 406. Authority to Impose Restrictions .......................................................................3535

RULE 407. Customers and Accounts ....................................................................................3535

RULE 408. Disclosure Requirements; Know Your Counterparty Requirements .................3535

RULE 409. Books and Records ............................................................................................3535

RULE 409.A. Participant and Clearing Member Books and Records ......................................3535

RULE 409.B. BSEF Books and Records ..................................................................................3737

RULE 410. Responsibility for Mandatory Trading ...............................................................3737

RULE 411. Eligibility for Clearing Exempt Transactions ....................................................3737

CHAPTER 5. TRADING PRACTICES, REPORTING, CLEARING AND BUSINESS 

CONDUCT ........................................................................................................3737

RULE 501. Scope ..................................................................................................................3737

RULE 502. Procedures ..........................................................................................................3737

RULE 503. Business Days and Trading Hours .....................................................................3838

RULE 504. Rule Violations ..................................................................................................3838

RULE 505. Fraudulent Acts ..................................................................................................3838

RULE 506. Fictitious, Wash or Pre-Arranged Transactions .................................................3939

RULE 507. Pre-Execution Communications ........................................................................3939

RULE 508.A Price Manipulation .............................................................................................3939

RULE 508.B Disruptive Practices ...........................................................................................3939

RULE 509. Prohibition of Misstatements .............................................................................3939

RULE 510. Acts Detrimental to Welfare of SEF ..................................................................4040

RULE 511. Adherence to Law ..............................................................................................4040

RULE 512. Use of Trading Privileges ..................................................................................4040

RULE 513. Supervision ........................................................................................................4040

RULE 514. Misuse of the SEF Platform ...............................................................................4040

RULE 515. Mishandling of Customer Orders.......................................................................4141

RULE 516. Trade Cancellation, Correction, Offset and Adjustment ...................................4141

RULE 516.A Trade Review and Notification of Action Taken – Cleared Swaps ...................4141

RULE 516.B Error Trade Cancellation, Correction, Adjustment and Offset – Cleared 

Swaps .................................................................................................................4242

RULE 516.C Erroneous Trade Cancellation, Correction and Adjustment – Non-Cleared 

Swaps .....................................................................................................................44

RULE 516.D Prime Broker Trades ..........................................................................................4444

RULE 516.E Trade Cancellation and Adjustment by BSEF ...................................................4545

RULE 516.F Trade Reporting by BSEF ..................................................................................4545

RULE 517. Withholding Orders Prohibited ..........................................................................4545

RULE 518. Priority of Customers’ Orders ............................................................................4545

RULE 519. Trading Against Customers’ Orders Prohibited ................................................4646

RULE 519.A. General Prohibition ............................................................................................4646

RULE 519.B. Exceptions ..........................................................................................................4646
iv 

RULE 520. Disclosing Orders Prohibited .............................................................................4646

RULE 521. Simultaneous Buy And Sell Orders For Different Beneficial Owners ..............4646

RULE 522. Execution of Orders on the SEF Platform .........................................................4646

RULE 522.A. Required Transactions .......................................................................................4646

RULE 522.B. Permitted Transactions ......................................................................................4747

RULE 522.C. Package Transactions .........................................................................................4747

RULE 522.D. Execution of Swaps Subject to the Clearing Exemption ...................................4848

RULE 522.E. Block Trades ......................................................................................................4848

RULE 523. Trade Confirmations ..........................................................................................4848

RULE 524. Order Entry Requirements .................................................................................5050

RULE 524.A. General ...............................................................................................................5050

RULE 524.B. Customer Type Indicator (CTI) Codes ..............................................................5151

RULE 524.C. Pre-Arranged Transactions ................................................................................5151

RULE 525. Position Limits ...................................................................................................5151

RULE 526. Exemptions from Position Limits ......................................................................5252

RULE 527. Position Accountability ......................................................................................5252

RULE 528. Bunched Orders and Orders Eligible for Post-Execution Allocation ................5252

RULE 529. Orders Entered Prior to SEF Opening ...............................................................5353

RULE 530. Identification of Authorized Traders .................................................................5353

RULE 531. Pre-Arranged Transactions ................................................................................5353

RULE 531.A. Block Trades ......................................................................................................5353

RULE 531.B. Trade Correction ................................................................................................5454

RULE 531.C. Covered Package Transactions ..........................................................................5454

RULE 532. Reporting to SDR ...............................................................................................5555

RULE 533. Cleared Swaps ....................................................................................................5555

RULE 534. Non-Cleared Swaps ...........................................................................................5656

RULE 535. Risk Controls .....................................................................................................5656

CHAPTER 6. DISCIPLINARY RULES ...................................................................................5757

RULE 601. General ...............................................................................................................5757

RULE 602. Inquiries and Investigation .................................................................................5858

RULE 603. Investigative Reports .........................................................................................5959

RULE 604. Warning Letters .................................................................................................5959

RULE 605. Review of Investigation Reports ........................................................................5959

RULE 606. [Reserved] ..........................................................................................................6161

RULE 607. Notice of Charges ..............................................................................................6161

RULE 608. Service of Notice of Charges .............................................................................6161

RULE 609. Answer to Notice of Charges .............................................................................6161

RULE 610. Admission or Failure to Deny ............................................................................6262

RULE 611. Denial of Charges and Right to a Hearing .........................................................6262

RULE 612. Settlements .........................................................................................................6262

RULE 613. Disciplinary Panel ..............................................................................................6464

RULE 614. Convening Disciplinary Proceeding Hearings ...................................................6464

RULE 615. Respondent Review of Evidence .......................................................................6565

RULE 616. Conducting Disciplinary Proceeding Hearings ..................................................6666

RULE 617. Decision of Disciplinary Panel ..........................................................................6767
v 

RULE 618. Sanctions ............................................................................................................6868

RULE 619. Costs ...................................................................................................................6969

RULE 620. Right to Appeal Disciplinary Panel Decision, Summary Impositions of Fines 

and Other Summary Actions ..................................................................................69

RULE 621. Summary Imposition of Fines ............................................................................7171

RULE 622. Hearings Involving BSEF-Affiliated Trading Entities ......................................7272

RULE 623. [Reserved] ..........................................................................................................7373

RULE 624. Notice to the Respondent, the Regulatory Services Provider and the Public ........73

CHAPTER 7. ARBITRATION .................................................................................................7373

RULE 701. General ...............................................................................................................7373

RULE 702. Forum and Arbitration Rules .............................................................................7373

RULE 703. Initiating an Arbitration Claim...........................................................................7474

RULE 704. Claims Relating to Trade Cancelations or Price Adjustments ...........................7474

RULE 705. Penalties .............................................................................................................7474

CHAPTER 8. MISCELLANEOUS ...........................................................................................7474

RULE 801. Anti-Money Laundering and Anti-Terrorism ....................................................7474

RULE 802. Gifts and Gratuities ............................................................................................7474

RULE 803. Market Data .......................................................................................................7474

RULE 804. Prohibited Use of Data Collected for Regulatory Purposes ...............................7575

RULE 805. Confidentiality ...................................................................................................7575

RULE 806. Extension or Waiver of BSEF Rules .................................................................7676

RULE 807. Effect of Amendment, Repeal or New Rule ......................................................7676

RULE 808. Swap Contract Specifications ............................................................................7676

RULE 809. Timely Publication of Trading Information .......................................................7777

RULE 810. Governing Law, Jurisdiction and Dispute Resolution .......................................7777

CHAPTER 9. LIMITATION OF LIABILITY, NO WARRANTIES .......................................7878

RULE 901. LIMITATION OF LIABILITY, NO WARRANTIES ......................................7878

RULE 902. Indemnification by BSEF ..................................................................................8181

CHAPTER 10. [RESERVED] ...................................................................................................8181

CHAPTER 11. [RESERVED] ...................................................................................................8181

CHAPTER 12. CREDIT CONTRACTS TERMS AND CONDITIONS ..................................8282

RULE 1201. CDS Index Contract – North America High Yield ............................................8282

RULE 1202. CDS Index Contract – North America Investment Grade .................................8383

RULE 1203. CDS Index Contract – CDX Emerging Markets ................................................8484

RULE 1204. CDS Index Contract – Europe ...........................................................................8585

RULE 1205. CDS Index Contract – Europe Crossover ..........................................................8686

RULE 1206. CDS Index Contract – Europe HiVol ................................................................8787

RULE 1207. CDS Index Contract – iTraxx Europe Senior Financial ....................................8888
vi 

RULE 1208. CDS Index Contract – iTraxx SovX Western Europe .......................................8989

RULE 1209. CDS Index Contract – iTraxx Europe Subordinated Financial .........................9090

RULE 1210. CDS Index Contract – iTraxx Japan ..................................................................9191

RULE 1211. CDS Index Contract – iTraxx Australia .............................................................9292

RULE 1212. MAT CDS Index Contracts – North America Investment Grade 5Y ................9393

RULE 1213. MAT CDS Index Contract – North America High Yield 5Y ............................9494

RULE 1214. MAT CDS Index Contract –iTraxx Europe 5Y .................................................9595

RULE 1215. MAT CDS Index Contract –iTraxx Europe Crossover 5Y ................................9696

RULE 1216. Option – CDS Index Contract CDX North America High Yield ......................9797

RULE 1217. Option – CDS Index Contract CDX North America Investment Grade ............9898

RULE 1218. Option – CDS Index Contract – CDX Emerging Markets ................................9999

RULE 1219. Option – CDS Index Contract – iTraxx Europe .............................................100100

RULE 1220. Option – CDS Index Contract – iTraxx Europe Crossover ...........................101101

RULE 1221. Option – CDS Index Contract – iTraxx Europe HiVol ..................................102102

RULE 1222. CDS Index Contract – iTraxx Corp CEEMEA ..............................................103103

RULE 1223. CDS Index Contract – LCDX ........................................................................104104

RULE 1224. CDS Index Contract – MCDX .......................................................................105105

RULE 1225. Option – CDS Index Contract – iTraxx SovX Western Europe ....................106106

RULE 1226. Option – CDS Index Contract – LCDX .........................................................107107

RULE 1227. Option – CDS Index Contract – MCDX ........................................................108108

RULE 1228. CDS Index Contract – iTraxx Asia Ex-Japan ................................................109109

RULE 1229. CDS Index Contract – iTraxx Europe Non-Financial ....................................110110

CHAPTER 13. RATES CONTRACTS TERMS AND CONDITIONS ...............................111111

RULE 1301. AUD BBR-BBSW Fixed-to-Floating Swap Contract ...................................111111

RULE 1302. [Reserved] ......................................................................................................112112

RULE 1303. EUR Euribor Fixed-to-Floating Swap Contract* ..........................................113113

RULE 1304. [Reserved] ......................................................................................................114114

RULE 1305. [Reserved] ......................................................................................................114114

RULE 1306. [Reserved] ......................................................................................................114114

RULE 1307. EUR OIS Eonia Fixed-to-Floating Swap Contract ........................................115115

RULE 1308. USD OIS Fed Funds Fixed-to-Floating Swap Contract ................................116116

RULE 1309. CHF LIBOR Fixed-to-Floating Swap Contract .............................................117117

RULE 1310. GBP LIBOR Fixed-to-Floating Swap Contract* ...........................................118118

RULE 1311. GBP Basis Swap Contract .............................................................................119119

RULE 1312. JPY LIBOR (6M) Fixed-to-Floating Swap Contract .....................................120120

RULE 1313. [Reserved] ......................................................................................................121121

RULE 1314. USD LIBOR Fixed-to-Floating Swap Contract* ...........................................122122

RULE 1315. USD Basis Swap Contract .............................................................................123123

RULE 1316. [Reserved] ......................................................................................................124124

RULE 1317. SEK STIBOR (3M) Fixed-to-Floating Swap Contract ..................................125125

RULE 1318. USD SOFR OIS Fixed-to-Floating Swap Contract .......................................126126

RULE 1319. [Reserved] ......................................................................................................127127

RULE 1320. [Reserved] ......................................................................................................127127

RULE 1321. [Reserved] ......................................................................................................127127

RULE 1322. [Reserved] ......................................................................................................127127
vii 

RULE 1323. [Reserved] ......................................................................................................127127

RULE 1324. [Reserved] ......................................................................................................127127

RULE 1325. [Reserved] ......................................................................................................127127

RULE 1326. [Reserved] ......................................................................................................127127

RULE 1327. CAD CDOR CBA (3M) Fixed-to-Floating Swap Contract ...........................128128

RULE 1328. Interest Rate MXN TIIE (28D) Fixed-To-Floating Swap Contract ...............129129

RULE 1329. [Reserved] ......................................................................................................130130

RULE 1330. [Reserved] ......................................................................................................130130

RULE 1331. AUD OIS RBACOR Fixed-to-Floating Swap Contract ................................131131

RULE 1332. [Reserved] ......................................................................................................132132

RULE 1333. GBP OIS SONIA Fixed-to-Floating Swap Contract .....................................133133

RULE 1334. Option – USD LIBOR Fixed-to-Floating Swap Contract ..............................134134

RULE 1335. NOK NIBOR Fixed-to-Floating Swap Contract ............................................135135

RULE 1336. DKK CIBOR Fixed-to-Floating Swap Contract ............................................136136

RULE 1337. HKD HIBOR Fixed-to-Floating Swap Contract ............................................137137

RULE 1338. PLN WIBOR Fixed-to-Floating Swap Contract ............................................138138

RULE 1339. ZAR JIBAR Fixed-to-Floating Swap Contract..............................................139139

RULE 1340. SGD SIBOR Fixed-to-Floating Swap Contract .............................................140140

RULE 1341. HUF BUBOR Fixed-to-Floating Swap Contract ...........................................141141

RULE 1342. KRW South Korean Won 3 Month Certificate of Deposit Fixed-to-Floating 

Swap Contract ......................................................................................................142

RULE 1343. CZK PRIBOR Fixed-to-Floating Swap Contract ..........................................143143

RULE 1344. CLP Indice Cámara Promedio Rate Fixed-to-Floating Swap Contract .........144144

RULE 1345. MYR KLIBOR Fixed-to-Floating Swap Contract .........................................145145

RULE 1346. TWD TAIBOR Fixed-to-Floating Swap Contract .........................................146146

RULE 1347. INR OIS FBIL MIBOR Fixed-to-Floating Swap Contract ............................147147

RULE 1348. BRL Brazilian Interfinancial Offered Rate (1D) Zero Coupon Fixed-toFloating Swap Contract ..................................................................................148148

RULE 1349. THB Thai Baht Interest Rate Fixing (6M) Fixed-to-Floating Swap Contract .....149

RULE 1350. CNY China Fixing Repo (7D) Rate Fixed-to-Floating Swap Contract .........150150

RULE 1351. NZD BKBM Fixed-to-Floating Swap Contract ...................................................151

RULE 1352. CHF SARON Fixed-to-Floating Swap Contract .................................................152

CHAPTER 14. FOREIGN EXCHANGE CONTRACTS TERMS AND CONDITIONS ..........153

RULE 1401. Foreign Exchange Contract – Non-Deliverable Forward ....................................153

RULE 1402. Foreign Exchange Contract – Vanilla FX Option ................................................159

RULE 1403. Foreign Exchange Contract – Exotic FX Option .................................................161

RULE 1404. Foreign Exchange Contract – Precious Metals Swaps ........................................163

RULE 1405. Foreign Exchange Contract – Average Rate Forward .........................................165

RULE 1406. Foreign Exchange Contract – ARS Non-Deliverable Forward ...........................167

RULE 1407. Foreign Exchange Contract – KES Non-Deliverable Forward ......................169169

Annex A ISDA Dodd Frank Act-Swap Transaction Reporting Party Requirements 
viii 
1 

CHAPTER 1. DEFINITIONS 

When used in the Bloomberg BSEF Rules the following terms shall have the respective 

meanings as follows: 

“Account” means a Person (including a Prime Broker) that (i) granted in 

Writing (standalone or as part of a broader instrument) to an Account 

Manager investment or trading authority to send RFQs, place Orders and 

execute Trades on the SEF on behalf and in the name of such Person; and 

(ii) is a Counterparty to a Trade. The definition of “Account” shall not 

include any investor, shareholder or any other Person with beneficial 

ownership in the Account. 

“Account Manager” means a Person that acts as an agent and attorney-infact to buy or sell Swaps via the SEF operated by BSEF in the name and 

on behalf of another Person. An Account Manager may also be a 

Participant. 

“Act” or “CEA” means the Commodity Exchange Act, as amended from 

time to time. 

“Affected Person” means a SEF applicant whose admission application is 

declined or is conditioned or a Person whose status as a Participant is 

terminated as set forth in Rule 303(e). 

“Affiliate” means, with respect to any Person, any Person who, directly or 

indirectly, Controls, is Controlled by, or is under common Control with, 

such other Person. 

“Alleged Error Trade” has the meaning set forth in Rule 516.A(a). 

“Appeals Panel” means a panel appointed by the Chief Compliance 

Officer pursuant to Rule 620. 

“Applicable Law” means, with respect to any Person, any statute, law, 

regulation, rule or ordinance of any governmental or Self-Regulatory 

Organization applicable to such Person, including the CEA and CFTC 

Regulations. 

“Appropriate Minimum Block Size” means the minimum notional or 

principal amount for a category of Swap that qualifies as a Block Trade 

pursuant to CFTC Regulation 43.6.

“Authorized Representative” means any Person who is authorized by a 

Participant to represent the Participant in SEF matters pursuant to Rule 

307. 

“Authorized Trader” means any natural person associated with a 

Participant and, if applicable, a DMA Customer who (i) has Trading 
2 

Access to the SEF operated by BSEF using a Participant ID and (ii) is 

assigned a valid Trader ID. 

“Block Trade” means a single Swap transaction publicly reportable under 

Part 43 of the CFTC Regulations that: 

(a) Involves a Swap that is listed on BSEF; 

(b) Occurs away from the SEF Platform or is executed pursuant to 

Rule 522.E.; 

(c) Has a notional or principal amount at or above the Appropriate 

Minimum Block Size applicable to such Swap; and 

(d) Is (i) executed in accordance with Rule 522.E; or (ii) reported to 

BSEF as provided in Rule 531.A. 

“Board” means the Board of Directors of BSEF constituted from time to 

time in accordance with the Operating Agreement. 

“BSEF” means Bloomberg SEF LLC, a Delaware limited liability 

company. 

“Bunched Orders” means a single Order placed by an Account Manager 

for two or more of its Accounts on the SEF operated by BSEF pursuant to 

Rule 528. 

“Business Day” means a day on which the SEF operated by BSEF is open 

for trading. 

“By-Laws” means, with respect to any Person that is not an individual, the 

By-Laws or Operating Agreement of such Person, and, if no other Person 

is specified, means the By-Laws or Operating Agreement of BSEF. 

“CFTC” or “Commission” means the Commodity Futures Trading 

Commission or any successor regulatory body. 

“CFTC Regulations” means the rules and regulations promulgated by the 

CFTC, as amended. 

“Chief Compliance Officer” means the individual appointed by the 

Board as BSEF’s chief compliance officer in accordance with the 

Operating Agreement, with the duties and responsibilities as may be 

prescribed by the Board from time to time as set forth in Rule 208. 

“Claim” has the meaning set forth in Rule 902. 

“Chief Technology Officer” means the individual with the duties and 

responsibilities related to supervision of technology of the SEF operated 

by BSEF. 
3 

“Cleared Swap” means a Swap that is subject to the mandatory clearing 

requirement of Section 2(h)(1)(A) of the CEA or any Swap that is 

intended by a Participant to be submitted to a DCO for clearing 

contemporaneously with execution. 

“Clearing Exception” means an exception from the clearing requirement 

set forth in Section 2(h)(1) of the Act because one counterparty to the 

transaction is entitled to the exception from the clearing requirement set 

forth in Section 2(h)(7) of the Act, CFTC Regulations or CFTC Staff NoAction Letters.

“Clearing Exception Form” has the meaning set forth in Rule 411. 

“Clearing Exempt Transaction” means a Trade exempt from the 

clearing requirement of Section 2(h)(1) of the Act because one 

Counterparty to the Trade is entitled to and has elected to use a Clearing 

Exception. 

“Clearing House” means such Derivatives Clearing Organization(s) or 

non-U.S. central clearing counterparty(ies) recognized or approved by the 

CFTC that provide clearing services with respect to any or all of Swaps 

traded on the SEF operated by BSEF. 

“Clearing House Rules” means the Certificate of Incorporation, the ByLaws and any rule, interpretation, stated policy, or instrument 

corresponding to any of the foregoing, in each case as adopted or amended 

from time to time by the Clearing House relating to any or all of the 

Swaps. 

“Clearing Member” means a member of a Clearing House that is 

authorized to clear trades in any or all Swaps for a Participant or its 

Accounts or Customers. Each Clearing Member must sign documentation 

required by BSEF. 

“Client” means an Account. 

“CLOB” means an Order Book that will match Orders pursuant to pre-determined, nondiscretionary methods. All bids and offers entered into the CLOB must be firm. The 

CLOB supports the following order types: 

(a) Market Order (Fill_Or_Kill; Immediate_or_Cancel) 

(b) Limit Order (Fill_Or_Kill; Immediate_Or_Cancel; Good_Til_Date/Time). 

 

“Compliance Department” means all SEF Officials and/or agents of 

BSEF (including the Regulatory Services Provider) that assist BSEF with 

the implementation, surveillance and enforcement of the BSEF Rules and 

other Obligations. 
4 

“Confirmation” has the meaning set forth in Rule 523(a). 

“Control” means the possession, direct or indirect, of the power to direct 

or cause the direction of the management and policies of a Person, 

whether through the ownership of securities, by Swap, or otherwise. The 

terms “controlling” or “controlled” shall have meanings correlative to the 

foregoing. 

“Counterparty” means a Participant or a Participant’s Account or 

Customer whose Legal Entity Identifier is reported by BSEF to an SDR as 

a counterparty to a Trade. 

“Covered Package Transaction” means a Package Transaction that has 

at least one or more of the following components: 

a. a new issue bond (until November 15, 2020) 

b. a future (until November 15, 2020) 

c. an uncleared swap (as defined in Section 1a(47) of the CEA) (until 

November 15, 2020) 

d. a non-swap (as defined in Section 1a(47) of the CEA) instrument 

other than an instrument listed in subsections a or b above or a 

Treasury bond (until November 15, 2020); or 

e. a security-based swap (as defined in Section 1a(42) of the CEA) or 

a mixed swap (as defined in Section 1a(47)(D) of the CEA) (until 

November 15, 2020). 

“CTI” has the meaning set forth in Rule 524.B. 

“Customer” means any Person who uses an FCM or Introducing Broker 

as agent in connection with trading in any Swap on the SEF operated by 

BSEF. The term “Customer” shall include a DMA Customer. 

“Customer Account” means an account carried by a Participant on behalf 

of a Customer.

“Daily Settlement Price” means the settlement price for a Swap 

calculated each Business Day by or on behalf of BSEF. The Daily 

Settlement Price can be expressed in currency, spread, yield or any other 

appropriate measure commonly used in swap markets. 

“DCM” means a contract market or designated contract market as defined 

in CFTC Regulation 1.3(h). 

“Derivatives Clearing Organization” or “DCO” has the meaning 

attributed to such term by Section 1a(9) of the CEA. 
5 

“Direct Market Access” or “DMA” means an arrangement among a 

Sponsoring Broker, its Customer and BSEF that allows one or more 

representatives of that Customer to have Trading Access using the 

Participant ID of the Sponsoring Broker. 

“Director” means a member of the Board. 

“Disciplinary Panel” means the panel appointed pursuant to Rule 613(b) 

to conduct hearings in connection with disciplinary proceedings (other 

than summary impositions of fines pursuant to Rule 601(b)), to make 

findings, render decisions, and impose sanctions pursuant to Chapter 6 of 

the Rules. The Disciplinary Panel must meet the composition 

requirements set forth in Part 40 of the CFTC Regulations and the 

composition requirements set forth in Rule 613(b). 

“Disclosed Order Book” means a screen on the SEF Platform where 

Participants have the ability to enter multiple indicative, disclosed bids 

and offers in foreign exchange and commodity Swaps, observe or receive 

bids and offers entered by other market participants, and transact on such 

bids and offers. 

“Dispute” has the meaning set forth in Rule 701. 

“DMA Customer” means a Customer of a Sponsoring Broker where 

representatives of the Customer that are natural persons are designated by 

the Sponsoring Broker to have Trading Access to the SEF Platform using 

the Participant ID of the Sponsoring Broker and where such Customer 

signs the DMA Customer Documentation. 

“DMA Customer Documentation” means the agreements (together with 

any applicable schedules, exhibits or appendices thereto required by BSEF) 

in form and substance acceptable to BSEF, that are required to be 

executed and delivered to BSEF before a DMA Customer may access the 

SEF Platform. Except as otherwise provided in these Rules, in the event 

of any conflict between these Rules and the DMA Customer 

Documentation, these Rules shall govern. 

“DMA Order” means an Order or RFQ placed by a DMA Customer using 

the Participant ID of the Sponsoring Broker. 

“ECP” means an eligible contract participant as defined in Section 1a(18) 

of the CEA. 

“Eligibility Criteria” means the criteria set forth in Rule 301(a). 

“Emergency” means any occurrence or circumstance that, in the opinion 

of the Board, or a Person or Persons duly authorized to issue such an 

opinion on behalf of the Board under circumstances and pursuant to 

procedures that are specified, requires immediate action and threatens or 
6 

may threaten such things as the fair and orderly trading in, or the 

liquidation of or delivery pursuant to, any agreements, contracts, swaps or 

transactions or the timely collection and payment of funds in connection 

with clearing and settlement by a derivatives clearing organization, 

including: (a) any manipulative or attempted manipulative activity; (b) any 

actual, attempted or threatened corner, squeeze, congestion or undue 

concentration of positions; (c) any circumstances which may materially 

affect the performance of agreements, contracts, swaps or transactions, 

including failure of the payment system or the bankruptcy or insolvency of 

any participant; (d) any action taken by any governmental body, or any 

other registered entity, board of trade, market or facility which may have a 

direct impact on trading or clearing and settlement; (e) at the request of the 

CFTC; and (f) any other circumstance which may have a severe, adverse 

effect upon the functioning of BSEF. 

“Emergency Rules” has the meaning set forth in Rule 212(a). 

“End of Trading” means such time as BSEF may from time to time 

prescribe. The End of Trading is the time as of which such actions as are 

specified in the BSEF Rules or the relevant Swap Specifications as taking 

place at the end of a Business Day, such as determination Daily Settlement 

Prices, will occur. 

“Error Trade” has the meaning set forth in Rule 516.A(b). 

“Fill-Or-Kill” means that the Order must be immediately filled 

completely or canceled. 

“Financial Entity” has the meaning set forth in CEA Section 2(h)(7)(C). 

“Futures Commission Merchant” or “FCM” has the meaning set forth 

in Section 1a(28) of the CEA. 

“Good-til-Date/Time” means that the Order has an expiration time and 

date. 

“Governmental Body” means (a) any U.S. or non-U.S. federal, national, 

state or local court or (b) any U.S. or non-U.S. federal, national, state or 

local entity that is (i) a governmental authority, (ii) a regulatory body or 

(iii) a self-regulatory body. 

“Immediate-Or-Cancel” means that the Order may be filled partially, but 

the Order must be actioned immediately, or else canceled. Any remaining 

portion will be canceled. 

“Interested Person” has the meaning attributed to such term in Rule 

210(a). 

“Introducing Broker” has the meaning set forth in CFTC Regulation 

1.3(mm). 
7 

“ISDA” means the International Swaps and Derivatives Association, Inc. 

“ISV” means an independent software vendor. 

“Legal Entity Identifier” has the meaning set forth in Part 45 of the 

 CFTC Regulations. 

“Local Law” has the meaning attributed to such term in Rule 810(a). 

“Major Swap Participant” has the meaning set forth in Section 1a(33) 

 of the CEA. 

“Manual Order Ticket” means a function provided by BSEF that allows 

a Participant to send a firm offer to enter into a Permitted Transaction to 

another Participant. 

“MAT Recipient Participant” shall have the meaning set forth in Rule 

522.A(b). 

“NFA” means the National Futures Association. 

“No-Bust Range” shall have the meaning set forth in Rule 535(c). 

“Non-Cleared Swap” means a Swap that is not a Cleared Swap. 

“Non-Cleared Swap Agreement” means an underlying previouslynegotiated freestanding agreement that governs the performance and 

settlement of a Non-Cleared Swap and applicable credit support and 

default provisions, including, without limitation, ISDA master agreements, 

other master agreements, terms supplements and master confirmation 

agreements incorporating industry definitions. 

“Notice of Charges” means a notice sent by the Compliance Department 

pursuant to Rule 607. 

“Notice to Participants” means a communication sent by or on behalf of 

BSEF to all Participants as described in Rule 310. 

“Obligation” means each BSEF Rule, order or procedure issued by BSEF, 

including Notice to Participants, and other requirement implemented by 

BSEF under the BSEF Rules. 

“Officer” has the meaning attributed to such term in Rule 208. 

“Operating Agreement” means the operating agreement of BSEF. 

“Order” means (i) a response to a Request For Quote, (ii) a response to a 

Resting Quote, (iii) the display of a quote on an Order Book or (iv) a firm 

offer to enter into a Swap. 
8 

“Order Book” means the trading system or platform operated by BSEF in which all 

market participants in the trading system or platform have the ability to enter multiple 

bids and offers, observe or receive bids and offers entered by other market participants, 

and transact on such bids and offers. A Participant must indicate if a bid or offer posted 

on an Order Book is firm or indicative. 

“Package Transaction” means a transaction involving two or more 

instruments: 

(a) that is executed between two or more Counterparties; 

(b) that is priced or quoted as one economic transaction with 

simultaneous or near simultaneous execution of all components; 

(c) that has at least one component that is a Required Transaction; and 

(d) where the execution of each component is contingent upon the 

execution of all other components. 

“Participant” means any Person that has been granted, and continues to 

have, Trading Privileges under the BSEF Rules and has signed the 

Participant Documentation or DMA Customer Documentation. Subject to 

Applicable Law, a Participant may trade for its own proprietary account or 

for or on behalf of a Customer or Account. An ISV cannot be a 

Participant. 

“Participant Documentation” means the agreements (together with any 

applicable schedules, exhibits or appendices thereto required by BSEF) in 

form and substance acceptable to BSEF, that are required to be executed 

and delivered to BSEF before a Person may access the SEF operated by 

BSEF as a Participant. Participant Documentation shall not include DMA 

Customer Documentation. 

“Participant ID” means each unique identifier assigned to a Participant 

other than a DMA Customer by BSEF for access to the SEF operated by 

BSEF. 

“Permitted Transaction” means any transaction involving (i) a Swap that 

is not a Required Transaction or (ii) a Required Transaction that is a 

component of a Covered Package Transaction. 

“Person” means a natural person or an entity. 

“Pre-Execution Communication” means a communication between two 

Persons for the purpose of discerning interest in the execution of a Swap 

prior to execution of the Swap on the SEF operated by BSEF, including 

any communication that involves discussion of the size, side of market, or 

price of an Order or a potentially forthcoming Order; provided that any 

communication between two Persons that involves an agreement between 
9 

the parties to a Swap that legally binds the parties to such Swap shall not 

be considered a Pre-Execution Communication. 

“President” means the individual appointed by the Board as BSEF’s chief 

executive officer in accordance with the Operating Agreement, with the 

duties and responsibilities as may be prescribed by the Board from time to 

time as set forth in Rule 208. 

“Prime Broker” means a Person that acts as credit counterparty for 

transactions executed on the SEF in the name and on behalf of such 

Person by its client or an agent of its client that is a BSEF Participant and 

that has authorized a Participant to send RFQs, place Orders or enter into 

Trades in the name and on behalf of such Person. 

“Prime Broker Trade” means a Trade in a Non-Cleared Swap where one 

Counterparty is a Prime Broker and the other is a Participant with which the 

Prime Broker has a Non-Cleared Swap Agreement. Only a Permitted Transaction 

can be a Prime Broker Trade. 

“Proprietary Account” has the meaning set forth in 

CFTC Regulation 1.3(y). 

“Public Director” means a Person that meets the qualifications described 

in Rule 207(e). 

“Qualified Account Manager” means any Person with more than $25,000,000 in 

total assets under management that is either: (A) a commodity trading advisor 

registered pursuant to Section 4n of the Act, or exempt from registration under the 

Act, or a principal thereof, who has discretionary trading authority or directs 

client accounts; (B) an investment adviser who has discretionary trading authority 

or directs client accounts and satisfies the criteria of CFTC Regulations § 

4.7(a)(2)(v); or (C) a foreign person who performs a similar role or function as the 

persons described in sub-paragraphs (A) or (B) above and is subject as such to 

foreign regulation. 

“Regulatory Oversight Committee” means the committee of the Board 

constituted in accordance with Rule 204. 

“Regulatory Services Agreement” means the agreement between BSEF 

and the Regulatory Services Provider whereby the Regulatory Services 

Provider provides market surveillance and trade practice surveillance 

functions as well as other compliance related services to the SEF operated 

by BSEF. 

“Regulatory Services Provider” means the organization which provides 

regulatory services to BSEF pursuant to a Regulatory Services Agreement. 

“Reporting Counterparty” has the meaning set forth in Part 45 of the CFTC 

 Regulations. 
10 

“Reserve Price” means an Order that will be automatically sent to the 

recipient Participant that responds with a price that is at or better than the 

price designated in advance by the Requesting Participant. This order type 

is available for rate Swaps. 

“Request for Quote” or “RFQ” means an electronic message 

disseminated on the SEF Platform for the purposes of soliciting bids or 

offers for a specific Swap. 

“Request for Quote Functionality” means a functionality of the SEF 

Platform that allows a Requesting Participant to send an RFQ to buy or 

sell a Swap to any Participant, to which all such Participants may respond 

with a firm or indicative quote. An RFQ can be sent as a request for quote 

or as a request for streaming quote. All RFQs and responses to RFQs will 

disclose the name of the Person with which the Authorized Trader who 

placed an Order or sent an RFQ is associated in BSEF records. The 

Requesting Participant may accept a firm response to a request for quote 

from a recipient Participant. For requests for non-streaming quotes in 

credit Swaps, the Requesting Participant’s Order may be filled at the price 

the Requesting Participant accepted or at the subsequent price from the 

same recipient Participant if the subsequent price is more favorable to the 

Requesting Participant compared to responses to such request for quote 

from other recipient Participants received by the Requesting Participant 

during the same request for quote session. 

The Reserve Price order type is available for Request for Quote 

Functionality for requests for non-streaming quotes. 

“Requesting Participant” means a Participant initiating an RFQ. 

“Required Transaction” means any transaction involving a Swap that is 

subject to the trade execution requirement of Section 2(h)(8) of the Act. 

“Resting Quote” means any firm or indicative bid or offer displayed on 

an Order Book. 

“Rules” means, with respect to any Person, the rules of such Person and 

the interpretations, resolutions, orders, directives and procedures of the 

Person thereunder as in effect from time to time, and if no other Person is 

specified, means the Rules of the SEF operated by BSEF and the 

interpretations, resolutions, orders and directives and procedures of the 

SEF operated by BSEF thereunder as in effect from time to time. 

“SDR” means a swap data repository, as defined in Section 1a(48) of the 

CEA. 

“SEC” means the U.S. Securities and Exchange Commission. 
11 

“SEF” means a swap execution facility as defined in Section 1a(50) of the 

CEA. 

“SEF Action” and “SEF Actions” have the meanings attributed to such 

terms in Rule 210(a). 

“SEF Data” has meaning set forth in Rule 803(a). 

“SEF Activity” means business for which a Participant is subject to the 

BSEF Rules, which is purportedly conducted subject to the BSEF Rules, 

or which should have been conducted subject to the BSEF Rules including 

Permitted Transactions and Block Trades.

“SEF Official” means any Director or Officer of, or individual employed 

directly by, BSEF, the Regulatory Services Provider or any individual 

rendering similar services to BSEF under an administrative or similar 

agreement. 

“SEF Platform” means the electronic trading system of the SEF 

established and operated by BSEF, or any successor thereto, that is made 

available by BSEF to Participants for trading in Swaps. 

“SEF Proceeding” has the meaning attributed to such term in Rule 210(a). 

“Self-Regulatory Organization” or “SRO” shall, unless otherwise 

provided, have the meaning attributed to such term in CFTC Regulation 

1.3(ee) and, in addition, shall include a Derivatives Clearing Organization, 

and a registered futures association. BSEF is a self-regulatory organization. 

“Sponsoring Broker” means a Participant other than a DMA Customer 

that allows its designated Customers to access the SEF Platform using the 

Participant ID of the Participant and (i) with respect to Cleared Swaps, is a 

Clearing Member; and (ii) with respect to Non-Cleared Swaps, is (x) an 

FCM or Introducing Broker; or (y) non-U.S. Person acting in a similar 

capacity that is not required to register as an FCM or Introducing Broker 

under the Act and that is appropriately licensed in a jurisdiction where its 

DMA Customer is located. 

“Supervised Persons” means any directors, officers, employees or agents 

of any Participant. 

“Swap” means any agreement, contract or transaction that is a swap as 

defined in Section 1a(47) of the CEA and as further defined by the CFTC, 

which is listed on the SEF operated by BSEF in accordance with CFTC 

Regulation 37.4.

“Swap Dealer” has the meaning set form in Section 1a(49) of the CEA. 
12 

“Swap Specification” means, with respect to any Swap, the Rules or other 

trading protocols containing specifications for such Swap, as adopted, 

amended, supplemented or otherwise modified from time to time by BSEF. 

“Terms Incorporated by Reference” has the meaning set forth in Rule 

523(c). 

“Trade” means any purchase or sale of any Swap made on the SEF 

Platform or subject to BSEF Rules. 

“Trade Communication” has meaning set forth in Rule 523(c). 

“Trader ID” means a unique identifier issued to each Authorized Trader 

which enables BSEF to identify the individual entering RFQs or Orders 

into the SEF operated by BSEF. 

“Trading Access” means the right granted to a Person to send RFQs or 

place Orders and/or enter into transactions for certain or all Swaps to the 

SEF Platform or execute Swaps subject to the BSEF Rules. 

“Trading Account” means, with respect to each Participant, Account or 

Customer, each account through which the Participant will trade Swaps 

and through which BSEF will monitor the open Swap positions and closed 

Swap positions of such Participants, Accounts or Customers and each 

account through which the Participant will present a Swap for clearing to a 

Clearing House. 

“Trading Hours” means, for any Business Day, the hours as may be 

published by BSEF in a Notice to Participants from time to time. 

“Trading Privileges” means Trading Access or the right granted to a 

Person to use the SEF operated by BSEF for execution of Swaps. No 

Person may exercise Trading Privileges on behalf of a Participant during 

any suspension of such Participant’s Trading Privileges. 

“Unique Swap Identifier” or “USI” means a unique identifier assigned 

by BSEF to a Trade in accordance with CFTC Regulation 45.5. 

“Vice President” means the individual appointed by the Board in 

accordance with the Operating Agreement, with the duties and 

responsibilities as may be prescribed by the Board from time to time as set 

forth in Rule 208. 

“Written” or “Writing” means printing, lithography, photography, and 

other modes of representing or reproducing words or data in a visible form, 

including electronic transmissions. 

* * * * * * 
13 

The following rules of construction shall apply to the BSEF Rules: 

(i) the headings in the BSEF Rules are for convenience only and do not affect the 

construction of the BSEF Rules; 

(ii) all references to time in the BSEF Rules are to local time in New York, New 

York, except where expressly provided otherwise; 

(iii) in the BSEF Rules, words denoting a singular number include the plural number 

where the context permits and vice versa; 

(iv) where the context permits or requires, any pronoun shall include the 

corresponding masculine, feminine and neuter forms; 

(v) forms of the word “include” mean that the inclusion is not limited to the items 

listed; 

(vi) “or” is disjunctive but not exclusive; 

(vii) for purposes of constructing these Rules other than Rules 306 and 317, 

references to the term “Participant” refer to both the terms “Participant” and “DMA Customer”; 

and 

(viii) references in the BSEF Rules to statutory provisions include those provisions as 

amended, and any rules or regulations promulgated thereunder. 

CHAPTER 2. SEF GOVERNANCE 

RULE 201. Board 

(a) The Board shall manage the business and affairs of BSEF in accordance with the 

Operating Agreement. At all times the Board must be composed of at least 35%, but no less than 

two, Public Directors. The Board has the power and authority to call for review, and to affirm, 

modify, suspend or overrule, any and all decisions and actions of standing committees or special 

committees of the Board or any panel of the Officers. 

(b) The Board may act (including to appoint Public Directors, to the extent provided 

in the Operating Agreement) only by the decision of an absolute majority in number of the 

members of the Board, either by vote at a meeting or by Written consent without a meeting. 

(c) Each Director (including Public Directors) shall be appointed in accordance with 

the Operating Agreement and the procedures included therein and shall serve until his or her 

successor is duly appointed, or until his or her earlier resignation or removal, with or without 

cause. 

(d) The members of the Board, including Public Directors, shall be of sufficiently 

good repute and, where applicable, have sufficient expertise in financial services. 
14 

(e) The percentage of Public Directors required to serve on the Board or any 

committee thereof pursuant to this Chapter 2 shall be deemed to be modified to comply with the 

CEA and CFTC Regulations, in each case, as in effect from time to time. 

(f) Without limitation of any other provisions of this Rule 201, the provisions of 

Article III of the Operating Agreement shall be deemed to be part of the BSEF Rules, and shall 

be deemed to be incorporated herein, to the same extent and with the same force and effect as if 

set forth herein in their entirety. 

RULE 202. [Reserved] 

RULE 203. [Reserved] 

RULE 204. Regulatory Oversight Committee 

(a) The Regulatory Oversight Committee of the Board shall consist only of Public 

Directors, appointed by the Board. Each member of the Regulatory Oversight Committee shall 

serve until the due appointment of his or her successor, or until his or her earlier resignation or 

removal, with or without cause, as a member of the Regulatory Oversight Committee or as a 

Director. A member of the Regulatory Oversight Committee may serve for multiple terms. The 

Regulatory Oversight Committee shall report to the Board. 

(b) The Regulatory Oversight Committee shall oversee BSEF’s regulatory program 

on behalf of the Board. It shall make such recommendations to the Board as will, in its 

judgment, best promote the interests of the SEF operated by BSEF. The Regulatory Oversight 

Committee shall also have such other powers and perform such other duties as set forth in the 

BSEF Rules, the Operating Agreement and as the Board may delegate to it from time to time. 

(c) Without limiting the generality of the foregoing, the Regulatory Oversight 

Committee shall have authority to: 

(i) Monitor the compliance program of the SEF operated by BSEF for 

sufficiency and effectiveness; 

(ii) Oversee all facets of the compliance program, including trade practice and 

market surveillance, audits, examinations conducted by the Regulatory Services Provider 

and other regulatory responsibilities with respect to Participants, Customers, Accounts 

and Clearing Members (including ensuring compliance with any financial integrity, 

financial reporting, sales practice, recordkeeping and other requirements), and overseeing 

the conduct of investigations by the Regulatory Services Provider; 

(iii) Review the size and allocation of the regulatory budget and resources and 

the number, hiring and termination, and compensation of compliance personnel; 

(iv) Assist BSEF in minimizing actual and potential conflicts of interest; 

(v) Recommend changes that would ensure fair, vigorous, and effective 

compliance; and 
15 

(vi) Review compliance proposals and advise the Board as to whether and how 

such changes may impact compliance. 

(d) The Regulatory Oversight Committee shall oversee the regulatory program of the 

SEF operated by BSEF on behalf of the Board. The Board shall delegate sufficient authority, 

dedicate sufficient resources, and allow sufficient time for the Regulatory Oversight Committee 

to fulfill its mandate. 

RULE 205. Additional Committees and Panels 

(a) The Board may create such additional standing committees of the Board as it may 

from time to time deem necessary or advisable. 

(b) In addition to the standing committees, the Board may from time to time 

constitute and appoint, by Rule or resolution, special committees of the Board and designate their 

composition, responsibilities and powers. 

(c) BSEF may create additional committees of BSEF, or panels, for such purposes as 

may from time to time be necessary or advisable. Members of each such committee may be 

members of the Board, Supervised Persons of Participants or such other individuals as may be 

qualified to serve on such committee. 

RULE 206. Power of the Board to Review Decisions 

The Board has the power and authority to call for review, and to affirm, modify, suspend 

or overrule, any and all decisions and actions of standing committees or special committees of 

the Board. 

RULE 207. Eligibility 

(a) A Director must meet the qualifications set forth from time to time in the 

Operating Agreement. 

(b) An individual may not serve as a Director or serve on a committee established by 

the Board, a Disciplinary Panel or an Appeals Panel if the individual: 

(i) within the prior three (3) years has been found, by a final decision in any 

action or proceeding brought in a court of competent jurisdiction, the CFTC or any SelfRegulatory Organization, to have committed a disciplinary offense (as defined in CFTC 

Regulation § 1.63); 

(ii) within the prior three (3) years has entered into a settlement agreement in 

which any of the findings or, in the absence of such findings, any of the acts charged, 

included a disciplinary offense; 

(iii) has been suspended or expelled from membership in a Self-Regulatory 

Organization, is serving any sentence or probation, or owes any portion of a fine or 

penalty related to either; 
16 

1. a finding of a disciplinary offense by a final decision in any action 

or proceeding brought in a court of competent jurisdiction, the CFTC, or 

any Self-Regulatory Organization; or 

2. a settlement agreement in which any of the findings or, in the 

absence of such findings, any of the acts charged included a disciplinary 

offense. 

(iv) is currently subject to an agreement with the CFTC or Self-Regulatory 

Organization not to apply for registration with the CFTC or for membership in the SelfRegulatory Organization; 

(v) is currently, or within the past three (3) years has been, subject to a 

revocation or suspension of registration by the CFTC; 

(vi) has been convicted of a felony listed in Section 8a(2)(D)(ii) through (iv) of 

the CEA; or 

(vii) is currently subject to a denial, suspension or disqualification from serving 

on a disciplinary committee, arbitration or appeals panel or governing board of any selfregulatory organization, as that term is defined in CFTC Regulations § 1.63(a). 

(c) Any Director, member of a committee established by the Board or any member of 

a Disciplinary Panel, an Appeals Panel, any individual nominated to serve in any such role, or 

any individual authorized by the Regulatory Oversight Committee to take summary action shall 

immediately notify the President if such individual meets one or more of the criteria in Rule 

207(b). 

(d) For purposes of this Rule, the terms “disciplinary offense,” “final decision,” and 

“settlement agreement” have the meanings set forth in CFTC Regulation § 1.63(a). 

(e) To qualify as a Public Director, a Director must be found, by the Board on the 

record, to have no material relationship with BSEF or any of its Affiliates. A “material 

relationship” is one that reasonably could affect the independent judgment or decision making of 

such individual as a Public Director. In addition, an individual shall not be considered a “Public 

Director” if any of the following circumstances exist: 

(i) such Director is an Officer or an employee of BSEF, or an officer or an 

employee of an Affiliate of BSEF; 

(ii) such Director is a Participant, or a director, an officer or an employee of a 

Participant; or 

(iii) such Director, or an entity with which the Director is a partner, an officer, 

or a director, receives more than $100,000 in combined annual payments for legal, 

accounting, or consulting services from BSEF or any Affiliate of BSEF. Compensation 

for services as a director of BSEF or as a director of an Affiliate of BSEF does not count 

toward the $100,000 payment limit, nor does deferred compensation for services 

rendered prior to becoming a Director of BSEF, so long as such compensation is in no 

way contingent, conditioned or revocable. 
17 

(f) Any of the relationships set forth in sub-paragraphs (e)(i) through (iii) of this Rule 

apply to the “immediate family” of such Director, i.e., spouse, parents, children and siblings. 

(g) A Public Director may also serve as a director of an Affiliate of BSEF if he or she 

otherwise meets the requirements in paragraphs (e) and (f) of this Rule. 

RULE 208. Officers 

The Board shall appoint a President, a Chief Compliance Officer, one or more vice 

presidents, a secretary, a treasurer, and such other officers of BSEF (all of the foregoing, 

collectively, the “Officers”) as it may deem necessary or appropriate from time to time, in 

accordance with the Operating Agreement. The Officers shall have such powers and duties in 

the management of BSEF as the Board may prescribe from time to time in accordance with the 

Operating Agreement. Each Director and Officer is entitled to indemnification pursuant to the 

Operating Agreement with respect to matters relating to BSEF. 

RULE 209. Chief Compliance Officer 

(a) The Board shall appoint and approve the Chief Compliance Officer. The Board 

shall approve the compensation of the Chief Compliance Officer. Removal of the Chief 

Compliance Officer shall require the approval of a majority of the Board. BSEF shall notify the 

CFTC of the removal of the Chief Compliance Officer and the appointment of any new Chief 

Compliance Officer, whether interim or permanent, within two business days, as defined in 

CFTC Regulation 40.1, of such appointment. 

(b) The individual designated to serve as Chief Compliance Officer shall have the 

background and skills appropriate for fulfilling the responsibilities of the position. No individual 

disqualified from registration pursuant to Sections 8a(2) or 8a(3) of the CEA may serve as a 

Chief Compliance Officer. The Chief Compliance Officer may not be a member of BSEF’s legal 

department and may not serve as its general counsel. 

(c) The Chief Compliance Officer shall report directly to the Board. The Chief 

Compliance Officer shall meet with the Board at least annually. The Chief Compliance Officer 

shall also meet with the Regulatory Oversight Committee at least quarterly. Each such meeting 

may occur in person or by means of conference telephone. The Chief Compliance Officer shall 

provide any information regarding the regulatory program of the SEF operated by BSEF that is 

requested by the Board or the Regulatory Oversight Committee. 

(d) The position of Chief Compliance Officer shall carry with it the authority and 

resources to develop and enforce policies and procedures necessary to fulfill the duties set forth 

for chief compliance officers in the Act and the CFTC Regulations. The Chief Compliance 

Officer shall have supervisory authority over all staff acting in furtherance of the Chief 

Compliance Officer’s obligations. 

(e) The Chief Compliance Officer’s duties shall include, but are not limited to, the 

following: 

(i) Overseeing and reviewing the compliance of the SEF operated by BSEF 

with Section 5h of the Act and any CFTC Regulations; 
18 

(ii) In consultation with the Board or the senior Officer of BSEF, resolving 

any conflicts of interest that may arise, including: (1) conflicts between business 

considerations and compliance requirements; (2) conflicts between business 

considerations and the requirement that the SEF operated by BSEF provide fair, open, 

and impartial access as set forth in CFTC Regulation 37.202; and (3) conflicts between 

BSEF’s management and members of the Board; 

(iii) Establishing and administering Written policies and procedures reasonably 

designed to prevent violation of the Act and any Rules adopted by the Commission; 

(iv) Taking reasonable steps to ensure compliance with the Act and CFTC 

Regulations relating to agreements, contracts, or transactions, and with CFTC 

Regulations under Section 5h of the CEA; 

(v) Establishing procedures for the remediation of noncompliance issues 

identified by the Chief Compliance Officer through a compliance office review, lookback, internal or external audit finding, self-reported error, or validated complaint; 

(vi) Establishing and following appropriate procedures for the handling, 

management response, remediation, retesting, and closing of noncompliance issues; 

(vii) Establishing and administering a compliance manual designed to promote 

compliance with the applicable laws, Rules, and regulations and administering a Written 

code of ethics designed to prevent ethical violations and to promote honesty and ethical 

conduct; 

(viii) Supervising the SEF’s compliance program with respect to trade practice 

surveillance; market surveillance; real-time market monitoring; compliance with audit 

trail requirements; enforcement, disciplinary and appeals proceedings; audits, 

examinations conducted by the Regulatory Services Provider, and other regulatory 

responsibilities with respect to Participants, Accounts, Customers and Clearing Members 

(including ensuring compliance with, if applicable, financial integrity, financial reporting, 

sales practice, recordkeeping, and other requirements); 

(ix) Supervising the effectiveness and sufficiency of any regulatory services 

provided to BSEF by the Regulatory Services Provider; and 

(x) Preparing and filing the annual compliance report of BSEF. 

RULE 210. Conflicts of Interest 

(a) A Director, Officer, panel member or other Person authorized to exercise BSEF’s 

authority concerning any inquiry, investigation or any disciplinary or appeals proceeding, 

summary suspension, or other summary actions (any such action, a “SEF Action” and, 

collectively, “SEF Actions”), or Emergency actions taken pursuant to Rule 212 (each such SEF 

Action or Emergency Action, a “SEF Proceeding”) who knowingly has a “material conflict of 

interest” between his or her position as a Director, Officer, panel member or exercise of authority 

concerning any SEF Proceeding and his or her personal interests (each, an “Interested Person”) 

may not participate in any deliberations or vote of the Board committee, panel or exercise any 
19 

authority in any SEF Proceeding involving his or her personal interest, except as described in 

Rule 210(d). 

(b) For purposes of Rule 210(a), a “material conflict of interest” includes a 

Director’s, Officer’s, or other Person’s: 

(i) being named as a respondent or potential respondent in a SEF Proceeding; 

(ii) being an employer, employee, fellow employee or an Affiliate of a 

respondent or potential respondent in a SEF Proceeding; 

(iii) having any significant, ongoing business relationship with a respondent or 

potential respondent in a SEF Proceeding; 

(iv) having a family relationship with a respondent or potential respondent in a 

SEF Proceeding (including the individual’s spouse, co-habitator, former spouse, parent, 

step-parent, child, step-child, sibling, step-brother, step-sister, grandparent, grandchild, 

uncle, aunt, nephew, niece, father-in-law, mother-in-law, son-in-law, daughter-in-law, 

brother-in-law or sister-in-law); and/or 

(v) having a direct and substantial financial interest in the result of the 

deliberations or vote based upon either SEF or non-SEF positions. A direct and 

substantial financial interest includes positions held in Swaps in the accounts of, 

Controlled by, or affiliated with the Interested Person or any other types of direct and 

substantial financial positions of the Interested Person that are reasonably expected to be 

affected by the deliberations or vote. 

(c) Before considering any SEF Proceeding, an Interested Person must disclose in 

Writing to the Board the material facts concerning his or her relationship or interest in the matter. 

(d) Any Interested Person who would be required otherwise to abstain from 

deliberations and voting pursuant to Rule 210(a) as a result of having a direct and substantial 

financial interest in the result of the deliberations and vote may participate in deliberations, prior 

to a vote on the matter, if: 

(i) the material facts about the Interested Person’s financial interest in the 

matter are disclosed or known to the Board; 

(ii) the Board determines that the participation by the Interested Person would 

be consistent with the public interest; and 

(iii) a majority of the Directors (excluding any Interested Persons) vote to 

allow the Interested Person to participate in deliberations on the matter. 

(e) If a determination is made pursuant to Rule 210(d) that an Interested Person may 

participate in deliberations prior to a vote, then the minutes of the meeting of the Board or 

committee thereof will reflect the determination and the reasons for the determination. 

(f) If a determination is made pursuant to Rule 210(a) that all Directors are Interested 

Persons with respect to a matter subject to a vote by the Board, the President will appoint a panel 
20 

of individuals who are not Interested Persons with respect to such matter, which will have the 

same authority and powers over such matter that the Board would have if the Directors were not 

Interested Persons with respect to such matter. 

(g) No Director, Officer or member of any committee or panel established by the 

Board shall use or disclose for any purpose other than the performance of his or her official 

duties and responsibilities as a Director, Officer or committee or panel member any material, 

non-public information obtained as a result of the individual’s duties and responsibilities as a 

Director, Officer or committee or panel member. No Director, Officer or committee or panel 

member shall, directly or indirectly, disclose or use at any time, either during his or her 

association with BSEF or thereafter, any confidential information of which the Board member or 

committee or panel member becomes aware. Each Director, Officer or committee or panel 

member in possession of confidential information shall take all appropriate steps to safeguard the 

information and to protect it against disclosure, misuse, espionage, loss and theft. 

(h) Notwithstanding Rule 210(g), a Director, Officer or committee or panel member 

may disclose confidential information if required by Applicable Law or a court order to be 

revealed to the United States Department of Justice or the CFTC. 

(i) For the purposes of Rule 210(g), the term “material, non-public information” shall 

mean “material information” that is “nonpublic information,” as such terms are defined in CFTC 

Regulation 1.59(a). 

RULE 211. Restrictions on Certain Persons who Possess Material, NonPublic Information: Improper Use or Disclosure of Material 

Non-Public Information 

No member of the Board or of any Board committee, no member of any other committee 

of BSEF, no Officer of BSEF, no employee of BSEF, no agent of BSEF, no subcontractor of 

BSEF and no consultant to BSEF shall: 

(a) trade for such Person’s own account, or for or on behalf of any other account, in 

any commodity interest on the basis of any material, non-public information obtained through 

the performance of such Person’s official duties; 

(b) use or disclose, for any purpose other than the performance of such Person’s 

official duties, any material, non-public information obtained by such Person as a result of such 

Person’s official duties, provided, however, that this Section shall not prohibit disclosures made 

by such Person in the course of his or her official duties or disclosures made to the CFTC, any 

Self-Regulatory Organization, a court of competent jurisdiction or any agency or department of 

the federal or state government; or 

(c) trade, directly or indirectly, in any Swap traded on the SEF operated by BSEF; in 

any related commodity interest; or in any commodity interest traded on any DCM or SEF or 

cleared by any Clearing House if such Person has access to material non-public information 

concerning such Swap or commodity interest. 
21 

RULE 212. Emergency Rules 

(a) In the event of an Emergency, BSEF may implement temporary emergency 

procedures and rules (“Emergency Rules”), subject to the applicable provisions of the CEA and 

CFTC Regulations. Implementation of Emergency Rules shall be done in consultation with the 

CFTC. Emergency Rules may require or authorize BSEF, the Board, any committee of the 

Board, the President, or any other Officer to take actions necessary or appropriate to respond to 

the Emergency, including the following actions: 

(i) suspending or curtailing trading or limiting trading to liquidation only (in 

whole or in part); 

(ii) extending or shortening the last trading date for Swaps; 

(iii) ordering the fixing of a settlement price; 

(iv) ordering the liquidation or transfer of an open position in any Swap, or the 

reduction of positions; 

(v) extending, limiting or changing the Trading Hours; 

(vi) imposing or modifying intraday market restrictions; 

(vii) transferring customer contracts and the margin in an emergency; 

(viii) imposing special margin requirements; 

(ix) extending or shortening the expiration date of a Swap; 

(x) altering any Swap’s settlement terms and conditions; 

(xi) imposing or modifying price limits; 

(xii) imposing, modifying or reducing position limits; and/or 

(xiii) temporarily modifying or suspending any provision of the BSEF Rules or 

Obligations. 

(b) Before any Emergency Rule may be adopted and enforced, a required vote of the 

Board must approve the implementation of such Emergency Rule at a duly convened meeting 

requested by the President or any other Officer. Directors may attend such a meeting by 

teleconference. Each Director participating in such meeting shall be subject to Rule 210. If the 

President, Vice President or the Chief Technology Officer determines that Emergency Rules 

must be implemented with respect to an Emergency before a meeting of the Board can 

reasonably be convened, then the President, Vice President or the Chief Technology Officer shall 

have the authority, without Board action, to implement any Emergency Rules with respect to 

such Emergency that he or she deems necessary or appropriate to respond to such Emergency. 

(c) Whenever BSEF, the Board, any committee of the Board, or the President, Vice 

President or the Chief Technology Officer takes actions necessary or appropriate to respond to an 
22 

Emergency (including the actions set forth in paragraph (a) above), an Authorized 

Representative of BSEF will post a Notice to Participants regarding such Emergency, as soon as 

practicable. When the Board, any committee of the Board or the President, Vice President or the 

Chief Technology Officer determines that the Emergency is no longer in effect, permitting the 

SEF operated by BSEF to resume normal functioning; any such actions responding to an 

Emergency will be terminated. 

(d) BSEF will use reasonable efforts to notify the CFTC prior to implementing, 

modifying or terminating an Emergency Rule. If such prior notification is not possible or 

practicable, BSEF will notify the CFTC as soon as possible or reasonably practicable, but in all 

circumstances within twenty-four (24) hours of the implementation, modification or termination 

of such Emergency Rule. 

(e) Upon taking any action in response to an Emergency, BSEF will document the 

decision-making process related to such action. Such documentation will be kept for at least five 

years following the date on which the Emergency ceases to exist or to affect the SEF operated by 

BSEF, and all such documentation will be provided to the CFTC upon request. 

RULE 213. Information-Sharing Agreements 

(a) BSEF shall enter into information-sharing agreements or other arrangements or 

procedures necessary to allow BSEF to obtain any necessary information to perform any 

monitoring of trading and Trade processing, provide information to other markets, the CFTC or 

any other Governmental Body with jurisdiction over BSEF upon request and which allow BSEF 

to carry out such international information-sharing agreements as the CFTC may require. As 

part of any information-sharing agreements or other arrangements or procedures adopted 

pursuant to this Rule, BSEF may: 

(i) provide market surveillance reports to the CFTC, any Governmental Body 

with jurisdiction over BSEF, or, as necessary for BSEF to comply with its SRO 

obligations, to other markets; 

(ii) share information and documents concerning current and former 

Participants to the CFTC, any Governmental Body with jurisdiction over BSEF, or, as 

necessary for BSEF to comply with its SRO obligations, to other markets; 

(iii) share information and documents concerning ongoing and completed 

investigations to the CFTC, any Governmental Body with jurisdiction over BSEF, or, as 

necessary for BSEF to comply with its SRO obligations, to other markets; and/or 

(iv) require its current or former Participants to provide information and 

documents to BSEF at the request of the CFTC, any Governmental Body with 

jurisdiction over BSEF, or, as necessary for BSEF to comply with its SRO obligations, to 

other markets. 

(b) BSEF may enter into any information-sharing arrangement with any Person or 

body (including the CFTC, the NFA, any Self-Regulatory Organization, any SEF, DCM, market, 

or clearing organization, or any Governmental Body) if BSEF (i) believes that such entity 

exercises a legal or regulatory function under any law or regulation, or a function comprising or 
23 

associated with the enforcement of a legal or regulatory function, or (ii) considers such 

arrangement to be in furtherance of the purpose or duties of BSEF and the SEF operated by 

BSEF under Applicable Law. 

(c) BSEF may disclose any information provided by or relating to Participant, 

Account Managers, Authorized Traders, Supervised Persons, Clearing Members, Customers or 

Accounts or their agents, or Trades of Participant or of its Customers or Accounts, including the 

content of this Agreement, to any Governmental Body, to the Regulatory Services Provider, to 

an SDR where BSEF reports Trades, to any other person or entity as required by Applicable Law 

or as necessary to conclude Participant’s Trades, submit Participant’s Trades for clearance or 

perform services requested by a Participant, and to any Person providing services to BSEF with 

respect to the SEF operated by BSEF. BSEF will not disclose any proprietary data or personal 

information of any Participant, Account Manager, Authorized Trader, Supervised Person, 

Clearing Member, Customer or Account without a corresponding confidentiality agreement 

between such Person and BSEF, unless the Person requesting such information is a 

Governmental Body. 

RULE 214. Regulatory Services Agreement with the Regulatory Services 

Provider 

BSEF has contracted with the Regulatory Services Provider to provide certain regulatory 

services to BSEF pursuant to a Regulatory Services Agreement. In accordance with the 

Regulatory Services Agreement, the Regulatory Services Provider may perform certain 

surveillance, investigative, and regulatory functions under the BSEF Rules and BSEF may 

provide information to the Regulatory Services Provider in connection with the performance by 

the Regulatory Services Provider of those functions. BSEF shall retain ultimate decision-making 

authority with respect to any functions that are contracted to the Regulatory Services Provider. 

RULE 215. Delivery and Service of CFTC Communications for Non-U.S. 

Participants 

In accordance with CFTC Rule 15.05, BSEF will serve as an agent of a non-U.S. 

Participant or a Customer of non-U.S. Participant for whom Swaps were executed or a non-U.S. 

Authorized Trader for purposes of accepting delivery and service of any communication issued 

by or on behalf of the CFTC to the non-U.S. Participant or the Customer of the non-U.S. 

Participant or the non-U.S. Authorized Trader, in each case with respect to any swap traded on 

the SEF operated by BSEF. 

CHAPTER 3. PARTICIPANTS 

RULE 301. Eligibility Criteria for Becoming a Participant

(a) To be eligible for admission as a Participant, an applicant warrants to BSEF that it 

meets the following criteria: 

(i) is an ECP, and each Account or Customer on whose behalf it wishes to 

trade on the SEF operated by BSEF is an ECP, in each case eligible to enter into the asset 

classes of Swaps it wishes to trade on the SEF operated by BSEF; 
24 

(ii) is of good reputation and business integrity; 

(iii) is validly organized, in good standing, and authorized by its governing 

body and, if relevant, documents of organization, to trade Swaps; 

(iv) has not filed for bankruptcy; 

(v) is not a SEF Official, agent or affiliate of BSEF; 

(vi) is not prohibited from using the services of BSEF for any reason 

whatsoever; 

(vii) holds all registrations required under Applicable Law, if any; 

(viii) is not subject to statutory disqualification under Section 8a(2) of the CEA; 

(ix) satisfies any other criteria that BSEF may require from a Participant to 

perform its SRO responsibilities, comply with Applicable Law or provide SEF services; 

and 

(x) is not an ISV or an automated trading system. 

(b) Once admitted, the Participant shall continue to comply with all applicable 

Eligibility Criteria in this Rule 301. 

(c) With respect to Cleared Swaps, each Participant that is an Account Manager, 

FCM or Introducing Broker must ensure that each of its, as applicable, Accounts or Customers 

has a clearing account with a Clearing Member that is a member of the Clearing House accepting 

for clearance Cleared Swaps traded on the SEF operated by BSEF and provide BSEF with 

evidence of such relationship. With respect to Non-Cleared Swaps, each Participant that is an 

Account Manager or Introducing Broker must ensure that each of its, as applicable, Accounts or 

Customers complies with Rule 534, if applicable. A DMA Customer that is an Account 

Manager must ensure that each of its Accounts complies with Rule 534, if applicable. Each 

Participant or DMA Customer that is an Account Manager must provide BSEF upon BSEF’s 

prior Written request with Written representation or proof of authority to place RFQs or Orders 

and execute Trades on the SEF operated by BSEF on behalf or in the name of each Account. 

(d) With respect to Cleared Swaps, each Participant that is not an Account Manager 

must either be a Clearing Member of a Clearing House where the Cleared Swaps are cleared or 

have a clearing account with a Clearing Member with respect to such Cleared Swap and provide 

SEF with evidence of such relationship. With respect to Non-Cleared Swaps, each Participant 

that is not an Account Manager must comply with Rule 534, if applicable. 

(e) Each Participant must establish a Trading Account. In addition to all information 

required by BSEF, information in each Trading Account shall at minimum be sufficient to allow 

BSEF to present a Trade for clearing to a Clearing House. A Participant must keep such 

information current and up-to-date. 
25 

(f) Participants that do not have a relationship with a Clearing Member as set forth in 

subsection (c) or (d) of this Rule 301 are prohibited from entering RFQs or Orders in Cleared 

Swaps on the SEF operated by BSEF. 

(g) Upon request of BSEF, a Participant shall promptly provide to BSEF or its 

Regulatory Services Provider information about the Participant, its Customers, Accounts, 

Clearing Members and Authorized Traders as BSEF requests related to or in connection with 

SEF Activity. 

RULE 302. Authorized Traders 

(a) Each Participant shall nominate or designate one or more Authorized Traders, 

who will conduct SEF Activity on behalf of the Participant. 

(b) Each Authorized Trader: 

(i) must be a natural person; 

(ii) must satisfy any other requirements as may be prescribed by BSEF from 

time to time; and 

(iii) must have a Trader ID.

A Participant that authorizes a third party to trade for its Trading Account on a 

discretionary basis pursuant to a power of attorney or other instrument must identify or approve a 

specific natural person as its Authorized Trader with respect to such Trading Account. 

(c) Without limiting the foregoing, each Authorized Trader will abide by applicable 

BSEF Rules and Applicable Law, and each Participant or DMA Customer, as applicable, will 

ensure on an ongoing basis that: 

(i) none of its Authorized Traders is subject to a disqualification pursuant to 

any Applicable Law (unless an appropriate exemption has been obtained with respect 

thereto); 

(ii) each of its Authorized Traders will be technically proficient; 

(iii) each of its Authorized Traders will conduct its business in a fair and 

equitable manner; and 

(iv) each of its Authorized Traders will conduct its business in accordance 

with the BSEF Rules. 

(d) By agreeing to become an Authorized Trader, an individual agrees to be bound by 

the duties and responsibilities of an Authorized Trader under these Rules and to be subject to, 

and comply with, the BSEF Rules and Obligations. Among other duties and responsibilities that 

BSEF may impose, an Authorized Trader must: 

(i) have the authority, at BSEF’s request, to adjust or withdraw any Order 

submitted under any Trader ID assigned to him or her; and 
26 

(ii) ensure that any SEF Activity conducted under any Trader ID assigned to 

him or her complies with all BSEF Rules and Obligations. 

(e) To nominate or designate an Authorized Trader, a Participant must follow the 

procedures established by BSEF. BSEF may establish criteria that individuals must fulfill to 

become an Authorized Trader. Any such criteria will be set out in the BSEF Rules. BSEF will 

not accept the registration as an Authorized Trader of any individual who is a SEF Official. 

(f) BSEF will maintain a list of all appointed Authorized Traders for each 

Participant. 

(g) BSEF may, in its sole discretion terminate, revoke or suspend an Authorized 

Trader and shall promptly notify the Participant in Writing of such action. Upon such 

termination, revocation or suspension, BSEF will disable access of such Authorized Trader to the 

SEF operated by BSEF. 

(h) To request the termination of the designation of an Authorized Trader, the 

Participant or the Authorized Trader must notify BSEF following the procedures established by 

BSEF. BSEF will terminate access of such Authorized Trader to the SEF operated by BSEF 

immediately upon receipt of such notice from Participant. 

RULE 303. Participant Application Process; Termination of Participant 

(a) Any Person who desires to become a Participant shall (i) submit signed 

Participant Documentation; (ii) agree in Writing to abide by the BSEF Rules and Applicable 

Law; (iii) provide such information and documentation as may be requested by BSEF; and (iv) 

follow the application procedures established by BSEF. 

(b) In considering an application from a potential Participant, BSEF may require 

additional information from the applicant, or conduct an investigation to verify information 

submitted by the applicant, or both. 

(c) If BSEF decides to admit an applicant as a Participant, it shall promptly notify the 

applicant and state in such notice the date on which the applicant shall become a Participant. 

(d) If BSEF decides to decline or condition an application for admission as a 

Participant, or terminate a Person’s status as a Participant, BSEF shall promptly notify such 

Affected Person thereof in a Writing sent to the address provided by the applicant or maintained 

in BSEF registry of Participants. Such Affected Person may, within seven (7) calendar days, 

request in Writing that BSEF provide the reasons for the denial, conditioning or termination of 

Participant status. Within fourteen (14) calendar days after receiving such Written request, 

BSEF shall send in Writing to the Affected Person the reasons for the denial, conditioning or 

termination. Within fourteen (14) calendar days of receiving the BSEF’s Written response, the 

Affected Person may request in Writing that BSEF reconsider its determination, and may provide 

any relevant representations or other information that such Affected Person believes to be 

relevant to the reconsideration. 

(e) BSEF may deny, condition or terminate Participant status of any Person if: 

(i) such Person is unable to satisfactorily demonstrate its ability to satisfy the Eligibility Criteria 
27 

as set forth in Rule 301(a) to become or remain a Participant; (ii) such Person is unable to 

satisfactorily demonstrate its capacity to adhere to all applicable BSEF Rules; (iii) such Person 

would bring BSEF into disrepute as determined by BSEF in its sole discretion; or (iv) for such 

other cause as BSEF may reasonably determine. 

RULE 304. Trading Privileges of a Participant 

(a) Upon admission as a Participant or DMA Customer, the Participant or DMA 

Customer must execute such Participant Documentation or DMA Customer Documentation, as 

applicable, as required from time to time by BSEF, and such Participant Documentation or DMA 

Customer Documentation, as applicable, must remain in effect for the Participant or DMA 

Customer to access the SEF operated by BSEF. 

(b) Admission as a Participant entitles the Participant only to Trading Privileges and 

does not confer any right of ownership in, or right to attend or vote at meetings of, BSEF, or 

right to share in the profits, of BSEF. A Participant may not transfer or assign its status as a 

Participant. 

RULE 305. Termination or Limitation of Trading Privileges and Trading 

Access 

(a) Notwithstanding anything in the BSEF Rules to the contrary, the Chief 

Compliance Officer may, after consultation with the Regulatory Oversight Committee, if 

practicable, summarily suspend, revoke, limit, condition, restrict or qualify the Trading 

Privileges of a Participant or the Trading Access of an Authorized Trader, and may take other 

summary action against any Participant or any of its Supervised Persons or any Authorized 

Trader in accordance with the BSEF Rules; provided, however, that the Chief Compliance 

Officer must reasonably believe that the business, conduct or activities of the Participant, 

Authorized Trader or Supervised Person in question is not in the best interests of BSEF or the 

marketplace, including based on any of the following: (i) statutory disqualification from 

registration as provided in CEA Section 8a(2) or (3); (ii) non-payment of fees, costs, charges, 

fines or arbitration awards; or (iii) the reasonable belief that immediate action is necessary to 

protect the public or the best interests of BSEF and the SEF operated by BSEF. BSEF may deny 

or limit Trading Privileges of a Participant or Trading Access of any Authorized Trader upon 

default of the Participant, Customer or Account, as applicable, on any Swap with respect to such 

Participant, Customer or Account. 

(b) Whenever practicable, the Compliance Department, acting on behalf of the Chief 

Compliance Officer, shall provide prior Written notice to the party against whom any action in 

accordance with paragraph (a) shall be taken. If prior notice is not practicable, BSEF will give 

notice at the earliest possible opportunity to the respondent against whom the action is brought. 

The Compliance Department, acting on behalf of the Chief Compliance Officer, will prepare a 

notice of summary action (which will state the action, the reasons for the action, and the effective 

time, date and duration of the action) and serve the notice on such party. 

(c) The summary action will become final upon the expiration of 20 days after the 

notice of action is served on the respondent. 
28 

(d) At the request of BSEF, a respondent against whom a summary action is brought 

pursuant to this Rule 305 must provide books and records over which the respondent has access 

or control and must furnish information to, or appear or testify before, BSEF or the in connection 

with the enforcement of any BSEF Rule. 

(e) Participant may appeal any decision taken by BSEF under this Rule 305 as 

provided in Rule 620; provided, however, that any such decision by BSEF to deny or otherwise 

limit applicant’s Trading Privileges or Trading Access shall continue in effect during such 

review. 

RULE 306. Assessments and Fees 

BSEF shall set the times and amounts of any assessments or fees to be paid by 

Participants, which assessments or fees shall be paid to BSEF when due. If a Participant fails to 

pay when due any such assessments or fees levied on such Participant, and such payment 

obligation remains unsatisfied for thirty days after its due date, BSEF may suspend, revoke, 

limit, condition, restrict or qualify the Trading Privileges of such Participant as it deems 

necessary or appropriate. 

RULE 307. Authorized Representatives 

Each Participant shall designate one or more Authorized Representatives who will 

represent the Participant before BSEF and its committees and receive notices on behalf of the 

Participant. The Authorized Representative shall be empowered by the Participant to act on its 

behalf and BSEF shall be entitled to rely on the actions of the Authorized Representative as 

binding on the Participant. Each Participant must provide BSEF with current contact and other 

requested information for each of its Authorized Representatives so that BSEF is able to 

immediately contact the Authorized Representatives. 

RULE 308. Recording of Communications 

BSEF may record conversations and retain copies of electronic communications between 

SEF Officials, on one hand, and Participants, their Account Managers, Authorized Traders, 

Supervised Persons or other agents, on the other hand, to the extent required by Applicable Law. 

Any such recordings may be retained by BSEF or the Regulatory Services Provider in such 

manner and for such periods of time as BSEF may deem necessary or appropriate. 

RULE 309. Notices to Participants 

BSEF shall publish a notice with respect to each addition to, modification of, or 

clarification of, the BSEF Rules or of any action to implement any BSEF Rules, in a form and 

manner that is reasonably designed to enable each Participant to become aware of and familiar 

with, and to implement any necessary preparatory measures to be taken by it with respect to, 

such addition or modification, prior to the effective date thereof (each a “Notice to 

Participants”). For purposes of publication in accordance with the first sentence of this Rule, it 

shall be sufficient (without limiting the discretion of BSEF as to any other reasonable means of 

communication) if a Notice to Participants is published on BSEF’s website and posted on 

BSEF’s internal notification system. Any Notice to Participants shall also be deemed to have 

been made to all Account Managers, Authorized Traders and Supervised Persons. 
29 

RULE 310. Communications between BSEF and Participants 

Each Participant must provide BSEF with its current electronic mail address and 

telephone number and the electronic mail address and telephone number of any of its Authorized 

Traders and immediately (and in any event within 24 hours) update this information whenever it 

changes. All communications between BSEF and the Participant will be transmitted by 

electronic mail and/or posted on BSEF’s website, except as otherwise specified by BSEF. The 

Participant shall be responsible for conveying such communications to its Authorized Traders 

and/or to its Account Managers. Each Participant will be responsible for promptly reviewing 

and, if necessary, responding to all electronic communications from BSEF to the Participant or 

any of its Account Managers, Authorized Traders, Supervised Persons or any Person to whom it 

has given Trader ID(s). All communications made to a Participant shall also be deemed to have 

been made to all Account Managers, Authorized Traders and Supervised Persons of such 

Participant. 

RULE 311. Application of BSEF Rules and Jurisdiction 

(a) ANY MARKET PARTICIPANT THAT DIRECTLY OR INDIRECTLY 

EFFECTS A TRANSACTION ON THE SEF OPERATED BY BSEF, OR ANY 

PARTICIPANT, AUTHORIZED TRADER, CLEARING MEMBER OR OTHER 

PERSON ACCESSING OR ENTERING ANY RFQ OR ORDER OR SUBMITTING 

ANY SWAP INTO THE SEF OPERATED BY BSEF OR EXECUTING ANY TRADE 

PURSUANT TO THE RULES (i) IS BOUND BY, AND SHALL COMPLY WITH, THE 

BSEF RULES AND OBLIGATIONS, THE CLEARING HOUSE RULES, SWAP 

SPECIFICATIONS AND APPLICABLE LAW, IN EACH CASE TO THE EXTENT 

APPLICABLE TO IT, (ii) SUBMITS TO THE JURISDICTION OF BSEF WITH 

RESPECT TO ANY AND ALL MATTERS ARISING FROM, RELATED TO, OR IN 

CONNECTION WITH, THE STATUS, ACTIONS OR OMISSIONS OF SUCH 

PARTICIPANT, AUTHORIZED TRADER OR OTHER PERSON, AND (iii) AGREES 

TO ASSIST BSEF IN COMPLYING WITH ITS LEGAL AND REGULATORY 

OBLIGATIONS, COOPERATE WITH BSEF, THE CFTC AND ANY 

GOVERNMENTAL BODY WITH JURISDICTION OVER BSEF OR THE SEF 

OPERATED BY BSEF IN ANY INQUIRY, INVESTIGATION, AUDIT, 

EXAMINATION OR PROCEEDING. 

(b) Any Person whose access to the SEF operated by BSEF is suspended for any 

period remains subject to the BSEF Rules, the Obligations and BSEF’s jurisdiction throughout 

the period of suspension. Any Person whose access to the SEF operated by BSEF is revoked or 

terminated shall remain bound by the BSEF Rules and Applicable Law, in each case to the 

extent applicable to it, and subject to the jurisdiction of BSEF with respect to any and all 

matters arising from, related to, or in connection with, the status, actions or omissions of such 

Participant prior to such revocation or termination. 

RULE 312. Description of Participant’s Status 

A Participant shall ensure that the form, content and context of any description of the 

Participant’s status on the SEF operated by BSEF is not inconsistent with, and does not 

misrepresent, the Participant’s capacity on the SEF operated by BSEF under the BSEF Rules or 

the Participant’s registration, if any, under the CEA, or under any other Applicable Law. 
30 

RULE 313. Dissolution of Participants 

All rights and privileges of a Participant terminate upon, and all obligations of a 

Participant shall survive the dissolution of the Participant. 

RULE 314. Withdrawal of Participant 

(a) To withdraw from the SEF operated by BSEF, a Participant must notify BSEF of 

its withdrawal. Such withdrawal shall be accepted and effective immediately upon receipt of 

such notice by BSEF. 

(b) When BSEF accepts the withdrawal of a Participant, all rights and privileges of 

such Participant terminate (including the Trading Privileges). The accepted withdrawal of a 

Participant shall not affect the rights of BSEF under the BSEF Rules or relieve the former 

Participant of such Participant’s obligations under the BSEF Rules before such withdrawal. 

Notwithstanding the accepted withdrawal of a Participant, the withdrawn Participant remains 

subject to the BSEF Rules, the Obligations and the jurisdiction of BSEF for acts done and 

omissions made while a Participant, and must cooperate in any SEF Proceeding under Chapter 6 

as if the withdrawn Participant were still a Participant. 

RULE 315. Compliance with the Commodity Exchange Act 

All SEF Participants shall comply with all relevant provisions of the CEA and the Rules 

and regulations duly issued pursuant thereto by the CFTC, including the filing of reports, 

maintenance of books and records, and permitting inspection and visitation by Authorized 

Representatives of the CFTC or Department of Justice. 

RULE 316. Access 

RULE 316.A. ECP Access 

BSEF will provide its services to any ECP with access to its markets and BSEF services 

that is impartial, transparent and applied in a fair and non-discriminatory manner; provided, 

however, that each ECP complies with BSEF’s documentation and the eligibility requirements 

set forth in this Rulebook. 

RULE 316.B. ISV Access 

BSEF will provide ISVs with access to its trading platform and its data in a fair and nondiscriminatory manner; provided, however, that each ISV shall comply with BSEF’s criteria 

governing such access. Such access criteria shall be impartial and transparent. 

RULE 317. Direct Market Access 

(a) DMA may be sponsored only by a Sponsoring Broker. 

(b) All trades in Cleared Swaps executed via DMA connection must be guaranteed by 

a Sponsoring Broker that assumes financial responsibility for all trades in Cleared Swaps 

executed through the DMA connection. 
31 

(c) Each DMA Customer must execute the DMA Customer Documentation as a 

condition of being granted access to the SEF operated by BSEF. 

(d) A Sponsoring Broker shall assist BSEF in any investigation into potential 

violations of the BSEF Rules, CFTC Regulations or the Act which occur through or with respect 

to a DMA connection guaranteed by such Sponsoring Broker. Such assistance must be timely 

and may include requiring any DMA Customer to produce documents, to answer questions from 

BSEF, and/or to appear in connection with an investigation. 

(e) A Sponsoring Broker shall suspend or terminate the Trading Access of a DMA 

Customer or any Authorized Trader associated with such DMA Customer if BSEF determines 

that the actions of the DMA Customer or any of its Authorized Traders threaten the integrity of 

the SEF operated by BSEF or liquidity of any Swap or violate any BSEF Rule or if the DMA 

Customer or any of its Authorized Traders fails to cooperate in an investigation. 

(f) If a Sponsoring Broker has actual or constructive notice of a violation of the 

BSEF Rules in connection with Direct Market Access by its DMA Customer and the Sponsoring 

Broker fails to take appropriate action, BSEF may consider that the Sponsoring Broker has 

committed an act detrimental to the interest or welfare of BSEF. 

RULE 318. Legal Certainty for SEF Trades 

A transaction entered into on or pursuant to the BSEF Rules shall not be void, voidable, 

subject to rescission, otherwise invalidated, or rendered unenforceable as a result of: 

(a) a violation by BSEF of the provisions of section 5h of the Act or CFTC 

Regulations; 

(b) any CFTC proceeding to alter or supplement a Rule, term, or condition under 

section 8a(7) of the Act or to declare an emergency under section 8a(9) of the Act; or 

(c) any other proceeding the effect of which is to: 

(i) alter or supplement a specific term or condition or trading rule or 

procedure; or 

(ii) require BSEF to adopt a specific term or condition, trading rule or 

procedure, or to take or refrain from taking a specific action. 

RULE 319. Rights and Responsibilities after Suspension or Termination 

(a) When the Trading Privileges of a Participant or the Trading Access of any 

Authorized Trader are suspended, none of its rights and Trading Privileges (including the right to 

hold oneself out to the public as a Participant, enter RFQs or Orders into the SEF operated by 

BSEF and receive Participant rates for fees, costs, and charges at Participant levels) will apply 

during the period of the suspension, except for the right of the Participant in question to assert 

claims against others as provided in the BSEF Rules or the right to Trading Access. Any such 

suspension will not affect the rights of creditors under the BSEF Rules or relieve the Participant 

in question of its, his or her obligations under the BSEF Rules to perform any Swaps entered into 

before the suspension, or for any SEF fees, costs, or charges incurred during the suspension. 
32 

(b) When the Trading Privileges of a Participant or the Trading Access of any 

Authorized Trader are terminated, all of a Participant’s rights and Trading Privileges or an 

Authorized Trader’s right to Trading Access will terminate, except for the right of the Participant 

in question to assert claims against others, as provided in the BSEF Rules. Any such termination 

will not affect the rights of creditors under the BSEF Rules. A terminated Participant may only 

seek to reinstate its Trading Privileges by applying for Trading Privileges pursuant to Rule 304. 

BSEF will not consider the application of a terminated Participant if such Participant continues 

to fail to appear at disciplinary or appeals proceedings without good cause or continues to 

impede the progress of disciplinary or appeals proceedings. 

(c) A suspended or terminated Participant, Authorized Trader or Supervised Person 

remains subject to the BSEF Rules and the jurisdiction of BSEF for acts and omissions prior to 

the suspension or termination, and must cooperate in any inquiry, investigation, disciplinary or 

appeals proceeding, summary suspension or other summary action as if the suspended or 

terminated Participant still had Trading Privileges or the terminated Authorized Trader still had 

Trading Access. BSEF may discipline a suspended Participant or Authorized Trader under this 

Chapter 6 for any violation of a BSEF Rule or provision of Applicable Law committed by the 

Participant or Authorized Trader before, during or after the suspension. 

(d) Upon the request of a Customer, in the event of the suspension or revocation of 

the Trading Privileges of a Participant, BSEF shall seek to facilitate the transfer of any Customer 

accounts held by such Participant to other Participants with Trading Privileges. 

CHAPTER 4. OBLIGATIONS OF PARTICIPANTS, ACCOUNT MANAGERS, 

DMA CUSTOMERS, AUTHORIZED TRADERS AND 

SUPERVISED PERSONS 

RULE 401. Duties and Responsibilities 

(a) Each Participant, Account Manager, DMA Customer, Authorized Trader and 

Supervised Person shall: 

(i) ensure that BSEF’s facilities are used in a responsible manner and are not 

used for any improper purpose; 

(ii) ensure that BSEF’s facilities are used only to conduct SEF Activity; 

(iii) ensure that all SEF Activity conducted by the Participant, Account 

Managers, Authorized Traders and Supervised Persons is performed in a manner 

consistent with applicable BSEF Rules and their respective Obligations; 

(iv) comply with all BSEF Rules and Obligations and act in a manner 

consistent with each BSEF Rule and Obligation; 

(v) observe high standards of integrity, market conduct, commercial honor, 

fair dealing, and just and equitable principles of trade while conducting or attempting to 

conduct any SEF Activity, or any aspect of any business connected with or concerning 

the SEF operated by BSEF; 
33 

(vi) not mislead or conceal any material fact or matter in any dealings or 

filings with BSEF or in response to any SEF Proceeding; and 

(vii) keep the Authorized Trader’s Trader IDs, account numbers and passwords 

confidential. 

(b) Each Participant shall be responsible for promptly informing BSEF of any 

material changes to Eligibility Criteria information provided to BSEF by the Participant. 

RULE 402. Required Disclosures to BSEF 

Each Participant shall immediately notify the Compliance Department upon becoming 

aware of any of the following events: 

(a) any material change to the contact or other information provided to BSEF by the 

Participant; 

(b) any damage to, or failure or inadequacy of, the systems, facilities or equipment of 

the Participant to effect transactions pursuant to the BSEF Rules or to timely perform the 

Participant’s financial obligations under or in connection with Swaps of such Participant or 

Swaps of any Customer or Account of such Participant; 

(c) any refusal of admission of the Participant for membership in, any SelfRegulatory Organization, SEF, DCM, or Derivatives Clearing Organization; 

(d) any expulsion, suspension or fine in excess of $25,000 (whether through an 

adverse determination, voluntary settlement or otherwise) imposed on the Participant by any 

Self-Regulatory Organization, SEF, DCM, Derivatives Clearing Organization or, with respect to 

SEF Activity, any relevant Governmental Body; 

(e) any revocation, suspension or conditioning of any registration or license of a 

Participant necessary to conduct SEF Activity granted by any relevant Governmental Body; 

(f) (A) the commencement of any judicial or administrative proceeding against the 

Participant or any Authorized Trader or Supervised Person or (B) the imposition of any fine in 

excess of $25,000, cease and desist order, denial of trading privileges, censure or other sanction 

or remedy (whether through an adverse determination, voluntary settlement or otherwise) 

imposed, in each case of (A) and (B), by any Self-Regulatory Organization, SEF, DCM, 

Derivatives Clearing Organization or, with respect to SEF Activity, any relevant Governmental 

Body; 

(g) any indictment or conviction of, or any confession of guilt or plea of guilty or 

nolo contendere by, any principals or senior officers of the Participant or any Authorized Trader 

for any felony or misdemeanor involving, arising from, or related to, the purchase or sale of any 

commodity, futures contract, swap, option, security, securities futures product or other financial 

instrument, or involving or arising from fraud or moral turpitude; and 

(h) the Participant’s or a 10% or greater owner of the Participant becoming the 

subject of a petition for bankruptcy; 
34 

(i) the appointment of a receiver, trustee or administrator for the Participant or a 10% 

or greater owner of the Participant; 

(j) the presentment of a petition, or the passing of a resolution, for the Participant’s 

or a 10% or greater owner of the Participant winding-up; 

(k) the commencement of proceedings for the Participant’s or the 10% or greater 

owner’s of the Participant dissolution; or 

(l) the occurrence of an event of insolvency with respect to the Participant or the 

10% owner or greater owner of the Participant. 

RULE 403. Inspections by BSEF 

(a) BSEF or the Regulatory Services Provider (or their respective authorized 

representatives), shall have the right with such prior reasonable advance notice as is practicable 

under the circumstances, in connection with determining whether all BSEF Rules are being, will 

be, or have been complied with by the Participant, to: 

(i) inspect the books and records of the Participants relating to SEF Activity; 

(ii) inspect systems, equipment and software of any kind operated by the 

Participant in connection with SEF Activity and any data stored in any of the systems or 

equipment related to SEF Activity; and/or 

(iii) copy or reproduce any data to which BSEF has access under this Rule. 

(b) Such books and records, systems, equipment, software and data shall be made 

available to BSEF and the Regulatory Services Provider and their respective authorized 

representatives during regular business hours and BSEF and the Regulatory Services Provider 

and their respective authorized representatives agree to adhere to Participant’s reasonable logical 

and physical access and security procedures. 

(c) Each Participant, DMA Customer and Authorized Trader shall provide the 

Regulatory Services Provider with the same access to their books and records as they are 

required to provide to BSEF under the BSEF Rules and Applicable Law. 

(d) The Compliance Department may require a Participant to furnish (periodically or 

on a particular occasion) information concerning the Participant’s SEF Activity. 

RULE 404. Minimum Financial and Related Reporting Requirements 

Each Participant that is registered with any Self-Regulatory Organization shall comply 

with the provisions of Applicable Law relating to minimum financial and related reporting and 

recordkeeping requirements.
35 

RULE 405. Position Liquidation upon Default 

Upon default of any Swap by a Participant, Customer or Client, BSEF shall have the right 

to arrange the liquidation of all or some Swap positions of such Participant, Customer or Client, 

as applicable, opened via the SEF operated by BSEF. 

RULE 406. Authority to Impose Restrictions 

Whenever a Participant is subject to the early warning requirements set forth in the CFTC 

Regulations, including CFTC Regulation 1.12, the President, or his or her designee, may impose 

such conditions or restrictions on the business and operations of such Participant as the 

President, or his or her designee, may deem necessary or appropriate for the protection of 

Customers, other Participants or the SEF operated by BSEF. 

RULE 407. Customers and Accounts 

(a) No Participant shall carry an account for a Customer or enter an RFQ or Order in 

the name of a Account unless the Participant has entered into a Written agreement with the 

Customer or Account that is in compliance with Applicable Law and the BSEF Rules. 

(b) Each Participant must: (1) ensure that the Customer or Account is an ECP at the 

time of execution of any Swap; (2) subject every Swap executed for the Customer or Account to 

the terms of the BSEF Rules insofar as they are applicable to that Swap; (3) in relation to any 

Swap executed for the Customer or Account, be able to comply with all requirements of the 

BSEF Rules and any other arrangements, provisions and directions given by BSEF; and (4) 

provide BSEF and its agents, including its Regulatory Services Provider, access to all 

information in connection with or related to its SEF Activity necessary for monitoring and 

enforcement of BSEF Rules. 

RULE 408. Disclosure Requirements; Know Your Counterparty 

Requirements 

(a) With respect to Non-Cleared Swaps, Participants that are Swap Dealers or Major 

Swap Participants shall verify the status of each Counterparty as an ECP with respect to each 

Trade as provided in Part 23 of the CFTC Regulations applicable to business conduct standards 

for Swap Dealers and Major Swap Participants in their dealing with counterparties. 

(b) Each Participant must comply with the disclosure requirements imposed by the 

BSEF Rules. 

RULE 409. Books and Records 

RULE 409.A. Participant and Clearing Member Books and Records 

(a) Each Participant, Clearing Member and market participant shall prepare and keep 

current all books, ledgers and other similar records relating to SEF Activity required to be kept 

by it pursuant to the Act, CFTC Regulations and these Rules and shall prepare and keep current 

such other books and records relating to SEF Activity and adopt such forms as BSEF may from 

time to time prescribe. Such books and records shall be made available, upon request, to BSEF, 
36 

the CFTC, the Department of Justice or any Governmental Body, regulator or Self-Regulatory 

Organization with jurisdiction over BSEF, and their respective Authorized Representatives. 

(b) In addition to information required by subsection (a) of this Rule 409, each 

Participant, Clearing Member and market participant must comply with all applicable 

requirements of CFTC Regulation 1.35. 

(c) If a Participant cannot enter an Order or Request for Quote received from its 

Customer into the SEF Platform, the Participant must immediately create an electronic record 

that includes the account identifier that relates to the Customer Account, time of receipt, and 

terms of the Order or Request for Quote. 

(d) As required by CFTC Regulation 37.404, each Participant, Clearing Member and 

market participant, as applicable, must keep records of their trading on the SEF operated by 

BSEF (including records of its or its activity in the index or instrument used as a reference price, 

the underlying commodity and related derivatives markets) and make such records available, 

upon request, to BSEF, the CFTC or any Governmental Body, regulator or Self-Regulatory 

Organization with jurisdiction over BSEF, and their respective Authorized Representatives. 

(e) Each Participant, Clearing Member and market participant shall keep all books 

and records required to be kept by it pursuant to these Rules for a period of five years from the 

date on which they are first prepared unless otherwise provided in these Rules or required by 

Applicable Law. Such books and records shall be readily accessible during the first two years of 

such five-year period. During such five-year period, all such books and records shall be made 

available for inspection by, and copies thereof shall be delivered to, BSEF and its Authorized 

Representatives upon request. 

(f) Each Participant and Authorized Trader shall provide the NFA with the same 

access to its books and records and offices as it is required to provide BSEF under these Rules 

and Applicable Law. 

(g) BSEF may require a Participant, Clearing Member and market participant to 

furnish such information concerning the Participant or Clearing Member’s business that is 

subject to these Rules as BSEF deems necessary to enable it to perform its obligations under 

Applicable Law, including information relating to (i) Swaps executed on the SEF operated by 

BSEF and in related derivatives markets, including in the products underlying those Swaps, and 

(ii) information requested by a government agency relating to the SEF and/or BSEF’s 

compliance with Applicable Law that BSEF believes is maintained by, or otherwise in the 

possession of, a Participant or Clearing Member. 

(h) All data and information provided to or obtained by BSEF pursuant to this Rule 

409 shall be subject to the provisions of Rule 805. 

(i) A DMA Customer can delegate the maintenance of the DMA Customer’s records 

required by CFTC Regulation 1.35 for transactions executed on BSEF to its Sponsoring Broker; 

provided, however, that the DMA Customer has an agreement with its Sponsoring Broker 

regarding the maintenance of such records. The DMA Customer shall remain ultimately 

responsible for all CFTC Regulation 1.35 recordkeeping obligations, including any records not 

covered by the agreement with its Sponsoring Broker. Notwithstanding anything to the contrary 
37 

in this Rule 409.A, the DMA Customer shall remain directly responsible for the maintenance of 

all records set forth in Rule 409.A(d). 

RULE 409.B. BSEF Books and Records 

BSEF shall keep, or cause to be kept, complete and accurate books and records, including 

all books and records required to be maintained pursuant to the CEA, the CFTC Regulations or 

the BSEF Rules as required by CFTC Regulation 1.31. 

RULE 410. Responsibility for Mandatory Trading 

Each Participant that is a Swap Dealer or Major Swap Participant shall be responsible for 

compliance with the mandatory trading requirement under Section 2(h)(8) of the CEA and shall 

not enter into any Required Transaction outside a SEF that lists a Swap related to such Required 

Transaction. 

RULE 411. Eligibility for Clearing Exempt Transactions 

(a) Each Participant wishing to execute any Clearing Exempt Transaction on the SEF 

operated by BSEF must submit to BSEF documentation demonstrating its eligibility (or the 

eligibility of its relevant Client or Customer, if applicable) for a Clearing Exception (a 

“Clearing Exception Form”) required by CFTC Regulations or CFTC Staff No-Action 

Letters prior to sending an RFQ or placing an Order subject to the Clearing Exception. 

(b) Each Participant must comply with the conditions of the applicable Clearing 

Exception. 

CHAPTER 5. TRADING PRACTICES, REPORTING, CLEARING AND 

BUSINESS CONDUCT 

RULE 501. Scope 

This Chapter 5 prescribes Rules concerning trading practices and business conduct on the 

SEF operated by BSEF and applies to all RFQs, Orders and Trades in Swaps as defined in 

Chapter 1. 

RULE 502. Procedures 

(a) With respect to trading on or though the SEF Platform or subject to BSEF Rules, 

BSEF may adopt, without limitation, procedures relating to transactions in Swaps and trading on 

the SEF Platform or subject to BSEF Rules, including procedures to: 

(i) disseminate the prices of bids and offers on, and trades in, Swaps; 

(ii) record, and account for, Swaps and SEF Activity and regulate 

administrative matters affecting Swaps and SEF Activity; 

(iii) establish limits on the number and/or size of RFQs or Orders that may be 

submitted by a Participant through the SEF Platform or subject to BSEF Rules; 
38 

(iv) establish limits on the aggregate notional amount of Swaps that may be 

held by a Participant; 

(v) establish a limit on the maximum daily price fluctuations for any Swap 

and provide for any related restriction or suspension of trading in the Swap; and 

(vi) establish minimum price quoting increments for each Swap. 

(b) BSEF may, in its discretion and at any time, amend any procedures adopted 

pursuant to Rule 502(a), and will publish the amendments in a Notice to Participant or in any 

other manner determined appropriate by BSEF. 

RULE 503. Business Days and Trading Hours 

Except as provided in Rule 212 with respect to Emergencies, BSEF shall determine and 

publish a Notice to Participants listing the Business Days of the SEF operated by BSEF and the 

Trading Hours for each Swap. 

RULE 504. Rule Violations 

(a) It shall be an offense for a Participant, Account Manager, DMA Customer, 

Authorized Trader or Supervised Person to violate any BSEF Rule regulating the conduct or 

business of a Participant or its Account Managers, Authorized Traders or Supervised Persons, 

or any agreement made with BSEF, or to engage in fraud, dishonorable or dishonest conduct, or 

in conduct which is inconsistent with just and equitable principles of trade. 

(b) Participants shall assist BSEF in any investigation into potential violations of the 

BSEF Rules or, with respect to the SEF Activity, the CEA. Such assistance must be timely and 

may include, but not be limited to, producing documents, answering questions from BSEF or its 

designee, and/or appearing in connection with an investigation. 

(c) If a Participant has actual or constructive notice of a violation of BSEF Rules in 

connection with the use of the SEF operated by BSEF by a Participant, Customer, Account, 

Clearing Member or Authorized Trader and the Participant fails to take appropriate action, the 

Participant may be found to have committed an act detrimental to the interest or welfare of the 

SEF operated by BSEF. 

RULE 505. Fraudulent Acts 

No Participant, Account Manager, DMA Customer, Authorized Trader, Supervised 

Person or any market participant shall (a) intentionally or recklessly, directly or indirectly, 

engage, or attempt to engage, in any fraudulent act or intentionally or recklessly, directly or 

indirectly, use or employ, or attempt to use or employ, any manipulative device, scheme or 

artifice to defraud, deceive, trick or mislead or intentionally or recklessly, directly or indirectly, 

engage, or attempt to engage in any other activity prohibited by CFTC Regulation 180.1(a), or 

(b) engage, or attempt to engage, in any other activity prohibited by CEA section 9(a)(2), in each 

case of (a) and (b) in connection with or related to any SEF Activity. Specifically, no 

Participant, Account Manager, DMA Customer, Authorized Trader or Supervised Person shall 

directly or indirectly, engage in front running, fraudulent trading, money passes, trading ahead of 

customers, trading against customers, accommodation trading or improper cross trading. 
39 

RULE 506. Fictitious, Wash or Pre-Arranged Transactions 

(a) No Participant, Account Manager, DMA Customer, Authorized Trader, 

Supervised Person or any market participant that directly or indirectly effects a transaction on the 

SEF operated by BSEF shall create fictitious transactions or wash transactions or execute any 

Order with knowledge of its nature. No Person shall place or accept Orders in the same Swap 

where the Person knows or reasonably should know that the purpose of the Orders is to avoid 

taking a bona fide market position exposed to market risk (transactions commonly known or 

referred to as wash sales). Orders for different accounts with common beneficial ownership that 

are entered with the intent to negate market risk or price competition shall also be deemed to 

violate the prohibition on wash trades. Additionally, no Person shall knowingly execute or 

accommodate the execution of such Orders by direct or indirect means. 

(b) No Participant, Account Manager, DMA Customer or Authorized Trader shall 

engage in a pre-arranged transaction except as permitted by Rule 516, Rule 521 or Rule 531. 

RULE 507. Pre-Execution Communications

(a) Pre-Execution Communications with respect to Swaps executed through the 

Order Book shall be prohibited except in the case of Trades executed in accordance with Rule 

521. 

(b) Pre-Execution Communications are permitted with respect to Swaps executed 

through the Request for Quote Functionality or Manual Order Ticket in accordance with Rule 

522. 

RULE 508.A Price Manipulation 

No Participant, Account Manager, DMA Customer, Authorized Trader, Supervised 

Person or any market participant shall directly or indirectly engage in any conduct that 

manipulates or attempts to manipulate the price of any Swap, including without limitation, 

engaging in activity in violation of CFTC Regulation 180.2. 

RULE 508.B Disruptive Practices 

(a) No Participant, Account Manager, DMA Customer, Authorized Trader or 

Supervised Person shall engage in any trading, practice or conduct that constitutes a 

“disruptive practice,” as such term is described in CEA section 4c(a)(5) or in any interpretive 

guidance issued by the CFTC, in relation to the trading of any Swap. 

(b) A Participant may post on the CLOB and submit an RFQ to the SEF Platform in 

the same Swap at the same time using the same Participant ID only as permitted by Rule 

508.B(a) and Rule 508.A. 

RULE 509. Prohibition of Misstatements 

It shall be an offense to make any knowing misstatement of a material fact to BSEF, any 

SEF Official, any Board committee or SEF panel, the Compliance Department and/or agents of 

BSEF (including the Regulatory Services Provider) or any Participant or any of its Account 

Managers, Authorized Traders or Supervised Persons. 
40 

RULE 510. Acts Detrimental to Welfare of SEF 

It shall be an offense to engage in any act that is detrimental to the interest or welfare of 

the SEF operated by BSEF.

RULE 511. Adherence to Law 

(a) No Participant, Account Manager, Customer, Authorized Trader or Supervised 

Person shall engage in conduct in violation of the BSEF Rules, the Act, CFTC Regulations, the 

Rules of any SEF, or the rules of any DCM, DCO or SRO that has jurisdiction over such 

Participant, Account Manager, Customer, Authorized Trader or Supervised Person or, with 

respect to SEF Activity, the laws, rules or regulations of any relevant Governmental Body. 

(b) Without limiting subsection (a) of this Rule, 

(i) each Participant that is an FCM or a Clearing Member must comply with 

all requirements of Applicable Law regarding the treatment of Customer 

funds and Customer Orders; and 

(ii) each Participant, Customer or Account must comply with all margin 

requirements established by each relevant Clearing House and by each relevant Clearing 

Member, if applicable, as well as any margin requirements set forth by the CFTC or 

Applicable Law. 

RULE 512. Use of Trading Privileges 

No Participant, Account Manager, DMA Customer, Authorized Trader or Supervised 

Person may use such Participant’s Trading Privileges in any way that could be expected to bring 

disrepute upon such Participant, Account Manager, DMA Customer, Authorized Trader or 

Supervised Person. 

RULE 513. Supervision 

Each Participant, DMA Customer and Account Manager shall be responsible for 

establishing, maintaining and administering reasonable supervisory procedures to ensure that its 

Authorized Traders and Supervised Persons, as applicable, comply with the BSEF Rules, the 

Act, CFTC Regulations, the Rules of any SEF, or the rules of any DCM, DCO or SRO that has 

jurisdiction over such Participant, Account Manager, DMA Customer, Authorized Traders or 

Supervised Persons or, with respect to SEF Activity, the laws, rules or regulations of any 

relevant Governmental Body, and such Participant may be held accountable for the actions of 

such Account Managers, Authorized Traders or Supervised Persons. 

RULE 514. Misuse of the SEF Platform 

Misuse of the SEF Platform is strictly prohibited. Only Swaps can be traded on the SEF 

operated by BSEF. It shall be deemed an act detrimental to the interest and welfare of the SEF 

operated by BSEF to willfully or negligently engage in unauthorized use of the SEF Platform, to 

assist any Person in obtaining unauthorized access to the SEF Platform, to trade on the SEF 

Platform without an agreement and an established account with a Derivatives Clearing 

Organization or a Clearing Member, to alter the equipment associated with the SEF Platform, to 
41 

interfere with the operation of the SEF Platform, to intercept or interfere with information 

provided thereby, or in any way to use the SEF Platform in a manner contrary to the BSEF 

Rules. 

RULE 515. Mishandling of Customer Orders 

Any Participant that mishandles any Customer Order is responsible for all remedial 

actions with respect to such Order.

RULE 516. Trade Cancellation, Correction, Offset and Adjustment 

RULE 516.A Trade Review and Notification of Action Taken – Cleared 

Swaps 

(a) Any Trade in Cleared Swaps executed on or in accordance with the Rules of the 

SEF operated by BSEF can be canceled, corrected, adjusted or offset only upon consent of BSEF 

and in accordance with this Rule 516. To request cancellation, correction, adjustment or offset 

of a Trade alleged to be erroneous (“Alleged Error Trade”), a Participant must notify the BSEF 

Support Desk at 1-212-617-1530 or bsefdesk@bloomberg.net or by any form of written 

communication approved by BSEF by providing the Trade ID (FIT Key) of the Alleged Error 

Trade and stating the grounds for the request as soon as possible, but no later than the end of the 

Business Day following the date of execution of the Alleged Error Trade. For notifications 

received after such date, BSEF shall have discretion as to whether to review the request to 

cancel, correct, adjust or offset the Alleged Error Trade. 

(b) For an Alleged Error Trade, the Compliance Department will review promptly the 

electronic audit trail of the Alleged Error Trade as well as any other facts and circumstances 

associated with the Alleged Error Trade. If BSEF makes an affirmative finding that the Alleged 

Error Trade was the result of a clerical or operational error and that the cancellation, correction, 

adjustment or offset of the Alleged Error Trade is appropriate and would not adversely impact 

market integrity, facilitate market manipulation or other illegitimate activity, or otherwise violate 

the CEA, CFTC Regulations or BSEF Rules, BSEF will designate such Alleged Error Trade as 

an “Error Trade.” 

(c) BSEF will inform affected Participants of the Error Trade and of the next steps 

that the Participants must or could make. BSEF will also inform the affected Participants of the 

final disposition of the Error Trade. 

(d) In the course of its review of an Alleged Error Trade, other than a Trade executed 

via the CLOB, BSEF may, but is not obliged to, inform Participants affected by the Alleged 

Error Trade of the identity and contact information of any other Participant affected by the 

Alleged Error Trade. 

(e) For Trades executed via the CLOB that are determined to be Error Trades, BSEF 

will inform Participants affected by the Error Trade of the identity and contact information of 

any other Participant affected by the Error Trade if (i) all such Participants agree to or are 

required to enter into Trades described in Rule 516.B; and (ii) all such Participants consent to the 

disclosure of their identity and contact information to any other Participant affected by the Error 

Trade. 
42 

(f) For purposes of this Rule 516, a Participant involved in an Alleged Error Trade 

and acting as an Account Manager, Introducing Broker or FCM shall have the authority to 

request or consent to the cancellation, adjustment or offset, as applicable, of such Trade on 

behalf of the relevant Counterparty involved in the Trade. 

(g) “Offsetting Terms” mean the terms that match all terms of the corresponding 

Error Trade other than the direction of the Error Trade. 

RULE 516.B Error Trade Cancellation, Correction, Adjustment and Offset 

– Cleared Swaps 

(a) Participant Errors

(i) For each Error Trade cleared by a Clearing House, BSEF may, if both 

Participants agree: 

(A) request, or allow the Participants to request, the appropriate 

Clearing House to cancel, correct or adjust the Error Trade; or 

(B) allow the affected Participants to enter into a pre-arranged Trade 

with Offsetting Terms to offset the position on the books of the Clearing 

House that resulted from the Error Trade; and/or 

(C) if desired by the affected Participants, allow the affected 

Participants to execute a new Trade that corrects the error in the Error 

Trade, provided, however, that the terms of such new Trade shall not 

include costs or fees associated with the Error Trade. 

(ii) For each Error Trade rejected by a Clearing House and determined to be 

void ab initio under Rule 533 because of an operational or clerical error or omission 

made by a Participant, Counterparty or Account Manager, BSEF may, if both Participants 

agree, allow the affected Participants to enter into a new pre-arranged Trade correcting 

the terms of the rejected Error Trade. 

(iii) All BSEF Rules other than Rule 522.A shall apply to new Trades executed 

by Participants pursuant to this Rule 516.B(a). 

(iv) Participants must report to BSEF as soon as possible all changes made to 

the Error Trade pursuant to Rule 516.B(a)(i)(A). 

(v) With respect to an Error Trade rejected by a Clearing House for non-credit 

reasons, if the new Trade that corrects the Error Trade is also rejected by the Clearing 

House and void ab initio, the affected Participants will not be provided a second 

opportunity to correct the Error Trade. 

(b) System Errors

(i) If, after its own investigation or a notice from a Participant, BSEF 

determines in its sole discretion that the execution of a Trade cleared by a Clearing House 
43 

was the result of an error made by the SEF Platform and the Trade has been designated as 

an Error Trade, then BSEF may: 

(A) request, or allow the Participants to request, the appropriate 

Clearing House to cancel, correct or adjust the Error Trade; or 

(B) direct the affected Participants to enter into a pre-arranged Trade 

with Offsetting Terms to offset the position on the books of the Clearing 

House that resulted from the Error Trade; and/or 

(C) direct the affected Participants to execute a new Trade that corrects 

the error in the Error Trade, provided, however, that the terms of such new 

Trade shall not include costs or fees associated with the Error Trade. 

(ii) If, after its own investigation or a notice from a Participant, BSEF 

determines in its sole discretion that the execution of a Trade rejected by a Clearing 

House and determined to be void ab initio under Rule 533 because of an operational or 

clerical error or omission made by the SEF Platform was the result of an error made by 

the SEF Platform and the Trade has been designated as an Error Trade, then BSEF may 

direct the affected Participants to enter into a new pre-arranged Trade correcting the 

terms of the rejected Error Trade, provided, however, that the terms of such new Trade 

shall not include costs or fees associated with the Error Trade. 

(iii) If BSEF directs affected Participants to enter into a pre-arranged Trade in 

accordance with sub-section (i)(B) above, the affected Participants shall enter into such 

pre-arranged Trade. 

(iv) All BSEF Rules other than Rule 522.A shall apply to new Trades executed 

by Participants pursuant to this Rule 516.B(b). 

(v) Notwithstanding anything to the contrary in this Rule 516(B)(b), BSEF 

reserves the right to correct an Error Trade resulting from an error made by the SEF 

Platform by any means BSEF deems appropriate. 

(vi) If BSEF is unable to determine how to correct the Error Trade, BSEF may 

either not fix the error, or it may seek guidance on how to address the error from the 

affected Participants. Any such guidance may not be implemented without consent from 

both Participants. 

(vii) Participant must report to BSEF as soon as possible all changes made to 

the Error Trade pursuant to Rule 516.B(b)(i)(A). 

(viii) With respect to an Error Trade rejected by a Clearing House for non-credit 

reasons, if the new Trade that corrects the Error Trade is also rejected by the Clearing 

House and void ab initio, the affected Participants will not be directed to enter into 

another Trade to correct the Error Trade. 

(c) Timing of an Offset or Correction. 
44 

(i) For Error Trades rejected by a Clearing House for non-credit reasons, the 

new Trade must be executed on the SEF operated by BSEF and submitted for clearing as 

quickly as technologically practicable after receipt of notice of the rejection by the 

Clearing House to the Clearing Members, but, in any event, no later than one hour from 

the issuance of the notice. 

(ii) For Error Trades in Cleared Swaps, the Trade to offset the Error Trade 

carried on the Clearing House’s books or the new Trade that corrects the error in the 

Error Trade executed pursuant to this Rule 516.B must be executed and submitted for 

clearing no later than three Business Days after the Error Trade was executed. 

(d) This Rule 516.B is subject to CFTC No-Action Letter 17-27, which does not 

expire until the effective date of revised CFTC Regulations that establish a permanent, 

practicable solution for swaps with operational or clerical errors executed on a SEF. 

RULE 516.C Erroneous Trade Cancellation, Correction and Adjustment – 

Non-Cleared Swaps 

(a) Participant Error 

(i) The Participants involved in an erroneous Trade, other than a Prime 

Broker Trade, may mutually agree to cancel the erroneous Trade or to correct or adjust 

the erroneous Trade. BSEF will cancel, correct or adjust the erroneous Trade as 

instructed by the affected Participants. A Prime Broker Trade shall be canceled in 

accordance with Rule 516.D. 

(b) System Error 

(i) If, after its own investigation or a notice from a Participant, BSEF 

determines in its sole discretion that the execution of a Trade, other than a Prime Broker 

Trade, was the result of an error made by the SEF Platform, then BSEF may: 

(A) cancel such Trade; or 

(B) if both Participants, or with respect to a Prime Broker Trade, both 

Participants and the Prime Broker, affected by the erroneous Trade agree, 

correct or adjust the price. 

(c) Timing of a Correction, Cancellation or Adjustment. Any correction, 

cancellation or adjustment made pursuant to this Rule 516.C shall be made no later than three 

Business Days after the erroneous Trade was discovered. 

RULE 516.D Prime Broker Trades 

(a) A Participant that is a Counterparty to a Prime Broker Trade may request the 

cancellation of a Prime Broker Trade. The Participant must request cancellation by sending a 

cancellation message to BSEF. The cancellation message must state the USI of the Prime Broker 

Trade, name and contact information of the Prime Broker for the Prime Broker Trade and the 

reason for cancellation. If the Prime Broker confirms the cancellation, BSEF will cancel the 

Prime Broker Trade. 
45 

(b) Subject to subsection (c) of this Rule, a Prime Broker shall have the right to 

cancel any Prime Broker Trade (i) that is executed in excess of the limit, terms or parameters 

established by the Prime Broker with respect to the Prime Broker Trade, (ii) because the Prime 

Broker Trade was executed by or with a Person that was not authorized by the Prime Broker, or 

(iii) because the Prime Broker Trade was executed for an unauthorized product. The Prime 

Broker must request cancellation by sending a cancellation message to BSEF. The cancellation 

message must state the USI of the Prime Broker Trade and the reason for cancellation. If BSEF 

determines that the cancellation satisfies the conditions of Rule 516.D(b), BSEF will cancel the 

Prime Broker Trade. 

(c) Each Prime Broker that wishes to have the ability to instruct BSEF to cancel 

Trades executed on BSEF under Rule 516.D.(b) must enter into an agreement with BSEF. 

RULE 516.E Trade Cancellation and Adjustment by BSEF 

(a) BSEF may adjust or cancel a Trade (i) that resulted from a market disrupting 

event, (ii) that is executed at a price that was outside the No-Bust Range, (iii) to comply with 

the Applicable Law or (iv) that was intended to be cleared and was submitted to a Clearing 

House via a service provider but was not presented to the Clearing House for clearing due to a 

post-execution processing issue. 

(b) If BSEF takes action pursuant to this Rule 516.E, it will give prompt notice to 

affected Participant or Participants and will use good faith, commercially reasonable efforts to 

obtain such Participants’ consent to such adjustment or cancellation. 

RULE 516.F Trade Reporting by BSEF 

BSEF will report the adjustment or cancellation of the Trade and any new Trade entered 

into pursuant to this Rule in accordance with Rule 532. 

RULE 517. Withholding Orders Prohibited 

(a) Any Participant entering RFQs or Orders on the SEF operated by BSEF for its 

Customers shall not withhold or withdraw from the market any RFQ or Order, or any part of an 

RFQ or Order, for the benefit of any Person other than the Customers. 

(b) A Participant must enter immediately into the SEF operated by BSEF all Orders 

or Requests for Quotes received from its Customers that are executable immediately. If a 

Participant cannot immediately enter into the SEF Platform an Order or Request for Quote 

received from its Customer, the Participant must enter the Order or Request for Quote into the 

SEF operated by BSEF as soon as practicable, and must immediately create an electronic record 

as provided in Rule 409. 

RULE 518. Priority of Customers’ Orders 

No Participant that is an FCM or Introducing Broker shall enter an Order into the SEF 

operated by BSEF for his own account, an account in which he has a direct or indirect financial 

interest or an account over which he has discretionary trading authority, including an Order 

allowing discretion as to time and price, when such Person is in possession of any Order in the 

same Swap for its Customer that the SEF operated by BSEF is capable of accepting. 
46 

RULE 519. Trading Against Customers’ Orders Prohibited 

RULE 519.A. General Prohibition 

No Person in possession of a Customer’s Order shall knowingly take, directly or 

indirectly, the opposite side of such Order for its own account, an account in which it has a direct 

or indirect financial interest, or an account over which it has discretionary trading authority. 

RULE 519.B. Exceptions 

The foregoing restriction shall not apply to transactions executed pursuant to Rule 531.A 

or Rule 531.B. 

RULE 520. Disclosing Orders Prohibited 

No Person shall disclose another Person’s RFQ or Order to buy or sell except to a 

designated SEF Official or the CFTC, and no Person shall solicit or induce another Person to 

disclose RFQ or Order information. No Person shall take action or direct another to take action 

based on non-public RFQ or Order information, however acquired. 

RULE 521. Simultaneous Buy And Sell Orders For Different Beneficial 

Owners 

(a) A Participant that is a broker or a dealer which seeks either to execute against a 

Customer’s Order or to execute two Customers against each other through an Order Book 

following some form of pre-arrangement or pre-negotiating of such Orders must expose one side 

of the transaction for a minimum of 15 seconds to the other Participants before the second side of 

the transaction (whether for the Participant’s own account or for a second Customer) can be 

submitted for execution.

(b) Notwithstanding the foregoing clause (a), this Rule shall not apply to any DMA 

Order.

RULE 522. Execution of Orders on the SEF Platform 

RULE 522.A. Required Transactions 

(a) No Participant shall execute a Required Transaction in a Swap listed on the SEF 

operated by BSEF other than as described in this Rule 522.A unless it is a Block Trade. 

(b) Request for Quote Functionality 

(i) An RFQ for a specific Swap must be sent to at least three MAT Recipient 

Participants. A Participant is prohibited from sending an RFQ to less than three MAT 

Recipient Participants. 

(ii) Together with the first response from any MAT Recipient Participant, the 

SEF Platform will display to a Requesting Participant any firm Resting Quotes for the 

Swap indicated in the RFQ that are posted on an Order Book together with any responses 

to the RFQ from the MAT Recipient Participants, and such Resting Quotes will remain 
47 

displayed until all responses to the RFQ are received or the time for response has lapsed. 

The SEF Platform will permit the Requesting Participant to execute against such firm 

Resting Quotes along with any responsive Order from a MAT Recipient Participant. 

“MAT Recipient Participant” means, with respect to any Requesting Participant 

sending any RFQ via the Request for Quote functionality of the SEF Platform, a 

Participant other than the Requesting Participant that (x) is not an Affiliate of or 

Controlled by the Requesting Participant and (y) is not an Affiliate of or Controlled by 

any other MAT Recipient Participant receiving the same RFQ of the Requesting 

Participant. 

(iii) The Request for Quote Functionality will provide each Participant with 

equal priority in receiving RFQs, transmitting and displaying responses and accepting 

resulting Orders. 

(c) CLOB for Cleared Swaps 

Only firm bids and offers can be posted on the CLOB. Firm bids or offers may be 

posted on the CLOB for Cleared Swaps only by a Participant that is a member of the applicable 

Clearing House, by a Participant that has a clearing account with a Clearing Member as set forth 

in Rule 533(b), or by a Participant in the name of an Account or Customer that has a clearing 

account with a Clearing Member as set forth in Rule 533(b). Bids and offers posted on the 

CLOB for Cleared Swaps are anonymous and will be matched on a price/time priority basis. 

RULE 522.B. Permitted Transactions 

The following execution methods are available for Permitted Transactions: 

(a) Disclosed Order Book for Permitted Transactions in foreign exchange Swaps; 

(b) Anonymous CLOB for Permitted Transactions in rate Swaps and credit Swaps 

that are Cleared Swaps; 

(c) Disclosed CLOB for Permitted Transactions in rate Swaps and credit Swaps that 

are Non-Cleared Swaps; 

(d) Request For Quote Functionality-request for streaming quote for rate Swaps, 

credit Swaps, non-deliverable forwards and precious metals Swaps; 

(e) Request For Quote Functionality-request for non-streaming quote for all Swaps; 

and 

(f) Manual Order Ticket for Permitted Transaction rate Swaps and credit Swaps that 

are Cleared Swaps. 

RULE 522.C. Package Transactions 

(a) Other than as set forth in Rule 522.C(b), a Package Transaction or a component of 

a Package Transaction that is a Required Transaction must be executed as provided in Rule 

522.A. 
48 

(b) A Covered Package Transaction or a component of a Covered Package 

Transaction that is a Required Transaction may be executed using the following means of 

execution for Permitted Transactions in accordance with CFTC No-Action Letter 17-55, which 

expires November 15, 2020: 

(i) Request For Quote Functionality-request for non-streaming quote; and 

(ii) Manual Order Ticket. 

RULE 522.D. Execution of Swaps Subject to the Clearing Exemption 

No Participant shall enter into a Clearing Exempt Transaction unless it (or its Account or 

Customer) or its Counterparty can claim a Clearing Exception with respect to such Clearing 

Exempt Transaction. An Order for a Clearing Exempt Transaction will be rejected if an 

applicable Clearing Exception Form is not on file with BSEF. 

RULE 522.E. Block Trades 

(a) In accordance with CFTC No-Action Letter 17-60, which expires November 15, 

2020 at 11:59 p.m. EST, until November 15, 2017 Block Trades in Cleared Swaps may be 

executed using the Request for Quote Functionality or a Manual Order Ticket and reported to an 

SDR as set forth in BSEF Rule 532(d). 

(b) Each Counterparty to a Block Trade must be an ECP. 

(c) The aggregation of Orders for different accounts in order to satisfy the Minimum 

Block Trade size is permissible only by a Person who is a Qualified Account Manager. 

(d) A Qualified Account Manager transacting an aggregated Block Trade on behalf of 

any other Person must receive prior Written instruction or consent from each such other Person 

to do so. Such instruction or consent may be provided in the power of attorney or similar 

document by which the other Person provides the Person with discretionary trading authority or 

the authority to direct the trading in its account. 

RULE 523. Trade Confirmations 

(a) BSEF will confirm each Trade at the same time as execution of the Trade. BSEF 

will provide each Counterparty to a Trade that is entered into on or pursuant to the BSEF Rules 

with a Written record of all of the terms of the Trade which shall legally supersede any previous 

agreement and serve as a confirmation of the transaction (a “Confirmation”) as soon as 

technologically practicable after the execution of a Trade. Such terms shall legally supersede 

any previous agreement and serve as a confirmation of the Trade. BSEF will not include specific 

customer identifiers for accounts included in Bunched Orders if the applicable requirements of 

CFTC Regulation 1.35(b)(5) are met.

(b) On the Confirmation BSEF will:

(i) provide the USI for the Trade and the name of the SDR where the Trade is 

reported; 
49 

(ii) identify the Counterparty that is a Reporting Counterparty pursuant to 

CFTC Regulation 45.8, and notify each Counterparty or its agent if the Counterparty is a 

Reporting Counterparty, using the information provided by a Participant pursuant to Rule 

524.A or 524.C; and 

(iii) if each Counterparty has equal reporting status under CFTC Regulation 

45.8 BSEF will designate the Reporting Counterparty using the following rules: 

(A) For rates asset class, the Reporting Counterparty will be 

determined in accordance with the ISDA Dodd-Frank Act – Swap 

Transaction Reporting Party Requirements, the relevant portion of which 

is attached to this Rulebook as Annex A; 

(B) For credit asset class, the Reporting Counterparty is the seller of 

protection; 

(C) For foreign exchange and commodity asset classes: the Reporting 

Counterparty is the liquidity provider. A “liquidity provider” is a Person 

that: (i) for RFQ, provided the responses to an RFQ that led to the reported 

Trade; or (ii) for an Order Book, provided the first quote that led to the 

reported Trade. 

(c) With respect to any Non-Cleared Swap, a Confirmation shall for purposes of 

Commission Regulation 37.6(b) consist of the Trade Communication and the Terms 

Incorporated by Reference. In the event of any conflict between (x) the Trade Communication 

and (y) the Terms Incorporated by Reference, the Trade Communication shall prevail to the 

extent of any inconsistency and the Trade Communication will state the same. 

“Trade Communication” shall mean a Written communication provided by 

BSEF to each Participant involved in a Trade containing the economic terms of 

the Trade agreed by the Participants on the SEF operated by BSEF. 

“Terms Incorporated by Reference” shall mean the Non-Cleared Swap 

Agreement(s) governing the Trade memorialized in the Trade Communication. 

(d) In accordance with CFTC No-Action Letter 16-25 and CFTC No-Action Letter 

17-17, until the effective date of revised CFTC regulations that establish a permanent, 

practicable SEF confirmation solution, Participants entering into Non-Cleared Swaps on or 

subject to the rules of the SEF operated by BSEF are not required to provide to BSEF the NonCleared Swap Agreement(s) governing such Non-Cleared Swaps prior to entering into a Trade in 

a Non-Cleared Swap, but must provide copies of the Non-Cleared Swap Agreement(s) to BSEF 

upon request. Upon request from the Commission, BSEF will request a Participant to provide 

copies of the applicable Non-Cleared Swap Agreement(s) and will provide such copies to the 

Commission. 
50 

RULE 524. Order Entry Requirements 

RULE 524.A. General 

Each Authorized Trader entering an RFQ or Order with respect to any Swap traded on 

the SEF operated by BSEF must include with the Order, as applicable: 

(a) the Trader ID; 

(b) the Participant ID; 

(c) the Legal Entity Identifier of the Participant or Account Manager placing the RFQ 

or Order, if available; 

(d) the Counterparty’s Legal Entity Identifier; 

(e) the Swap description or code; 

(f) the price or yield, quantity, maturity or expiration date of the Swap; 

(g) side of the Order; 

(h) the CTI code; 

(i) Trading Accounts and other relevant account(s); 

(j) a yes/no indication of whether the Counterparty is a Swap Dealer with respect to 

the Swap with respect to which the Order is placed; 

(k) a yes/no indication of whether the Counterparty is a Major Swap Participant with 

respect to the Swap with respect to which the Order is placed; 

(l) a yes/no indication of whether the Counterparty is a Financial Entity; 

(m) a yes/no indication of whether the Counterparty is a U.S. person; 

(n) a yes/no indication that a Swap is an inter-affiliate Swap that should not be 

subject to the real-time reporting requirements; 

(o) a yes/no indication of the Clearing Exception; 

(p) an indication of whether the Swap is a leg of a Package Transaction that is a Swap 

subject to (i) the trade execution requirement of Section 2(h)(8) of the Act and (ii) relief granted 

by CFTC No-Action Letter 16-76; 

(q) if applicable, other terms of a Swap that is not a Cleared Swap required by BSEF 

(e.g., type of Clearing Exception, collaterization); or 

(r) if the Swap will be allocated: 

(i) an indication that the Swap will be allocated; and 
51 

(ii) the Legal Entity Identifier of the Account Manager. 

RULE 524.B. Customer Type Indicator (CTI) Codes 

Each Participant must identify each transaction submitted to the SEF operated by BSEF 

with the correct customer type indicator code (a “CTI” code). The CTI codes are as follows: 

CTI 1- Transactions executed by a Participant for its own account, for an account it 

controls, or for an account in which it has an ownership or financial interest. 

Applies to Trades placed by Account Managers and proprietary traders other than 

FCMs and Introducing Brokers.

CTI 2- Transactions executed for the Proprietary Account of a Participant. Applies to 

FCMs and Introducing Brokers trading for their Proprietary Accounts. 

CTI 3- Orders that a Participant executes on behalf of another Participant, or for an 

account such other Participant controls or in which such other Participant has an 

ownership or financial interest. Applies to Trades placed by a DMA Customer 

using the Participant ID of the Sponsoring Broker. 

CTI 4- Any transaction not meeting the definition of CTIs 1, 2 or 3. Applies to Trades 

placed by FCMs and Introducing Brokers for their Customers and anything else.

RULE 524.C. Pre-Arranged Transactions 

All Trades executed in accordance with Rule 531, unless otherwise exempted by a Rule, 

must be in the form of a Written or electronic record and include in the Order ticket all 

information required by Rule 524.A. 

RULE 525. Position Limits 

(a) To reduce the potential threat of market manipulation or congestion, BSEF shall 

adopt for each of the contracts of the SEF operated by BSEF, as is necessary and appropriate, 

position limitations for speculators. Where the CFTC has established a position limit for any 

Swap, BSEF’s position limit for that Swap shall not be higher than such limit established by the 

CFTC. Such limits will apply only with respect to trading on the SEF operated by BSEF. 

(b) Except as otherwise provided by the BSEF Rules, no Person, including a 

Participant, may hold or control a position in excess of such position limits and a Participant may 

not maintain a position in excess of such position limits for an Account or Customer if such 

Participant knows, or with reasonable care should know, that such position will cause such 

Account or Customer to exceed the applicable position limits. 

(c) Position limits shall apply to (i) all positions in accounts for which any Person, by 

power of attorney or otherwise, directly or indirectly holds positions or controls trading, and (ii) 

positions held by two or more Persons acting pursuant to an expressed or implied agreement or 

understanding, as if the positions were held by, or the trading of the positions were done by, a 

single Person. 
52 

(d) For Required Transactions, BSEF will enforce position limits only for Trades 

executed on the SEF operated by BSEF. If BSEF establishes position limits or position 

accountability levels for Permitted Transactions, BSEF will demonstrate compliance with CFTC 

Regulation 37.600 by sending the CFTC a list of Permitted Transactions traded on the SEF 

operated by BSEF. 

RULE 526. Exemptions from Position Limits 

Any Person seeking an exemption from the position limits referred to in Rule 525 must 

file an application with BSEF. BSEF shall notify the applicant whether the exemption has been 

approved and whether BSEF has imposed any limitations or conditions on the exemption. The 

decision of BSEF shall be final. 

RULE 527. Position Accountability 

(a) To reduce the potential threat of market manipulation or congestion, BSEF shall 

adopt for each of the contracts of the SEF operated by BSEF, as is necessary and appropriate, 

position accountability levels for speculators. Any Person, including a Participant, who owns or 

controls Swaps in excess of the applicable position accountability level shall provide to BSEF at 

its request any information regarding the nature of the position, trading strategy or hedging 

activities, if applicable, and if ordered by BSEF, shall not increase the size of any such position. 

(b) For purposes of this Rule, all positions in accounts for which a Person, by power 

of attorney or otherwise, directly or indirectly controls trading shall be included with the 

positions held by such Person. The provisions of this Rule shall apply to positions held by two 

or more Persons acting pursuant to an expressed or implied agreement or understanding, as if the 

positions were held by a single Person. 

RULE 528. Bunched Orders and Orders Eligible for Post-Execution 

Allocation 

(a) Only the following categories of Persons may place a Bunched Order to be 

allocated post-execution on the SEF Platform or that is subject to BSEF Rules: 

(i) a commodity trading advisor registered with the Commission pursuant to 

the Act or excluded or exempt from registration under the Act or the CFTC Regulations, 

except for entities exempt under CFTC Regulation 4.14(a)(3); 

(ii) an investment adviser registered with the SEC pursuant to the Investment 

Advisers Act of 1940 or with a state pursuant to applicable state law or excluded or 

exempt from registration under the Investment Advisers Act of 1940 or applicable state 

law or rule; 

(iii) a bank, insurance company, trust company, or savings and loan 

association subject to federal or state regulation; 

(iv) a foreign adviser that exercises discretionary trading authority solely over 

the accounts of non-U.S. persons, as defined in CFTC Regulation 4.7(a)(1)(iv); 
53 

(v) a Futures Commission Merchant registered with the Commission pursuant 

to the Act; or 

(vi) an Introducing Broker registered with the Commission pursuant to the 

Act. 

(b) Bunched Orders must be allocated and recorded in accordance with CFTC 

Regulation 1.35(b)(5) and the NFA’s Interpretative Notice related to Compliance Rule 2-10. 

(c) Bunched Orders may be entered using an Account Series Designation or suspense 

account number; provided, however, that: 

(i) the Order is being placed by an Account Manager for multiple accounts 

eligible for post-execution allocation; and 

(ii) in accordance with CFTC No-Action Letter 15-68, which expires 

November 15, 2017, an Account Manager that places a Bunched Order shall keep and 

must make available upon request of any representative of the Commission, the United 

States Department of Justice, BSEF or other appropriate regulatory agency, records 

sufficient to demonstrate that all allocations meet the standards of CFTC Regulations 

1.35(b)(5)(iv) and to permit the reconstruction of the handling of the order from the time 

of placement by the Account Manager to the allocation to individual accounts. 

RULE 529. Orders Entered Prior to SEF Opening 

Participants are prohibited from sending any Request for Quote or Order or using an 

Order Book or any other facility of BSEF prior to the opening of the trading session. 

RULE 530. Identification of Authorized Traders 

Each Authorized Trader shall be identified to BSEF and shall be subject to the BSEF 

Rules. It is the duty of the Participant to ensure that Authorized Trader (and Trader ID) 

registration is current and accurate at all times. Each individual must use a Trader ID to access 

the SEF operated by BSEF. In no event may a Person enter an RFQ or Order or permit the entry 

of an RFQ or Order by an individual using a user Trader ID other than the individual’s own 

Trader ID. 

RULE 531. Pre-Arranged Transactions 

RULE 531.A. Block Trades 

(a) Each buy or sell Order underlying a Block Trade must (1) if the Order is entered 

by a broker, state explicitly that it is to be, or may be, executed by means of a Block Trade and 

(2) comply with any other applicable CFTC Regulations governing Block Trades. 

(b) Each Person transacting a Block Trade shall be a Participant and shall comply 

with all applicable BSEF Rules other than those which by their terms only apply to trading 

through the SEF Platform. 
54 

(c) Each Counterparty to a Block Trade must be an ECP. 

(d) A Block Trade must be reported to the SEF operated by BSEF. A Block Trade 

must be reported to the SEF operated by BSEF by one Counterparty (or a Participant acting on 

behalf of such Counterparty) and confirmed by the other Counterparty (or a Participant acting on 

behalf of such Counterparty) as soon as practicable after its execution, but may not be submitted 

any later than 10 minutes after the execution of the Block Trade. Each Block Trade must state 

the time of execution to the nearest millisecond. 

(e) BSEF will review the information submitted by the Participant(s) for the Block 

Trade and will report the Block Trade as required by Part 43 and Part 45 of the CFTC 

Regulations if the details are complete and accurate in accordance with this Rule. A Participant 

that executes a Bunched Order as a Block Trade must comply with Rule 524.C. A Participant 

that executes a Bunched Order as a Block Trade must provide BSEF with the allocation 

information as soon as practicable. 

(f) Block Trades shall not trigger unexecuted Orders. 

(g) Each Participant or Account Manager that is a party to a Block Trade or executes 

a Block Trade on behalf of its Accounts or Customers must comply with the recordkeeping 

requirements set forth in Rule 409.A(c). Upon request by BSEF, such Participant shall produce 

satisfactory evidence, including the order ticket referred to in the preceding sentence, that the 

Block Trade meets the requirements set forth in this Rule 531.A. 

(h) Any Block Trade in violation of these requirements shall constitute conduct 

which is inconsistent with just and equitable principles of trade. 

(i) The aggregation of Orders for different accounts in order to satisfy the Minimum 

Block Trade size is permissible only by a Person who is a Qualified Account Manager. 

(j) A Qualified Account Manager transacting an aggregated Block Trade on behalf of 

any other Person must receive prior Written instruction or consent from each such other Person 

to do so. Such instruction or consent may be provided in the power of attorney or similar 

document by which the other Person provides the Person with discretionary trading authority or 

the authority to direct the trading in its account. 

RULE 531.B. Trade Correction 

 If permitted by Rule 516, two Participants may pre-arrange a trade correcting an error. 

RULE 531.C. Covered Package Transactions 

 Two Participants may arrange bilaterally a Covered Package Transaction subject to BSEF 

Rules outside the SEF Platform; provided, however, that each component of such Covered 

Package Transaction that is a Required Transaction must be executed on the SEF Platform. Such 

Required Transaction may be executed via execution methods for Permitted Transactions. 
55 

RULE 532. Reporting to SDR 

(a) BSEF will report each Trade to an SDR of BSEF’s choice as soon as 

technologically practicable after the execution of such Trade. For Cleared Swaps, BSEF will 

report all real-time data required by Part 43 of the CFTC Regulations and all creation data 

required by Part 45 of the CFTC Regulations. Until the expiration date of CFTC No-Action 

Letter 16-25, for Non-Cleared Swaps, BSEF will report all real-time data required by Part 43 of 

the CFTC Regulations and all primary economic terms data required by Part 45 of the CFTC 

Regulations, as well as any confirmation data that is readily available and collected by BSEF. 

(b) The Reporting Counterparty designated in accordance with subsection (b) of Rule 

523 shall comply with all reporting obligations set forth in Part 45 of the CFTC Regulations 

applicable to a Reporting Counterparty including reporting Trade allocations. 

(c) BSEF will report the actual notional or principal amount of a Block Trade to the 

appropriate SDR as set forth in Part 43 and Part 45 of the CFTC Regulation. 

(d) A Participant that is a Reporting Counterparty or the Account Manager or broker 

for a Reporting Counterparty may instruct BSEF to report a Trade executed pursuant to BSEF 

Rules 522.E or 531.A as a “block trade” for purposes of Part 43 of CFTC Regulations. 

(e) Each Participant that is the Reporting Counterparty, or an Account Manager or 

broker for a Reporting Counterparty shall review the Trade details as soon as technologically 

practicable upon transmission of the Trade details to the Participant. The non-reporting 

counterparty shall report any errors in such Trade details to the Reporting Counterparty as soon 

as technologically practicable. The Reporting Counterparty shall report all errors in such Trade 

details to BSEF as soon as technologically practicable after finding or being made aware of any 

error or omission in the data as reported and/or maintained by the relevant SDR. BSEF shall 

then submit the corrected data to the relevant SDR. 

(f) No Person, including BSEF, shall submit or agree to submit a cancellation or 

correction for the purpose of re-reporting Swap transaction and pricing data in order to gain or 

extend a delay in public dissemination of accurate Swap transaction or pricing data or to 

otherwise evade the reporting requirements in Part 43 of the CFTC Regulations. 

(g) BSEF will report all Trades to DTCC Data Repository (U.S.) LLC. 

RULE 533. Cleared Swaps 

(a) Each Cleared Swap shall be cleared through the Clearing House indicated in the 

Swap Specification in accordance with the CEA and the CFTC Regulations. 

(b) For each Cleared Swap a Participant expects to enter into via the SEF Platform or 

subject to BSEF Rules, the Participant or an Account or Customer of the Participant must 

establish a clearing account with the Clearing House or with a Clearing Member of the Clearing 

House, in each case, designated in the Swap Specification for such Cleared Swap. 

(c) All Trades in Cleared Swaps by a Participant or its Account or Customer must be 

guaranteed to the Clearing House by a Clearing Member following the Clearing Member’s 

acceptance of such Trade for clearing. 
56 

(d) BSEF shall submit each Trade to the Clearing House specified in the Swap 

Specifications. If BSEF receives a notice from the Clearing House rejecting a Trade for clearing, 

such Trade is void ab initio. 

(e) BSEF will provide each Clearing Member with tools to screen each Order or RFQ 

in Cleared Swaps based on criteria established by such Clearing Member. If an Order or an RFQ 

fails to satisfy the criteria established by the Clearing Member, BSEF will reject the Order or 

will not allow the RFQ to be sent. 

(f) If manual affirmation of a Trade in Cleared Swaps is required prior to 

presentation of the Trade to a Clearing House, a Participant must affirm the Trade within 5 

minutes after the execution of the Trade. 

RULE 534. Non-Cleared Swaps 

(a) Any Participant that is a Swap Dealer or Major Swap Participant, or if neither 

Counterparty is a Swap Dealer or Major Swap Participant, the Participant that is the Reporting 

Counterparty, that places an Order or sends or responds to an RFQ with respect to a Non-Cleared 

Swap shall ensure that there is a Non-Cleared Swap Agreement between the Participant or its 

Account or Customer, as applicable, and the prospective Counterparty to such Swap prior to 

placing such Order or sending or responding to such RFQ. Both Participants involved in 

execution of a Non-Cleared Swap (whether in a principal capacity or in their capacity as agents 

on behalf of their respective Accounts or Customers) shall, upon the request of BSEF, make 

available to BSEF any terms of such Non-Cleared Swap that are not reflected in the applicable 

Swap Specification and shall comply with Order entry requirements for Non-Cleared Swaps that 

BSEF shall establish from time to time. 

(b) Each Participant involved in a Prime Broker Trade must notify the Prime Broker 

as soon as technologically possible of each Prime Broker Trade executed pursuant to the Rules 

of BSEF to which the Prime Broker is a Counterparty, and provide to the Prime Broker the 

Confirmation for the Prime Broker Trade issued by BSEF. 

RULE 535. Risk Controls 

(a) BSEF may, in its sole discretion, reject any RFQ or Order or Block Trade placed 

or reported on the SEF Platform if such RFQ or Order or Block Trade is in violation of any 

BSEF Rule or Applicable Law. 

(b) BSEF shall have the right to take any action to reduce the potential of market 

disruption, including market restrictions that pause or halt trading in market conditions 

prescribed by BSEF if such action is in the best interest of the swap markets. 

(c) BSEF shall have the right in its sole discretion to cancel Trades executed at prices 

outside the No-Bust Range. “No-Bust Range” shall mean the price of a Swap that is no more 

than 30% higher or lower than the prior Business Day’s Daily Settlement Price for such Swap. 

(d) If a Swap affected by any action of BSEF under this Rule 535 is fungible with, 

linked to, or a substitute for, other Swaps on the SEF operated by BSEF, BSEF may apply the 

same action to any such other Swaps. 
57 

(e) If a Swap is fungible with, linked to or a substitute for a financial instrument 

trading on another trading venue, including any trading venue regulated by the SEC (a “Linked 

Swap”), and such other trading venue placed risk controls on such financial instrument, BSEF 

shall have the right to place similar risk controls on the Linked Swap. 

CHAPTER 6. DISCIPLINARY RULES 

RULE 601. General 

(a) Any Person is subject to this Chapter 6 if it is alleged to have violated, to have 

aided and abetted a violation, to be violating, or to be about to violate, any BSEF Rule or any 

provision of Applicable Law for which BSEF possesses jurisdiction. 

(b) BSEF, through the Compliance Department, the Disciplinary Panel and the 

Appeals Panel, will conduct inquiries, investigations, disciplinary and appeals proceedings, 

summary impositions of fines, summary suspensions or other summary actions in accordance 

with this Chapter 6. 

(c) No SEF Official will interfere with or attempt to influence the process or 

resolution of any inquiry, investigation, disciplinary or appeals proceeding, summary imposition 

of fines, summary suspension or other summary action. No Director will interfere with or 

attempt to influence the process or resolution of any inquiry, investigation, disciplinary or 

appeals proceeding and summary imposition of fines, summary suspension or other summary 

action, except to the extent provided under the BSEF Rules with respect to a proceeding in which 

the Director is a member of the relevant panel. 

(d) Any Person that directly or indirectly effects a transaction on the SEF operated by 

BSEF may be represented by counsel during any inquiry, investigation, disciplinary or appeals 

proceeding, summary imposition of fines, summary suspension or other summary actions 

pursuant to this Chapter 6. 

(e) Pursuant to this Chapter 6, BSEF may hold a Participant liable for, and impose 

sanctions against such Participant, for such Participant’s own acts and omissions that constitute a 

violation as well as for the acts and omissions of each (i) Authorized Trader of such Participant, 

(ii) Supervised Person of such Participant, (iii) other Person using the Trader ID or login 

credentials linked to the Participant or Participant ID, or (iv) other agent or representative of such 

Participant, in each case, that constitute a violation as if such violation were that of the 

Participant. 

(f) Pursuant to this Chapter 6, BSEF may hold an Authorized Trader liable for, and 

impose sanctions against him or her, for such Authorized Trader’s own acts and omissions that 

constitute a violation as well as or for the acts and omissions of any other agent or representative 

of such Authorized Trader that constitute a violation as if such violation were that of the 

Authorized Trader. 

(g) A Person subject to a disciplinary or appeals proceeding (and any counsel or 

representative of such Person) and the Compliance Department (and any counsel or 

representative of the Compliance Department including any Regulatory Services Provider) shall 

not knowingly make or cause to be made an ex parte communication relevant to the merits of a 
58 

disciplinary or appeals proceeding to any member of the Disciplinary Panel or Appeals Panel 

hearing such proceeding. Members of a Disciplinary Panel or Appeals Panel shall not 

knowingly make or cause to be made an ex parte communication relevant to the merits of a 

disciplinary or appeals proceeding to any Person subject to such proceeding (and any counsel or 

representative of such Person) and the Compliance Department (and any counsel or 

representative of the Compliance Department including any Regulatory Services Provider). 

Any Person who receives, makes or learns of any communication which is prohibited by this 

Rule shall promptly give notice of such communication and any response thereto to the 

Compliance Department and all parties to the proceeding to which the communication relates. A 

Person shall not be deemed to have violated this Rule if the Person refuses an attempted 

communication concerning the merits of a proceeding as soon as it becomes apparent the 

communication concerns the merits. 

RULE 602. Inquiries and Investigation 

(a) The Compliance Department, with the assistance of a Regulatory Services 

Provider, if necessary, will conduct inquiries and, if applicable, investigations with respect to any 

matter within BSEF’s jurisdiction of which it becomes aware or which the Commission requests 

BSEF to investigate. The Compliance Department will determine the nature and scope of its 

inquiries and investigations within its sole discretion and will function independently of any 

commercial interests of BSEF. The Compliance Department’s investigation must be completed 

within 12 months of the date when the Compliance Department commenced its investigation 

unless there are mitigating factors that may reasonably justify an investigation taking longer than 

12 months, including the complexity of the investigation, the number of Participants or 

individuals involved as potential wrongdoers, the number of potential violations to be 

investigated, and the volume of documents and data to be examined and analyzed by the 

Compliance Department. 

(b) The Compliance Department has the authority to: 

(i) initiate inquiries and investigations; 

(ii) prepare investigation reports and provide recommendations concerning 

initiating disciplinary proceedings; 

(iii) prosecute alleged violations if a disciplinary proceeding has been 

authorized; and 

(iv) represent BSEF on appeals of a Disciplinary Panel decision, the summary 

imposition of fines, summary suspension or other summary action. 

(c) Each Participant, Account Manager, Authorized Trader, Supervised Person and 

Clearing Member: 

(i) is obligated to appear and testify and respond in Writing to requests for 

information within the time period required by the Compliance Department in connection 

with: (A) any BSEF Rule; (B) any inquiry or investigation; or (C) any preparation by and 

presentation during a disciplinary or appeals proceeding, summary imposition of fines, 

summary suspension or other summary action by BSEF; 
59 

(ii) is obligated to produce books, records, papers, documents or other 

tangible evidence in its, his or her possession, custody or control within the time period 

required by the Compliance Department in connection with: (A) any BSEF Rule; (B) any 

inquiry or investigation; or (C) any preparation by and presentation during a disciplinary 

or appeals proceeding, summary imposition of fines, summary suspension or other 

summary action by BSEF; and 

(iii) may not impede or delay any inquiry, investigation, disciplinary or appeals 

proceeding, summary imposition of fines, summary suspension or other summary action. 

RULE 603. Investigative Reports 

(a) The Compliance Department will maintain a Written log of all inquiries and 

investigations and their disposition. The Compliance Department will prepare a Written report 

of each inquiry and investigation, regardless of whether the evidence gathered during any inquiry 

or investigation forms a reasonable basis to believe that a violation within BSEF’s jurisdiction 

has occurred or is about to occur or whether the evidence gathered results in closing the matter 

without further action or through summary action. 

(b) Any such report prepared in accordance with Rule 603(a) will include (i) the 

reasons the inquiry or investigation was initiated; (ii) a summary of the complaint, if any; (iii) the 

relevant facts and evidence gathered; (iv) the Compliance Department’s analysis, conclusions 

and recommendations; and (v) the Participant’s disciplinary history at BSEF. 

(c) For each potential respondent, the Compliance Department will recommend either 

(i) closing the investigation without further action; (ii) resolving the investigation through an 

informal disposition; or (iii) initiating disciplinary proceedings. 

RULE 604. Warning Letters 

(a) The Chief Compliance Officer may issue a warning letter without the approval of 

a Disciplinary Panel in order to close an inquiry or investigation administratively. 

(b) No more than one warning letter may be issued to the same Person or entity for 

the same Rule violation within a rolling 12-month period. 

(c) Warning letters must contain an affirmative finding that a Rule violation has 

occurred. 

RULE 605. Review of Investigation Reports 

(a) The Chief Compliance Officer will timely review each proposed investigation 

report received from the Compliance Department to determine whether a reasonable basis exists 

for finding that a violation of BSEF Rules within BSEF’s jurisdiction has occurred or is about to 

occur. Within 30 days of receipt of the investigation report the Chief Compliance Officer must 

take one of the following actions: 

(i) If the Chief Compliance Officer determines that additional investigation or 

evidence is needed to decide whether a reasonable basis exists to find that a violation of 

BSEF Rules within BSEF’s jurisdiction has occurred or is about to occur, the Chief 
60 

Compliance Officer will promptly direct the Compliance Department to do at least one of 

the following: 

(A) conduct further investigation; and/or 

(B) gather any necessary new or additional information or evidence 

from the potential respondents. 

(ii) The Compliance Department will revise the investigation report as 

necessary to reflect the additional information gathered pursuant to this paragraph (a) and 

will resubmit a revised proposed investigation report to the Chief Compliance Officer. 

(b) After receiving a completed investigation report, the Chief Compliance Officer 

will determine for each potential respondent whether to authorize: 

(i) the commencement of disciplinary proceedings because a reasonable basis 

exists to believe that a violation of BSEF Rules within BSEF’s jurisdiction has occurred 

or is about to occur and adjudication is warranted; 

(ii) the informal disposition of the investigation because disciplinary 

proceedings are unwarranted, in which case the Chief Compliance Officer shall complete 

the investigation report in compliance with Rule 603; or 

(iii) the closing of the investigation without any action because no reasonable 

basis exists to believe that a violation of BSEF Rules within BSEF’s jurisdiction has 

occurred or is about to occur, in which case the Chief Compliance Officer shall complete 

the investigation report in compliance with Rule 603. 

(c) If the Chief Compliance Officer determines that disciplinary proceedings should 

be authorized pursuant to Rule 605(b)(i), the Chief Compliance Officer may in his or her 

discretion provide each potential respondent with a Written draft Notice of Charges (“Draft 

Notice of Charges”) which shall contain all information required pursuant to Rule 607. 

(d) The Draft Notice of Charges must be accompanied by a Written notice that shall 

inform the potential respondent: 

(i) that an investigation report has been completed by BSEF’s Compliance 

Department; 

(ii) that a Notice of Charges will be served, in accordance with Rule 608, 10 

business days, as defined in CFTC Regulation 40.1, after receipt of the Written notice; 

(iii) that a settlement offer may be submitted pursuant to Rule 612; and 

(iv) of the respondent’s right to a hearing if a Notice of Charges is served in 

accordance with Rule 608. 
61 

RULE 606. [Reserved] 

RULE 607. Notice of Charges 

(a) If the Chief Compliance Officer authorizes disciplinary proceedings pursuant to 

Rule 605(b)(i), the Compliance Department will prepare, and serve in accordance with Rule 608, 

a Notice of Charges. 

(b) A Notice of Charges will: 

(i) state the acts, practices or conduct that the respondent is alleged to have 

engaged in; 

(ii) state the BSEF Rule or provision of Applicable Law alleged to have been 

violated or about to be violated; 

(iii) state the proposed sanctions; 

(iv) advise the respondent of its right to a hearing; 

(v) state the period of time within which the respondent can request a hearing 

on the Notice of Charges, which will not be less than 20 days after service of the Notice 

of Charges; 

(vi) advise the respondent that any failure to request a hearing within the 

period stated, except for good cause, will be deemed to constitute a waiver of the right to 

a hearing; 

(vii) advise the respondent that any allegation in the Notice of Charges that is 

not expressly denied will be deemed to be admitted; and 

(viii) advise the respondent of its right to be represented by legal counsel or any 

other representative of its choosing (other than any member of the Disciplinary Panel or 

any Person substantially related to the disciplinary proceedings such as a material witness 

or other respondent) in all succeeding stages of the disciplinary process. 

RULE 608. Service of Notice of Charges 

Any Notice of Charges or other documents contemplated to be served pursuant to this 

Chapter 6 may be served (and service shall be deemed complete) upon the respondent either 

personally or by leaving the same at his or her place of business, or by tracked delivery via 

reputable overnight courier, or by deposit in the United States mail, postage prepaid, via 

registered or certified mail addressed to the respondent at the address as it appears on the books 

and records of BSEF. 

RULE 609. Answer to Notice of Charges 

(a) If the respondent determines to answer a Notice of Charges, the respondent must 

file answers within 20 days after being served with such notice, or within such other time period 

determined appropriate by the Chief Compliance Officer. 
62 

(b) To answer a Notice of Charges, the respondent must in Writing: 

(i) specify the allegations that the respondent denies or admits; 

(ii) specify the allegations that the respondent does not have sufficient 

information to either deny or admit; 

(iii) specify any specific facts that contradict the Notice of Charges; 

(iv) specify any affirmative defenses to the Notice of Charges; and 

(v) sign and serve the answer on the Chief Compliance Officer. 

(c) Any failure by the respondent to timely serve an answer to a Notice of Charges 

will be deemed to be an admission to the allegations in such notice. Any failure by the 

respondent to answer one or more allegations in a Notice of Charges will be deemed to be an 

admission of that allegation or those allegations. Any allegation in a Notice of Charges that the 

respondent fails to expressly deny will be deemed to be admitted. A statement of a lack of 

sufficient information shall have the effect of a denial of an allegation. A general denial by the 

respondent, without more, will not satisfy the requirements of paragraph (b) above. 

RULE 610. Admission or Failure to Deny 

(a) If respondent admits or fails to deny any of the charges, the Chief Compliance 

Officer may find that the violations alleged in the Notice of Charges for which the respondent 

admitted or failed to deny any of the charges have been committed. The Chief Compliance 

Officer then must take the following action: 

(i) impose a sanction for each violation found to have been committed; and 

(ii) notify the respondent in Writing of any sanction to be imposed and advise 

the respondent that it may request a hearing on such sanction within a specified period of 

time. 

(b) If a respondent fails to request a hearing within 20 days as specified in the notice 

described in 610(a)(ii), the respondent will be deemed to have accepted the sanction and will 

have waived any right to appeal such sanctions. 

RULE 611. Denial of Charges and Right to a Hearing 

In every instance where a respondent has denied a charge, the respondent shall have a 

right to request a hearing before the Disciplinary Panel. Except for good cause, the hearing must 

be limited to only those denied charges for which a hearing has been requested. 

RULE 612. Settlements 

(a) Any offer of settlement should contain proposed findings and sanctions and be 

signed by a potential respondent/respondent and submitted to the Chief Compliance Officer. A 

potential respondent/respondent may offer to settle disciplinary proceedings without admitting or 

denying the findings contained in a Draft Notice of Charges or a Notice of Charges, but must 
63 

accept the jurisdiction of BSEF over it and over the subject matter of the proceedings and 

consent to the entry of the findings and sanctions imposed. 

(b) A potential respondent may at any time within 10 business days, as defined in 

CFTC Regulation 40.1, of receipt of the Draft Notice of Charges specified in Rule 605, propose 

in Writing an offer of settlement to anticipated disciplinary proceedings. The Chief Compliance 

Officer must review an offer of settlement received pursuant to this paragraph (b) within 30 

business days, as defined in CFTC Regulation 40.1, after receipt of the offer of settlement. The 

Chief Compliance Officer shall have discretion and be authorized to accept or reject an offer of 

settlement for $25,000 or less on behalf of BSEF. The Chief Compliance Officer shall also have 

the discretion and be authorized to convene and forward the offer of settlement to the 

Disciplinary Panel with a recommendation on whether to accept or reject the offer of settlement. 

The potential respondent may withdraw such offer of settlement at any time before acceptance 

by the Chief Compliance Officer, but may not withdraw such offer of settlement at any time 

after acceptance by the Chief Compliance Officer. 

(c) A respondent may at any time after receipt of a Notice of Charges, but before 

disciplinary proceedings have concluded, propose in Writing an offer of settlement to instituted 

disciplinary proceedings. If a respondent submits an offer of settlement after being served a 

Notice of Charges pursuant to Rule 608, the Chief Compliance Officer will forward the offer of 

settlement to the Disciplinary Panel with a recommendation on whether to accept or reject the 

offer of settlement. The Disciplinary Panel must review an offer of settlement received pursuant 

to this paragraph (c) or paragraph (b) above within 90 business days, as defined in CFTC 

Regulation 40.1, after the receipt of the offer of settlement by the Chief Compliance Officer 

unless an extension was agreed by the respondent in Writing. The respondent may withdraw 

such offer of settlement at any time before acceptance by the Disciplinary Panel, but may not 

withdraw such offer of settlement at any time after acceptance by the Disciplinary Panel. The 

Disciplinary Panel may review the offer of settlement and determine whether to accept or reject 

the offer of settlement in person, by means of telephone conference or in Writing. 

(d) The Chief Compliance Officer or the Disciplinary Panel may accept an offer of 

settlement received pursuant to paragraph (b) or (c) of this Rule, respectively, but may not alter 

the terms of a settlement offer unless the potential respondent/respondent agrees. 

(e) If an offer of settlement is accepted by the Chief Compliance Officer or the 

Disciplinary Panel, a Written decision shall be issued by the Chief Compliance Officer or the 

Disciplinary Panel, as applicable, specifying: 

(i) the Rule violations the Compliance Department/it has reason to believe 

were committed, including the basis or reasons of its conclusions; 

(ii) any sanction to be imposed, which must include full customer restitution 

where customer harm has been demonstrated; and 

(iii) if applicable, that the potential respondent/respondent has accepted the 

sanctions imposed without either admitting or denying the Rule violations. 
64 

(f) In the event that the Disciplinary Panel accepts an offer of settlement without the 

agreement of the Compliance Department, the Written decision must adequately support such 

acceptance. 

(g) If an offer of settlement is accepted pursuant to this Rule and the related Written 

decision becomes final, the respondent’s submission of the offer of settlement will be deemed to 

constitute a waiver of the right to notice, opportunity for a hearing and review and appeal under 

these Rules. 

(h) If an offer of settlement of a potential respondent/respondent is not accepted by 

the Chief Compliance Officer or the Disciplinary Panel, pursuant to paragraph (b) or (c) of this 

Rule, respectively, fails to become final or is withdrawn by the potential respondent/respondent, 

the matter will proceed as if the offer of settlement had not been made and the offer of settlement 

and all documents relating to it will not become part of the record. Neither a potential 

respondent/respondent nor the Compliance Department may use an unaccepted offer of 

settlement as an admission or in any other manner at a hearing of disciplinary proceedings. 

RULE 613. Disciplinary Panel 

(a) The Disciplinary Panel is responsible for adjudicating disciplinary cases pursuant 

to a Notice of Charges authorized by the Chief Compliance Officer. 

(b) Each Disciplinary Panel shall be composed of three individuals selected by the 

Chief Compliance Officer. Except in cases concerning the timely submission of accurate 

records, each Disciplinary Panel shall consist of at least one individual who would not be 

disqualified from serving as a Public Director, who shall chair the Disciplinary Panel. No 

member of the BSEF Compliance Department or Person involved in adjudicating any other stage 

of a proceeding shall participate in a Disciplinary Panel for such proceeding. 

(c) A respondent may seek to disqualify any individual on the Disciplinary Panel for 

the reasons identified in the BSEF Rules or for any other reasonable grounds, by serving Written 

notice on the Chief Compliance Officer. By not filing a request for disqualification within 10 

days, the respondent will be deemed to have waived any objection to the composition of a 

Disciplinary Panel. The Chief Compliance Officer of BSEF will decide the merits of any request 

for disqualification within his or her sole discretion. Any such decision will be final and not 

subject to appeal. 

RULE 614. Convening Disciplinary Proceeding Hearings 

(a) All disciplinary proceedings (except for summary impositions of fines pursuant to 

Rule 621) will be conducted at a hearing before the Disciplinary Panel. A hearing will be 

conducted privately and confidentially. Notwithstanding the confidentiality of hearings, the 

Disciplinary Panel may appoint an expert to attend any hearing and assist in deliberations if such 

expert agrees to be subject to an appropriate confidentiality agreement. 

(b) After reasonable notice to each respondent, the Disciplinary Panel will promptly 

convene a hearing to conduct the disciplinary proceedings with respect to such respondent. 

Parties to a disciplinary proceeding include each respondent and the Compliance Department 

including BSEF enforcement staff. 
65 

(c) The chairperson of the Disciplinary Panel may continue, adjourn or otherwise 

conduct the hearing, as he or she may deem appropriate. The chairperson of the Disciplinary 

Panel will determine all procedural and evidentiary matters, including the admissibility and 

relevance of any evidence proffered. In determining procedural and evidentiary matters, the 

chairperson of the Disciplinary Panel will not be bound by any evidentiary or procedural rules or 

law. Once admitted during the hearing, the Disciplinary Panel may consider, and attach the 

weight it believes appropriate to, evidence or other materials. The Chief Compliance Officer of 

BSEF, or its designee, will provide guidance to the chairperson of the Disciplinary Panel on the 

conduct of the hearing. 

(d) Except for procedural and evidentiary matters decided by the chairperson of the 

Disciplinary Panel pursuant to paragraph (c) above and Rule 616, unless each respondent 

otherwise consents, the entire Disciplinary Panel must be present during the entire hearing and 

any related deliberations. 

RULE 615. Respondent Review of Evidence 

(a) Prior to the commencement of a Disciplinary Panel hearing, each respondent will 

be given the opportunity to review all books, records, documents, papers, transcripts of 

testimony and other tangible evidence in the possession or under the control of BSEF that the 

Compliance Department will use to support the allegations and proposed sanctions in the Notice 

of Charges or which the chairperson of the Disciplinary Panel deems relevant to the disciplinary 

proceedings. BSEF may withhold documents that: 

(i) are privileged or constitute attorney work product; 

(ii) were prepared by an employee of BSEF but will not be offered as 

evidence in the disciplinary proceedings; 

(iii) may disclose a technique or guideline used in examinations, investigations 

or enforcement proceedings; or 

(iv) disclose the identity of a confidential source. 

(b) If any books, records, documents, papers, transcripts of testimony, or other 

tangible evidence contain information that could adversely affect the competitive position of the 

Person providing the information or if such information might compromise other investigations 

being conducted by the Compliance Department, the Compliance Department may redact, edit or 

code such information before furnishing it to the respondent. 

(c) Notwithstanding anything in paragraph (b) above to the contrary, the Compliance 

Department: 

(i) will not redact, edit or code competitive or investigative information 

contained in documents in a manner that would impair the respondent’s ability to defend 

against the allegations or proposed sanctions in the notices of charges; and 

(ii) will provide the respondent with access to the information and portions of 

the documents that the Compliance Department intends to rely on to support the 

allegations or proposed sanctions in the Notice of Charges. 
66 

(d) For purposes of this Rule 615, information that could adversely affect the 

competitive position includes positions in Swaps currently held, trading strategies employed in 

establishing or liquidating positions, the identity of any Participant or Authorized Trader and the 

personal finances of the Person providing the information. 

RULE 616. Conducting Disciplinary Proceeding Hearings 

(a) At a hearing conducted in connection with any disciplinary proceeding, the 

Compliance Department will present its case supporting the allegations and proposed sanctions 

in the Notice of Charges to the Disciplinary Panel. If a respondent has timely filed an answer to 

the Notice of Charges in accordance with Rule 609, the respondent is entitled to attend and 

participate in the hearing. 

(b) At a hearing conducted in connection with any disciplinary proceedings, the 

Disciplinary Panel or the Compliance Department and each respondent may: 

(i) present evidence and facts determined relevant and admissible by the 

chairperson of the Disciplinary Panel; 

(ii) call and examine witnesses; and 

(iii) cross-examine witnesses called by other parties. 

(c) Any Person within BSEF’s jurisdiction who is called as a witness must participate 

in the hearing and produce evidence. BSEF will make reasonable efforts to secure the presence 

of all other Persons called as witnesses whose testimony would be relevant. 

(d) If the respondent fails to file an answer, has filed a general denial, or if any or all 

of the allegations in the Notice of Charges are not expressly denied in the respondent’s answer, 

the chairperson of the Disciplinary Panel may limit evidence concerning any allegations not 

expressly denied in determining the sanctions to impose. If a respondent fails to file an answer 

but appears at the hearing, the respondent may not participate in the hearing (by calling or cross 

examining witnesses, testifying in defense, presenting evidence concerning the Notice of 

Charges, or otherwise) unless the Disciplinary Panel determines that the respondent had a 

compelling reason for failing to timely file an answer. If the Disciplinary Panel determines that 

the respondent had a compelling reason for failing to timely file an answer, the Disciplinary 

Panel will adjourn the hearing and direct the respondent to promptly file a Written answer in 

accordance with Rule 609. 

(e) Any Person entitled, or required or called upon, to attend a hearing before a 

Disciplinary Panel pursuant to paragraph (b)(ii) above will be given reasonable notice, confirmed 

in Writing, specifying the date, time and place of the hearing, and the caption of the disciplinary 

proceedings. BSEF will require all Participants (that are individuals), Customers, Account 

Managers, Clearing Members, Authorized Traders and Supervised Persons that are called as 

witnesses to appear at the hearing and produce evidence. BSEF will make reasonable efforts to 

secure the presence of all other Persons called as witnesses whose testimony would be relevant. 

(f) If during any disciplinary proceedings the Disciplinary Panel determines that a 

reasonable basis exists to believe that the respondent violated or is about to violate a BSEF Rule 
67 

or a provision of Applicable Law other than the violations alleged in the Notice of Charges, the 

Disciplinary Panel may consider those apparent violations after providing the respondent with an 

opportunity to answer the additional allegations in accordance with Rule 609. In connection 

with considering apparent violations pursuant to this paragraph (f), the Disciplinary Panel may 

request that the Compliance Department provide the Disciplinary Panel with any additional 

information. 

(g) The Disciplinary Panel may summarily impose sanctions on any Participant, 

Account Manager, Authorized Trader or Supervised Person that impedes or delays the progress 

of a hearing. 

(h) BSEF will arrange for any hearing conducted in connection with disciplinary 

proceedings to be recorded hearing verbatim, or substantially verbatim, in a manner capable of 

accurate transcription. If the respondent requests a copy of all or portions of the recording of a 

hearing, the chairperson of the Disciplinary Panel may within his or her sole discretion order the 

respondent to pay the costs for transcribing the recording of the hearing. 

(i) As promptly as reasonable following a hearing, the Disciplinary Panel will issue a 

Written decision rendering its decision based on the weight of the evidence contained in the 

record of the disciplinary proceedings. A decision by a majority of the Disciplinary Panel will 

constitute the decision of the Disciplinary Panel. 

(j) No interlocutory appeals of rulings of any Disciplinary Panel are permitted. 

(k) If the respondent has requested a hearing, a copy of the hearing shall be made and 

shall become a part of the record of the proceeding. The record shall not be required to be 

transcribed unless: 

(i) the transcript is requested by Commission staff or the respondent; 

(ii) the decision is appealed pursuant to the BSEF Rules; or 

(iii) the decision is reviewed by the Commission pursuant to section 8c of the 

Act or Part 9 of CFTC Regulations. 

In all other instances, a summary record of a hearing is permitted. 

RULE 617. Decision of Disciplinary Panel 

(a) The Disciplinary Panel’s Written decision must be based upon the weight of the 

evidence contained in the record of the proceeding and shall provide a copy to the respondent. 

The decision shall include: 

(i) the Notice of Charges or a summary of the charges; 

(ii) the answer, if any, or a summary of the answer; 

(iii) a summary of the evidence produced at the hearing or, where appropriate, 

incorporation by reference of the investigation report; 
68 

(iv) a statement of findings and conclusions with respect to each charge, and a 

complete explanation of the evidentiary and other basis for such findings and conclusions 

with respect to each charge; 

(v) an indication of each specific Rule that the respondent was found to have 

violated; and 

(vi) a declaration of all sanctions imposed against the respondent, including 

the basis for such sanctions and the effective date of such sanctions. 

(b) Upon rendering a final decision by the Disciplinary Panel, BSEF shall, within 30 

days thereafter, provide a Written notice of such action to the Person against whom the action 

was taken. 

(c) The Written decision will become final 20 days after it is served on the 

respondent and a copy thereof is provided to the Compliance Department. 

RULE 618. Sanctions 

(a) After notice and opportunity for hearing in accordance with the BSEF Rules, 

BSEF will impose sanctions on any Participant, Account Manager, Authorized Trader, 

Supervised Person, Account, Customer, Clearing Member or other Person using any Trader ID 

or login credentials linked to the Participant that is found to have violated or to have attempted to 

violate a BSEF Rule or provision of Applicable Law for which BSEF possesses jurisdiction. 

Subject to the limitations set forth in Rule 618(b), BSEF may impose one or more of the 

following sanctions or remedies: (i) censure; (ii) limitation on Trading Privileges, Trading 

Access or other activities, functions or operations; (iii) suspension of Trading Privileges or 

Trading Access; (iv) fine (subject to paragraph (b) below); (v) disgorgement; (vi) termination of 

Trading Privileges or Trading Access; (vii) in the event of a customer harm, full customer 

restitution, except where the amount of restitution or to whom it should be provided cannot 

reasonably be determined; or (viii) any other sanction or remedy deemed to be appropriate. All 

sanctions, including those imposed pursuant to an accepted settlement offer, shall take into 

account respondent’s disciplinary history. 

For purposes of Rule 618(a)(vii), “customer” shall have the meaning set forth in CFTC 

Regulation 1.3(k). 

(b) BSEF may impose a fine of up to $100,000 for each violation of a BSEF Rule. If 

a fine or other amount is not paid within 30 days of the date that it becomes payable, then interest 

will accrue on the sum from the date that it became payable at the quoted prime rate plus three 

percent. BSEF has sole discretion to select the bank on whose quotations to base the prime rate. 

Each Participant will be responsible for paying any fine or other amount imposed on, but not 

paid by, any of its Authorized Traders, Account Managers, Supervised Persons, Accounts or 

Customers. The following schedule lists the recommended fines that BSEF may impose: 

Type of Violation Fine Per Occurrence1

 

1

 Within a “rolling” 12-month period. 
69 

First 

Violation 

Second 

Violation 

Third 

Violation 

Failure to provide information to BSEF as required by 

the BSEF Rules 

$1000 $1500 $2500 

Impeding or delaying a BSEF examination, inquiry or 

investigation undertaken pursuant to BSEF Rule 402 

$1000 $1500 $2500 

RULE 619. Costs 

(a) Regardless of the outcome of any disciplinary proceeding, the Disciplinary Panel 

may order a respondent to pay some or all of the costs associated with the disciplinary 

proceedings that the Disciplinary Panel believes were unnecessarily caused by the respondent. 

Costs may include costs associated with the inquiry or investigation, the prosecution by the 

Compliance Department, legal and professional assistance, as well as the hearing and 

administrative costs and other expenses incurred by the Disciplinary Panel. 

(b) The Disciplinary Panel may only award costs against BSEF if the Panel concludes 

that BSEF has behaved in a manifestly unreasonable manner in the commencement or conduct of 

the disciplinary proceedings in question. The Disciplinary Panel must limit any award of costs 

against BSEF to an amount that the Panel concludes is reasonable and appropriate, but does not 

exceed the respondent’s costs for external legal or other external professional assistance. 

(c) The Disciplinary Panel may determine the amounts and allocation of costs in any 

manner it may deem appropriate. BSEF or the respondent will pay any costs ordered to be paid 

by it by the Disciplinary Panel within 30 days of Written notice of the amount imposed by the 

Disciplinary Panel. 

RULE 620. Right to Appeal Disciplinary Panel Decision, Summary 

Impositions of Fines and Other Summary Actions 

(a) Each respondent found by the Disciplinary Panel to have violated (or, in the case 

of a Participant, whose Authorized Trader, Supervised Person or other Person using its 

Participant ID was found to have violated) a Rule or who is subject to termination or limitation 

of Trading Privileges or Trading Access imposed pursuant to Rule 305, any summary fine 

imposed pursuant to Rule 621 or any summary action imposed pursuant to Rule 622 may appeal 

the decision within 20 days of receiving the Written decision of the Disciplinary Panel or the 

notice of summary action, as the case may be, by filing a notice of appeal with the Chief 

Compliance Officer. 

(b) BSEF may appeal all or any part of a decision of the Disciplinary Panel, including 

any sanctions that may or may not have been imposed by the Disciplinary Panel, within 20 days 

of receiving the Written Decision of the Disciplinary Panel, by filing a notice of appeal with the 

Chief Compliance Officer. 

(c) While an appeal is pending, the effect of the Written decision of the Disciplinary 

Panel or the summary action (including any sanctions, remedies or costs imposed thereby) shall 

be suspended. 
70 

(d) The notice of appeal must state in writing the grounds for appeal, including the 

findings of fact, conclusions or sanctions to which the appellant objects. An appellant may 

appeal the Written decision of the Disciplinary Panel or any summary action on the grounds that: 

(i) the Written decision or summary action was arbitrary, capricious, an abuse 

of discretion, or not in accordance with these Rules; 

(ii) the Written decision or summary action exceeded the authority or 

jurisdiction of the Disciplinary Panel, the Chief Compliance Officer or BSEF; 

(iii) the Written decision or summary action failed to observe required 

procedures; 

(iv) the Written decision or summary action was unsupported by the facts or 

evidence; or 

(v) the sanctions, remedies or costs which were imposed were inappropriate 

or unsupported by the record. 

(e) The Chief Compliance Officer will forward copies of any notice of appeal 

received by it to all parties to the disciplinary proceeding or summary action, as the case may be, 

except the appellant. On or before the 20th day after filing a notice of appeal, the appellant must 

file with the Chief Compliance Officer and serve on BSEF a brief supporting the notice of appeal 

and documents supporting the brief. On or before the 20th day after the date on which the 

appellant serves its supporting brief, the appellee must file and serve its brief in opposition. On 

or before the 10th day after the date on which the appellee serves its brief in opposition, the 

appellant must file and serve on BSEF a brief in reply. 

(f) In connection with any appeal, BSEF will furnish to the Chief Compliance 

Officer and to the respondent/appellant a transcript of the hearing, any exhibits introduced at the 

hearing, the notice of appeal and briefs filed to support and oppose the appeal. 

(g) No later than 30 days after the last submission filed pursuant to paragraph (e) of 

this Rule 620, the Chief Compliance Officer will appoint an Appeals Panel to consider and 

determine the appeal. An Appeals Panel shall be comprised of three individuals, none of whom 

shall be a member of the Compliance Department or have been a member of any Disciplinary 

Panel involved in the matters on appeal. The chairperson of the Appeals Panel shall be an 

individual who would not be disqualified from serving as a Public Director. 

(h) Within 10 days of being notified of the appointment of the Appeals Panel, an 

appellant or appellee may seek to disqualify any individual named to the Appeals Panel for the 

reasons identified in these Rules, by serving Written notice on the Chief Compliance Officer. By 

not timely filing a request for disqualification, the appellant or appellee will be deemed to have 

waived any objection to the composition of the Appeals Panel. The Chief Compliance Officer 

will decide the merits of any request for disqualification within his or her sole discretion. Any 

such decision will be final and not subject to appeal. 

(i) The Appeals Panel may hold a hearing to allow parties to present oral arguments. 

Any hearing will be conducted privately and confidentially. Notwithstanding the confidentiality 
71 

of hearings, the Appeals Panel may appoint an expert to attend any hearing and assist in the 

deliberations if such individual(s) agree to be subject to appropriate confidentiality agreements. 

In determining procedural and evidentiary matters, the Appeals Panel will not be bound by 

evidentiary or procedural rules or law. 

(j) The Appeals Panel will only consider on appeal the record before the Disciplinary 

Panel or, in the case of a summary action, the record considered by the Chief Compliance 

Officer, the notice of appeal, the briefs filed in support and opposition of the appeal, and any oral 

arguments of the parties. The Appeals Panel may only consider new evidence when the Appeals 

Panel is satisfied that good cause exists for why the evidence was not introduced during the 

disciplinary proceeding or when imposing the summary action. 

(k) After completing its review, the Appeals Panel may affirm, modify or reverse any 

Written decision of the Disciplinary Panel or summary action under appeal, in whole or in part, 

including increasing, decreasing or eliminating any sanction or remedy imposed, imposing any 

other sanction or remedy authorized by these Rules, or remanding the matter to the same or a 

different Disciplinary Panel for further disciplinary proceedings or for reconsideration by the 

Chief Compliance Officer in the case of summary action. The Appeals Panel may order a new 

hearing for good cause or if the Appeals Panel deems it appropriate. 

(l) As promptly as reasonably possible following its review, the Appeals Panel will 

issue a Written decision on appeal rendering its decision based on the preponderance of the 

evidence before the Appeals Panel. The decision of the Appeals Panel will include a statement 

of findings of fact and conclusions for each finding, sanction, remedy and cost reviewed on 

appeal, including each specific Rule and provision of Applicable Law that the respondent is 

found to have violated, if any, and the imposition of sanctions, remedies and costs, if any, and 

the effective date of each sanction, remedy or cost. 

(m) The Appeals Panel’s Written order on appeal (including findings of fact and 

conclusions and the imposition of sanctions, remedies and costs, and the effective date of any 

sanction, remedy and cost) will be the final action of BSEF and will not be subject to appeal 

within BSEF. 

RULE 621. Summary Imposition of Fines 

(a) The Chief Compliance Officer may summarily impose a fine against a Participant, 

Account Manager, Authorized Trader, Supervised Person, Account, Customer, Clearing Member 

or other Person using any Trader ID or login credentials linked to the Participant for failing: 

(i) to make timely payments of fees, cost, charges or fines to BSEF; 

(ii) to make timely and accurate submissions to BSEF of notices, reports or 

other information required by the BSEF Rules; or 

(iii) to keep any books and records required by the BSEF Rules. 

(b) The Compliance Department, acting on behalf of the Chief Compliance Officer, 

will give notice of any fine imposed pursuant to this Rule 621 to each Participant subject thereto. 

The notice will specify (i) the violations of the BSEF Rules for which the fine is being imposed, 
72 

(ii) the date of the violation for which the fine is being imposed and (iii) the amount of the fine. 

Within 20 days of serving the notice of fine, the Participant must either pay or cause the payment 

of the fine. The fine will become final upon the expiration of 20 days after the notice of fine is 

served on the Participant. 

(c) BSEF will set the amount of any fines imposed pursuant to this Rule 621, with the 

maximum aggregate fine for each violation not to exceed $5,000 on an annual basis. Summary 

imposition of fines pursuant to this Rule 621 will not preclude BSEF from bringing any other 

action against the Participant (or any of its Account Managers, Authorized Traders or Supervised 

Persons) or Authorized Trader, as the case may be. The following schedule lists the 

recommended summary fines that BSEF or the Chief Compliance Officer may impose: 

Type of Violation Fine Per Occurrence2

First 

Violation 

Second 

Violation 

Third 

Violation 

Failure to maintain complete and accurate books and 

records as required by BSEF Rule 409.B 

$1000 $1500 $2500 

Failure to provide any disclosure required by BSEF Rule 

402 

$1000 $1250 $1500 

Failure to identify and maintain a current list of 

Authorized Traders as required by BSEF Rule 530 

$1000 $1250 $1500 

Violation of Order entry requirements pursuant to Rule 

524, including failure to provide an accurate Legal Entity 

Identifier 

$1250 $1500 $1750 

Violation of Trade reporting requirements $1250 $1500 $1750 

Violation of the requirements to timely report a block 

trade pursuant to Rule 531.A(d) 

$1250 $1500 $1750 

Failure to provide information required by BSEF Rule 

301(e) 

$1250 $1500 $1750 

Failure to notify BSEF under Rule 516.A about a Trade 

executed in error prior to a request for cancellation, 

correction or adjustment of the Trade. 

$1250 $1750 $2000 

RULE 622. Hearings Involving BSEF-Affiliated Trading Entities 

(a) No BSEF employee that is also an employee of an affiliate of BSEF that engages 

in trading activity shall perform an investigation of such affiliated trading entity. 

(b) In the event that a Disciplinary Panel is convened for a hearing involving an 

affiliated trading entity, no Person associated with BSEF or such affiliated trading entity shall be 

a member of such Disciplinary Panel. 

(c) The Board must approve the issuance of disciplinary charges and acceptance of 

settlement offers involving an affiliated trading entity. 

 

2

 Within a “rolling” 12-month period. 
73 

RULE 623. [Reserved] 

RULE 624. Notice to the Respondent, the Regulatory Services Provider 

and the Public 

BSEF will provide Written notice of disciplinary proceedings to the parties consistent 

with applicable CFTC Regulations. Whenever BSEF suspends, expels, fines or otherwise 

disciplines, or denies any Person access, to BSEF, BSEF will make the disclosures required by 

CFTC Regulations. In accordance with CFTC Regulation § 9.11, upon rendering a final decision 

regarding a disciplinary or access denial action, BSEF shall provide notice to the Commission by 

filing with NFA’s BASIC. 

CHAPTER 7. ARBITRATION 

RULE 701. General 

(a) Except as otherwise provided in these Rules, Participants, Authorized Traders and 

any market participant that directly or indirectly effects a transaction on the SEF operated by 

BSEF shall submit to the NFA for arbitration all disputes, controversies and claims between or 

among themselves arising out of a Swap or the use of the systems or services of BSEF or the 

services, equipment, or facilities used to support such systems or services, including the SEF 

Platform and the SEF operated by BSEF (each, a “Dispute”). Any such claim against a 

Participant shall be brought within two years from the time that a cause of action has accrued. 

This Rule 701 shall in no way be construed to create a cause of action and shall not authorize an 

action that would otherwise be prohibited by these Rules or Applicable Law. In the event that 

this Rule 701 is held to be unenforceable in connection with any Dispute or a claim is deemed by 

a court of competent jurisdiction to be not arbitrable, (i) exclusive jurisdiction for any such 

Dispute will reside in any state or federal court sitting in New York County, New York, (ii) the 

Participants involved in the Dispute will be presumed to have submitted to the personal 

jurisdiction of any such court, and (iii) an action to enforce any judgment or decision of such 

court may be brought in the same court or in any other court with jurisdiction or venue. Finally, 

all Participants unconditionally and irrevocably waive any and all right to trial by jury in 

connection with any such Dispute. 

(b) Notwithstanding the foregoing, this Rule 701 does not apply to Disputes between 

Participants, Authorized Traders or any market participant that directly or indirectly effects a 

transaction on the SEF operated by BSEF that: (i) such Persons are required by the Rules of a 

Self-Regulatory Organization to submit to the Dispute resolution procedures of that SelfRegulatory Organization; or (ii) such Persons have, by valid and binding agreement, committed 

to negotiate or litigate in a forum other than the forum set out in Rule 702. 

RULE 702. Forum and Arbitration Rules 

NFA will conduct any and all arbitrations of a type described in Rule 701 pursuant to 

NFA’s Member Arbitration Rules, as if each Participant or Authorized Trader to such arbitration 

was an “NFA Member”. 
74 

RULE 703. Initiating an Arbitration Claim 

(a) A Participant or Authorized Trader may initiate an arbitration claim by submitting 

the required documents and fees to NFA. 

(b) A Participant or Authorized Trader submitting an arbitration claim shall provide 

notice of such claim to BSEF. 

RULE 704. Claims Relating to Trade Cancelations or Price Adjustments 

All claims relating to Trade cancelations pursuant to Rule 516 shall be arbitrated in 

accordance with this Chapter 7.

RULE 705. Penalties 

(a) Any failure on the part of any Participant or Authorized Trader to arbitrate a case 

subject to arbitration, or the commencement by any such Participant or its Person of a suit in any 

court prior to arbitrating a case subject to arbitration, violates these Rules and subjects such 

Person to disciplinary proceedings pursuant to Chapter 6. 

(b) BSEF may summarily suspend, pursuant to Chapter 6, a Participant or Authorized 

Trader that fails to satisfy an arbitration award rendered in any arbitration conducted pursuant to 

this Chapter 7. 

CHAPTER 8. MISCELLANEOUS 

RULE 801. Anti-Money Laundering and Anti-Terrorism 

(a) It is SEF policy: (1) Not to engage in or knowingly assist any money laundering 

or other illicit business, and (2) Not to engage in or knowingly assist, or be a conduit for, terrorist 

financing. 

(b) Participants will be required to provide sufficient information for Participants and 

their Accounts, if applicable, for SEF to complete “know your customer” checks and to conduct 

restricted list searches, including searches against the Specially Designated Nationals and 

Blocked Persons list maintained by the Office of Foreign Assets Control of the U.S. Department 

of the Treasury. 

RULE 802. Gifts and Gratuities 

Except as permitted in Writing by the Chief Compliance Officer, no Participant or 

Authorized Trader shall, directly or indirectly, give or permit to be given anything of value 

(including gratuities) to a SEF Official or BSEF, including any agents or independent contractors 

of BSEF. A gift of any kind is considered a gratuity. 

RULE 803. Market Data 

(a) Subject to each Participant's rights in Participant’s own data (and the data of its 

Accounts and Customers) as set forth in the Participant Documentation, BSEF shall own all 

rights, title and interest, database rights and trade secret rights in and to all data and other 
75 

information contained in, displayed on, generated by or derived from the SEF Platform or the 

SEF operated by BSEF or Trades entered into pursuant to the BSEF Rules, including Orders, 

prices and volumes (“SEF Data”). 

(b) Participants and Authorized Traders shall not, and shall cause their Affiliates, 

Accounts and Customers not to, distribute, sell or retransmit SEF Data or other information 

obtained via the SEF operated by BSEF, provided that any such restrictions shall not apply to 

Participant’s own data (and the data of its Accounts and Customers). 

(c) BSEF may at any time restrict or establish utilization fees in respect of SEF Data 

and/or the format and presentation thereof with respect to Participants, Customers or Accounts, 

provided that any such fees shall not apply to Participants’ use of Participant's own data (and the 

data of its Accounts and Customers). 

(d) Subject to Rule 805, BSEF may make SEF Data and other information it may 

deem appropriate available to Participants and other Persons at such times and in such manner 

(whether through the SEF Platform, a ticker, financial information services or otherwise) as it 

may consider necessary or advisable from time to time. Each Participant or other Person 

receiving any such information through the SEF operated by BSEF may redistribute such 

information only to such extent and in such manner as may be permitted by BSEF from time to 

time. 

RULE 804. Prohibited Use of Data Collected for Regulatory Purposes 

BSEF shall not use for business or marketing purposes any proprietary data or personal 

information it collects or receives, from or on behalf of any person, for the purpose of fulfilling 

its regulatory obligations; provided, however, that BSEF may use such data or information for 

business or marketing purposes if the Person from whom it collects or receives such data or 

information clearly consents in Writing to BSEF’s use of such data or information in such 

manner. BSEF shall not condition access to its market(s) or market services on a Person’s 

consent to BSEF’s use of proprietary data or personal information for business or marketing 

purposes. BSEF, where necessary for regulatory purposes, may share such data or information 

with one or more SEFs or DCMs registered with the CFTC. 

RULE 805. Confidentiality 

(a) All non-public information provided by a Participant or Authorized Trader to 

BSEF shall be held in confidence and shall not be made known to any other Person except as 

follows: 

(i) with the consent of the Participant or Authorized Trader providing such 

information; 

(ii) to a Governmental Body if BSEF is requested or legally required to do so 

by such Governmental Body; 

(iii) pursuant to a lawful discovery request; 

(iv) to a Derivatives Clearing Organization of which such Participant is a 

member or in connection with the clearing of a Swap; 
76 

(v) to an SDR; 

(vi) subject to appropriate confidentiality requirements, to any Person 

providing services to BSEF, including the Regulatory Services Provider; 

(vii) pursuant to an information sharing agreement or other arrangement or 

procedures in accordance with Rule 213; 

(viii) subject to appropriate confidentiality requirements, to BSEF employees, 

the Board, Board committees, Disciplinary Panels, Appeals Panels, BSEF Officers, 

attorneys, auditors, and agents, independent contractors or other Persons that have been 

engaged by BSEF, in each case, who require such information in connection with the 

discharge of their duties to BSEF; and 

(ix) as otherwise permitted under these Rules. 

(b) All information and data obtained or received by BSEF from inspections of 

accounting and other records will be treated as confidential by BSEF; however, this Rule does 

not supplant Rule 212 (Emergency Rules) and the Rules in Chapter 6 (Disciplinary Rules), or 

any other requirement of legal process or law. 

RULE 806. Extension or Waiver of BSEF Rules 

If necessary and expedient, the Chief Compliance Officer may, in its sole discretion, 

waive, or extend the time period for performing, any act or acts designated by the BSEF Rules, 

but only to the extent such waiver or extension is not inconsistent with the CEA or the CFTC 

Regulations or other applicable regulations. 

RULE 807. Effect of Amendment, Repeal or New Rule 

(a) If an amendment or repeal of a BSEF Rule or adoption of a new BSEF Rule does 

not materially change the terms or conditions of a Swap and does not affect the value of open 

Swaps, then the effective date of any amendment or repeal of a Rule or adoption of a new Rule 

relating to Swaps is binding on all Swaps entered into before and after the effective date of such 

amendment, repeal or adoption and, to the extent applicable, before the effective date of such 

amendment, repeal or adoption. 

(b) If an amendment or repeal of a BSEF Rule or adoption of a new Rule materially 

changes the terms or conditions of an open Swap or affects the value of open Swaps, then the 

amendment, repeal or new BSEF Rule shall not affect any open Swaps and shall be binding only 

on new Swaps listed for trading after the effective date of such amendment, repeal or adoption, 

and Swaps listed as of the effective date of such amendment, repeal or adoption with no open 

positions then in existence, unless otherwise specifically provided by the Board. 

RULE 808. Swap Contract Specifications 

(a) BSEF shall permit trading only in Swaps that are not readily susceptible to 

manipulation. To demonstrate to the CFTC compliance with the requirements of this Rule 

808(a), BSEF shall, at the time it submits a new Swap in advance to the CFTC pursuant to Part 

40 of the CFTC Regulations, provide the applicable information as set forth in Appendix C to 
77 

Part 38 of the CFTC Regulations – Demonstration of Compliance That a Contract is not Readily 

Susceptible to Manipulation. 

(b) Notwithstanding any provision of the BSEF Rules to the contrary, the Swap 

Specification with respect to a particular Swap shall govern the applicability of the BSEF Rules 

to trading in such Swap and, in the event of any conflict between the BSEF Rules and the Swap 

Specification, the Swap Specification shall govern with respect to trading in the relevant Swap. 

(c) The Swap Specification for each individual Swap may specify: 

(i) different classes of Participants eligible to trade such Swaps. Each such 

class of Participants shall have the rights and obligations specified by the Swap 

Specification for each such Swap; 

(ii) whether such Swap may be settled via cash settlement, physical delivery 

of the underlying commodity, or by any other means, as applicable; and 

(iii) the method for determining settlement prices. 

(d) Each Swap contract will be published by BSEF on its website. 

(e) Swap Specifications are incorporated into the Rulebook by reference and each 

Swap Specification shall constitute a BSEF Rule. 

RULE 809. Timely Publication of Trading Information 

BSEF will publish trading information as required by Core Principle 9 of Part 37, and by 

Part 16, of the CFTC Regulations. 

RULE 810. Governing Law, Jurisdiction and Dispute Resolution 

(a) Unless preempted by the Act, the law of the State of New York governs the BSEF 

Rules and any Participant Documentation regardless of the laws that would otherwise apply 

under choice-of-law principles. If a Participant provides an opinion of a counsel (i) stating that 

the Participant cannot be subject to the law of the State of New York and must be subject to the 

law of the jurisdiction of the location where the Participant is organized (the “Local Law”) and 

(ii) enumerating specific provisions of these Rules or the Participant Documentation that must be 

subject to the Local Law, BSEF will specify the application of the Local Law to the enumerated 

specific provisions of these Rules and the Participant Documentation; provided, however, that in 

no event shall Local Law supersede any provision of the Act. 

(b) Any dispute between BSEF and a Participant or any market participant that 

directly or indirectly effects a transaction on the SEF operated by BSEF arising from or in 

connection with the BSEF Rules or use of the SEF operated by BSEF must be brought to 

arbitration pursuant to subsection (c) of this Rule 810 within one (1) year from the occurrence of 

the event giving rise to the dispute. This Rule 810 shall in no way create a cause of action nor 

authorize an action that would otherwise be prohibited by the BSEF Rules. 

(c) Any dispute between BSEF and a Participant or any market participant that 

directly or indirectly effects a transaction on the SEF operated by BSEF arising from or in 
78 

connection with the BSEF Rules will be settled by arbitration administered in New York County, 

New York by the American Arbitration Association (the “AAA”) under its Commercial 

Arbitration Rules. The dispute will be submitted to one arbitrator who will be appointed by the 

AAA. Any arbitrator appointed for purposes of this Rule 810 will have experience with and 

knowledge of commodities, derivatives and Swaps as listed on the National Roster of Arbitrators 

kept in the AAA’s records. Judgment on the award rendered by the arbitrator will be binding on 

the parties and may be entered in any state or federal court sitting in New York County, New 

York, and BSEF and each Participant shall be deemed to have consented to the personal 

jurisdiction of any such court. Each party to the dispute will bear its own costs and expenses in 

connection with any arbitration hereunder, as well as an equal share of the administrative fees 

and the fees of the arbitrator; provided, however, that the arbitrator will be entitled to include in 

any award a full reimbursement for the prevailing party’s costs and expenses, such party’s share 

of the administrative fees and the fees of the arbitrator, or any combination of any or all of the 

above. In the event that this Rule 810 is held to be unenforceable in connection with any dispute 

or a claim is deemed by a court of competent jurisdiction to be not arbitrable, (i) exclusive 

jurisdiction for any such dispute will reside in any state or federal court sitting in New York 

County, New York, (ii) BSEF and the Participant involved in the dispute will be presumed to 

have submitted to the personal jurisdiction of any such court, and (iii) an action to enforce any 

judgment or decision of such court may be brought in the same court or in any other court with 

jurisdiction or venue. Finally, all Participants unconditionally and irrevocably waive any and all 

right to trial by jury in connection with any such dispute. 

CHAPTER 9. LIMITATION OF LIABILITY, NO WARRANTIES 

RULE 901. LIMITATION OF LIABILITY, NO WARRANTIES 

(a) NONE OF BSEF, ITS AFFILIATES OR ANY CONTRACTORS AND SUBCONTRACTORS PROVIDING SERVICES RELATED TO BSEF OR THE SEF OPERATED 

BY BSEF, NOR ANY OF THEIR RESPECTIVE SUCCESSORS OR ASSIGNS, DIRECTORS, 

OFFICERS, EMPLOYEES, AGENTS, PARTNERS, CONSULTANTS, OR LICENSORS 

(EACH, A “DISCLAIMING PARTY”) SHALL BE LIABLE TO ANY PERSON 

(INCLUDING ANY PARTICIPANT, AUTHORIZED TRADER, SUPERVISED PERSON, 

ACCOUNT, CUSTOMER, CLEARING MEMBER OR ANY MARKET PARTICIPANT 

THAT DIRECTLY OR INDIRECTLY EFFECTS A TRANSACTION ON THE SEF 

OPERATED BY BSEF) FOR ANY LOSSES, DAMAGES, COSTS OR EXPENSES 

(INCLUDING LOSS OF PROFITS, LOSS OF USE, AND DIRECT, INDIRECT, SPECIAL, 

INCIDENTAL, CONSEQUENTIAL OR PUNITIVE DAMAGES), ARISING FROM: 

(i) ANY FAILURE, MALFUNCTION, FAULT IN DELIVERY, DELAY, 

OMISSION, SUSPENSION, INACCURACY, INTERRUPTION, TERMINATION, OR 

ANY OTHER EVENT, IN CONNECTION WITH THE FURNISHING, 

PERFORMANCE, OPERATION, MAINTENANCE, USE OF OR INABILITY TO USE 

ALL OR ANY PART OF ANY OF THE SEF OPERATED BY BSEF, SEF 

PLATFORM OR SERVICES OF THE DISCLAIMING PARTY, OR SERVICES, 

EQUIPMENT OR FACILITIES USED TO SUPPORT SUCH SEF OPERATED BY 

BSEF, SEF PLATFORM OR SERVICES, INCLUDING ELECTRONIC ORDER 

ENTRY/DELIVERY, TRADING THROUGH ANY ELECTRONIC MEANS, 

ELECTRONIC COMMUNICATION OF MARKET DATA, SEF DATA OR 

INFORMATION, WORKSTATIONS USED BY PARTICIPANTS, AUTHORIZED 
79 

TRADERS, SUPERVISED PERSONS, CLEARING MEMBERS, ACCOUNTS OR 

CUSTOMERS, PRICE REPORTING SYSTEMS AND ANY AND ALL 

COMMUNICATIONS NETWORKS, SOFTWARE AND HARDWARE RELATING 

THERETO; 

(ii) ANY FAILURE, MALFUNCTION, FAULT IN DELIVERY, DELAY, 

OMISSION, SUSPENSION, INACCURACY, INTERRUPTION OR TERMINATION, 

OR ANY OTHER EVENT, OF THE SEF PLATFORM OR ANY SERVICES OF A 

DISCLAIMING PARTY, OR SERVICES, EQUIPMENT OR FACILITIES USED TO 

SUPPORT SUCH TRADING SYSTEMS OR SERVICES, CAUSED BY ANY THIRD 

PARTIES INCLUDING INDEPENDENT SOFTWARE VENDORS OR NETWORK 

PROVIDERS; 

(iii) ANY ERRORS OR INACCURACIES IN INFORMATION PROVIDED 

BY THE DISCLAIMING PARTY OR IN ANY OF THE DISCLAIMING PARTY’S 

SYSTEMS, SERVICES, EQUIPMENT OR FACILITIES; 

(iv) ANY UNAUTHORIZED ACCESS TO OR UNAUTHORIZED USE OF 

ANY OF THE DISCLAIMING PARTY’S SYSTEMS, SERVICES, EQUIPMENT OR 

FACILITIES BY ANY PERSON. 

THE FOREGOING LIMITATION OF LIABILITY SHALL APPLY WHETHER A CLAIM 

ARISES IN CONTRACT, TORT, NEGLIGENCE, STRICT LIABILITY, CONTRIBUTION 

OR OTHERWISE AND WHETHER THE CLAIM IS BROUGHT DIRECTLY OR AS A 

THIRD PARTY CLAIM. 

(b) NOTWITHSTANDING SUBSECTION (a), (c) or (f) OF THIS RULE 901, IN 

NO EVENT SHALL ANY AFFILIATE OF BSEF ACTING AS SEF PLATFORM 

TECHNOLOGY SERVICES PROVIDER BE LIABLE TO ANY PERSON NOR SHALL ANY 

PERSON BRING ANY LEGAL ACTION (WHETHER IN TORT, NEGLIGENCE, OR 

BREACH OF CONTRACT) FOR ANY LOSSES, DAMAGES, COSTS OR EXPENSES 

INCLUDING LOSS OF PROFITS, LOSS OF USE, DIRECT, SPECIAL, PUNITIVE, 

INDIRECT, INCIDENTAL OR CONSEQUENTIAL DAMAGES, ARISING FROM THE USE 

OF THE SEF OPERATED BY BSEF OR SEF PLATFORM. 

(c) WITHOUT LIMITING BSEF’S INDEMNIFICATION OBLIGATION UNDER 

RULE 902, THERE ARE NO EXPRESS OR IMPLIED WARRANTIES OR 

REPRESENTATIONS (INCLUDING WARRANTIES OF MERCHANTABILITY AND 

FITNESS FOR A PARTICULAR PURPOSE OR USE) PROVIDED BY ANY DISCLAIMING 

PARTY RELATING TO ANY SYSTEMS OR SERVICES OF ANY DISCLAIMING PARTY 

OR SERVICES, EQUIPMENT OR FACILITIES USED TO SUPPORT SUCH SYSTEMS OR 

SERVICES. 

(d) ANY DISPUTE ARISING OUT OF THE USE OF SYSTEMS OR SERVICES 

OF ANY DISCLAIMING PARTY OR SERVICES, EQUIPMENT, OR FACILITIES USED TO 

SUPPORT SUCH SYSTEMS OR SERVICES IN WHICH THE DISCLAIMING PARTY OR 

DISCLAIMING PARTIES IS A PARTY SHALL BE SUBJECT TO ARBITRATION AS 

PROVIDED IN RULE 810(c) AS IF THE DISCLAIMING PARTY WERE BSEF AND THE 

OPPOSITE PARTY OR PARTIES WERE A PARTICIPANT. ANY ACTIONS, SUITS OR 
80 

PROCEEDINGS BROUGHT AGAINST ANY DISCLAIMING PARTY MUST BE 

BROUGHT WITHIN ONE YEAR FROM THE TIME THAT A CAUSE OF ACTION HAS 

ACCRUED. THIS PARAGRAPH (d) SHALL IN NO WAY BE CONSTRUED TO LIMIT A 

PARTY’S OBLIGATION TO ARBITRATE ITS CLAIM OR TO CREATE A CAUSE OF 

ACTION (OR MODIFY THE LIMITATION ON ACTIONS PROVIDED IN RULE 901(a)) 

AND SHALL NOT AUTHORIZE AN ACTION THAT WOULD OTHERWISE BE 

PROHIBITED BY THE BSEF RULES. IF FOR ANY REASON, A COURT OF COMPETENT 

JURISDICTION FINDS THAT A DISPUTE IS NOT ARBITRABLE, SUCH DISPUTE 

SHALL BE SUBJECT TO THE JURISDICTION OF EACH OF THE FEDERAL AND STATE 

COURTS LOCATED IN NEW YORK COUNTY, NEW YORK IN CONNECTION WITH 

ANY MATTERS ARISING OUT OF THIS RULEBOOK AND NO PARTY TO SUCH 

DISPUTE MAY ASSERT A DEFENSE OF FORUM NON CONVENIENS, SOVEREIGN 

IMMUNITY, ACT OF STATE OR ANALOGOUS DOCTRINES IN CONNECTION WITH 

ANY ACTION. 

(e) TO THE EXTENT PERMITTED BY APPLICABLE LAW, THE TOTAL 

COMBINED AGGREGATE LIABILITY OF BSEF SHALL NOT EXCEED (i) $20,000 FOR 

ALL LOSSES AND CLAIMS FROM ALL CAUSES SUFFERED ON A SINGLE DAY, (ii) 

$100,000 FOR ALL LOSSES AND CLAIMS FROM ALL CAUSES SUFFERED IN A 

SINGLE CALENDAR MONTH; AND (iii) $1,000,000 FOR ALL LOSSES AND CLAIMS 

FROM ALL CAUSES SUFFERED IN A SINGLE CALENDAR YEAR. ANY DISPUTED 

CLAIM PURSUANT TO THIS PARAGRAPH (e) SHALL BE SUBJECT TO ARBITRATION 

TO THE EXTENT PROVIDED IN RULE 810(c). 

IN NO EVENT SHALL TOTAL COMBINED AGGREGATE LIABILITY OF BSEF FOR ALL 

CLAIMS AND CLAIMS AGAINST DISCLAIMING PARTIES ARISING OUT OF ANY 

FAILURES, MALFUNCTIONS, FAULTS IN DELIVERY, DELAYS, OMISSIONS, 

SUSPENSIONS, INACCURACIES, INTERRUPTIONS, TERMINATIONS, OR ANY OTHER 

CAUSES, IN CONNECTION WITH THE FURNISHING, PERFORMANCE, OPERATION, 

MAINTENANCE, USE OF OR INABILITY TO USE ALL OR ANY PART OF ANY OF THE 

SEF OPERATED BY BSEF OR SEF PLATFORM, OR SERVICES, EQUIPMENT OR 

FACILITIES USED TO SUPPORT BSEF, THE SEF OPERATED BY BSEF OR SEF 

PLATFORM, OR THE NEGLIGENCE OR GROSS NEGLIGENCE OF BSEF EMPLOYEES, 

AGENTS OR SUBAGENTS EXCEED $1,000,000 IN ANY GIVEN CALENDAR YEAR. 

IF THE NUMBER OF ALLOWED CLAIMS ARISING OUT OF ANY FAILURES OR 

MALFUNCTIONS ON A SINGLE DAY, SINGLE MONTH OR SINGLE YEAR CANNOT 

BE FULLY SATISFIED BECAUSE OF THE ABOVE DOLLAR LIMITATIONS, ALL SUCH 

CLAIMS SHALL BE LIMITED TO A PRO RATA SHARE OF THE MAXIMUM AMOUNT 

FOR THE RESPECTIVE PERIOD. 

(f) THE LIMITATIONS OF LIABILITY IN THIS RULE 901 SHALL NOT APPLY 

TO BSEF’S INDEMNIFICATION OBLIGATION UNDER RULE 902 AND SHALL NOT 

PROTECT ANY PARTY FOR WHICH THERE HAS BEEN A FINAL DETERMINATION 

(INCLUDING EXHAUSTION OF ANY APPEALS) BY A COURT OR ARBITRATOR TO 

HAVE ENGAGED IN FRAUD OR WILLFUL MISCONDUCT. ADDITIONALLY, THE 

FOREGOING LIMITATIONS ON LIABILITY OF THIS RULE SHALL BE SUBJECT TO 

THE CEA AND THE REGULATIONS PROMULGATED THEREUNDER, EACH AS IN 

EFFECT FROM TIME TO TIME. 
81 

RULE 902. Indemnification by BSEF 

BSEF, at its expense, shall indemnify, hold harmless and defend Participant against any 

loss, claim, demand or expense (including reasonable attorneys’ fees) (“Claim”) that the SEF 

Platform or any portion thereof infringes, misappropriates or violates any intellectual property or 

proprietary rights of any third party; provided, however, that BSEF shall not be required to 

indemnify Participant for any Claim to the extent it arises from or in connection with any (a) 

additions, changes or modifications by Participant to the SEF Platform, which changes were not 

provided by BSEF or any of its Affiliates, (b) use of the SEF Platform in combination with other 

products or services not provided by BSEF or its Affiliates, or (c) use of the SEF Platform other 

than as expressly permitted by the Rules or the Participant Documentation. BSEF shall control 

such defense and all negotiations relative to the settlement of any such Claim. Participant shall 

promptly provide BSEF with written notice of any claim which falls within the scope of this 

paragraph (provided that failure to provide such notice shall not relieve BSEF of its indemnity 

obligations hereunder except to the extent it is prejudiced thereby). 

CHAPTER 10. [RESERVED] 

CHAPTER 11. [RESERVED] 
82 

CHAPTER 12. CREDIT CONTRACTS TERMS AND CONDITIONS 

RULE 1201. CDS Index Contract – North America High Yield 

Contract Overview An agreement to buy or sell protection on a basket of liquid North America based entities with a high yield credit rating. 

Ticker CDX HY CDSI [series number] [tenor] 

Index CDX.NA.HY: Series 11 to current series other than series “made available to trade” 

Currency USD 

Quoting 

Convention 

and 

Minimum 

Increment 

CLOB: $0.0025 

Trading Protocols other than CLOB: As agreed by counterparties 

Minimum Size CLOB: $1,000,000 

Trading Protocols other than CLOB: As agreed by counterparties 

Trading 

Conventions 

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. Credit 

events include Bankruptcy, Failure to Pay and Restructuring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller 

owns the credit risk of the instrument. 

Swap Conventions Traded on price 

Fixed coupon payments are calculated at a spread of 500 bps and exchanged on a quarterly basis. 

Swap Tenor Any, other than tenors “made available to trade” 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of 

the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit 

Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol). 

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller. 

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, which 

is present valued and paid immediately to the seller. 

Trading Hours and 

Venue 

00:01 -24:00 Sunday-Friday; Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear US, Inc.;Credit LLC; ICE Clear Europe Limited; LCH.Clearnet LtdSA.; 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set in Part 150 of the CFTC Regulations 

Reportable Levels As set in the CFTC Regulation 15.03 
83 

RULE 1202. CDS Index Contract – North America Investment Grade 

Contract Overview An agreement to buy or sell protection on a basket of liquid North America based entities with an investment grade credit 

rating 

Ticker CDX IG CDSI [series number] [tenor] 

Index CDX.NA.IG: Series 11 to current other than series “made available to trade” 

Currency USD 

Quoting 

Convention 

and 

Minimum 

Increment 

CLOB: 0.0025 Basis Points 

Trading Protocols other than CLOB: As agreed by counterparties 

Minimum Size CLOB: 1,000,000 Basis Points 

Trading Protocols other than CLOB: As agreed by counterparties 

Trading 

Conventions 

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. Credit 

events include Bankruptcy and Failure to Pay. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller 

owns the credit risk of the instrument. 

Swap Conventions 

Traded on spread 

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis. 

Swap Tenor Any, other than tenors “made available to trade” 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of 

the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit 

Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol). 

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller. 

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, which 

is present valued and paid immediately to the seller. 

Trading Hours and 

Venue 

00:01 -24:00 Sunday-Friday; Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear US, Inc.;Credit LLC; ICE Clear Europe Limited; LCH.Clearnet LtdSA. 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set in Part 150 of the CFTC Regulations 

Reportable Levels As set in the CFTC Regulation 15.03 
84 

RULE 1203. CDS Index Contract – CDX Emerging Markets 

Contract Overview An agreement to buy or sell protection on a basket comprised of a number of sovereign issuers, domiciled in Latin 

America 

Ticker CDX EM CDSI [series number] [tenor] 

Index CDX Emerging Markets: all series 

Currency USD 

Quoting 

Convention 

and 

Minimum 

Increment 

CLOB: $0.0025 

Trading Protocols other than CLOB: As agreed by counterparties 

Minimum Size CLOB: $1,000,000 

Trading Protocols other than CLOB: As agreed by counterparties 

Trading 

Conventions 

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller 

owns the credit risk of the instrument. 

Swap Conventions Traded on price 

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis. 

Swap Tenor Any 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of 

the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit 

Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol). 

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller. 

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, which 

is present valued and paid immediately to the seller. 

Trading Hours and 

Venue 

00:01 -24:00 Sunday-Friday; Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear US, Inc.;Credit LLC; ICE Clear Europe Limited; LCH.Clearnet LtdSA. 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set in Part 150 of the CFTC Regulations 

Reportable Levels As set in the CFTC Regulation 15.03 
85 

RULE 1204. CDS Index Contract – Europe 

Contract Overview An agreement to buy or sell protection on a basket of liquid European based entities with an investment grade credit 

rating. 

Ticker ITRX EUR CDSI [series number] [tenor] 

Index iTRAXX.EUROPE: Series 7 to current, other than series “made available to trade” 

Currency EUR 

Quoting 

Convention 

and 

Minimum 

Increment 

CLOB: 0.0025 Basis Points 

Trading Protocols other than CLOB: As agreed by counterparties 

Minimum Size CLOB: 1,000,000 Basis Points 

Trading Protocols other than CLOB: As agreed by counterparties 

Trading 

Conventions 

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller 

owns the credit risk of the instrument. 

Swap Conventions Traded on spread 

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis. 

Swap Tenor Any, other than tenors “made available to trade” 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of 

the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit 

Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol). 

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller. 

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, which 

is present valued and paid immediately to the seller. 

Trading Hours and 

Venue 

00:01 -24:00 Sunday-Friday; Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear US, Inc.;Credit LLC; ICE Clear Europe Limited; LCH.Clearnet LtdSA. 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set in Part 150 of the CFTC Regulations 

Reportable Levels As set in the CFTC Regulation 15.03 
86 

RULE 1205. CDS Index Contract – Europe Crossover 

Contract Overview The European Crossover index comprises 50 equally weighted credit default swaps on the most liquid sub-investment 

grade European corporate entities. 

Ticker ITRX XOVER CDSI [series number] [tenor] 

Index iTRAXX.EUROPE CROSSOVER: Series 10 to current, other than series “made available to trade” 

Currency EUR 

Quoting 

Convention 

and 

Minimum 

Increment 

CLOB: 0.0025 Basis Points 

Trading Protocols other than CLOB: As agreed by counterparties 

Minimum Size CLOB: 1,000,000 Basis Points 

Trading Protocols other than CLOB: As agreed by counterparties 

Trading 

Conventions 

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller 

owns the credit risk of the instrument. 

Swap Conventions Traded on spread 

Fixed coupon payments are calculated at a spread of 500 bps and exchanged on a quarterly basis. 

Swap Tenor Any, other than tenors “made available to trade” 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of 

the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit 

Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol). 

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller. 

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, which 

is present valued and paid immediately to the seller. 

Trading Hours and 

Venue 

00:01 -24:00 Sunday-Friday; Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear US, Inc.;Credit LLC; ICE Clear Europe Limited; LCH.Clearnet LtdSA. 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set in Part 150 of the CFTC Regulations 

Reportable Levels As set in the CFTC Regulation 15.03 
87 

RULE 1206. CDS Index Contract – Europe HiVol 

Contract Overview An agreement to buy or sell protection on a basket comprised of 30 equally weighted credit default swaps on the widest 

spread non-financial European corporate entities. 

Ticker HIVOL CDSI [series number] [tenor] 

Index iTRAXX.EUROPE HIVOL: 

Currency EUR 

Quoting 

Convention 

and 

Minimum 

Increment 

CLOB: 0.0025 Basis Points 

Trading Protocols other than CLOB: As agreed by counterparties 

Minimum Size CLOB: 1,000,000 Basis Points 

Trading Protocols other than CLOB: As agreed by counterparties 

Trading 

Conventions 

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller owns 

the credit risk of the instrument. 

Swap Conventions Traded on spread 

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis. 

Swap Tenor Any 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of 

the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit 

Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol). 

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller. 

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, which 

is present valued and paid immediately to the seller. 

Trading Hours and 

Venue 

00:01 -24:00 Sunday-Friday; Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear US, Inc.;Credit LLC; ICE Clear Europe Limited; LCH.Clearnet LtdSA. 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set in Part 150 of the CFTC Regulations 

Reportable Levels As set in the CFTC Regulation 15.03 
88 

RULE 1207. CDS Index Contract – iTraxx Europe Senior Financial 

Contract Overview An agreement to buy or sell protection on a basket of 25 equally weighted credit default swaps on investment grade 

European entities. 

Ticker SNRFIN CDSI [series number] [tenor] 

Index iTRAXX EUROPE SENIOR FINANCIAL 

Currency EUR 

Quoting 

Convention 

and 

Minimum 

Increment 

CLOB: 0.0025 Basis Points 

Trading Protocols other than CLOB: As agreed by counterparties 

Minimum Size CLOB: 1,000,000 Basis Points 

Trading Protocols other than CLOB: As agreed by counterparties 

Trading 

Conventions 

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller 

owns the credit risk of the instrument. 

Swap Conventions Traded on spread 

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis. 

Swap Tenor Any 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of 

the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit 

Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol). 

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller. 

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, which 

is present valued and paid immediately to the seller. 

Trading Hours and 

Venue 

00:01 -24:00 Sunday-Friday; Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear US, Inc.;Credit LLC; ICE Clear Europe Limited; LCH.Clearnet LtdSA. or 

Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set in Part 150 of the CFTC Regulations 

Reportable Levels As set in the CFTC Regulation 15.03 
89 

RULE 1208. CDS Index Contract – iTraxx SovX Western Europe 

Contract Overview An agreement to buy or sell protection on an index comprised of 14 names from the Eurozone region plus Denmark, 

Norway, Sweden and United Kingdom that trade on Western European documentation. 

Ticker ITRX SOVX WE CDSI [series number] [tenor] 

Index iTRAXX SovX Western Europe: all series 

Currency USD 

Quoting 

Convention 

and 

Minimum 

Increment 

CLOB: 0.0025 Basis Points 

Trading Protocols other than CLOB: As agreed by counterparties 

Minimum Size CLOB: 1,000,000 Basis Points 

Trading Protocols other than CLOB: As agreed by counterparties 

Trading 

Conventions 

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller 

owns the credit risk of the instrument. 

Swap Conventions Traded on spread 

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis. 

Swap Tenor Any 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of 

the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit 

Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol). 

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller. 

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, which 

is present valued and paid immediately to the seller. 

Trading Hours and 

Venue 

00:01 -24:00 Sunday-Friday; Eastern Time 

Clearing House n/a; Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set in Part 150 of the CFTC Regulations 

Reportable Levels As set in the CFTC Regulation 15.03 
90 

RULE 1209. CDS Index Contract – iTraxx Europe Subordinated Financial 

Contract Overview An agreement to buy or sell protection on a basket of 25 equally weighted credit default swaps on investment grade 

European entities. 

Ticker SUBFIN CDSI [series number] [tenor] 

Index iTRAXX EUROPE SUBORDINATED FINANCIAL : All Series 

Currency EUR 

Quoting 

Convention 

and 

Minimum 

Increment 

CLOB: 0.0025 Basis Points 

Trading Protocols other than CLOB: As agreed by counterparties 

Minimum Size 

 

CLOB: 1,000,000 Basis Points 

Trading Protocols other than CLOB: As agreed by counterparties 

Trading 

Conventions 

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller 

owns the credit risk of the instrument. 

Swap Conventions Traded on spread 

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis. 

Swap Tenor Any 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of 

the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit 

Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol). 

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller. 

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, which 

is present valued and paid immediately to the seller. 

Trading Hours and 

Venue 

00:01 -24:00 Sunday-Friday; Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear US, Inc.;Credit LLC; ICE Clear Europe Limited; LCH.Clearnet LtdSA. or 

Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set in Part 150 of the CFTC Regulations 

Reportable Levels As set in the CFTC Regulation 15.03 
91 

RULE 1210. CDS Index Contract – iTraxx Japan 

Contract Overview An agreement to buy or sell protection on a basket comprised of 50 equally-weighted investment grade Japanese entities. 

Ticker ITRX JAPAN CDSI [series number] [tenor] 

Index iTRAXX.JAPAN: All Series. 

Currency JPY 

Quoting 

Convention 

and 

Minimum 

Increment 

CLOB: 0.0025 Basis Points 

Trading Protocols other than CLOB: As agreed by counterparties 

Minimum Size 

 

CLOB: 1,000,000 Basis Points 

Trading Protocols other than CLOB: As agreed by counterparties 

Trading 

Conventions 

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller owns 

the credit risk of the instrument. 

Swap Conventions Traded on spread 

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis. 

Swap Tenor Any 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of 

the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit 

Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol). 

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller. 

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, which 

is present valued and paid immediately to the seller. 

Trading Hours and 

Venue 

00:01 -24:00 Sunday-Friday; Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear US, Inc.;Credit LLC; ICE Clear Europe Limited; LCH.Clearnet LtdSA. or 

Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set in Part 150 of the CFTC Regulations 

Reportable Levels As set in the CFTC Regulation 15.03 
92 

RULE 1211. CDS Index Contract – iTraxx Australia 

Contract Overview An agreement to buy or sell protection on a basket comprised of 25 equally-weighted investment grade Australian 

entities. 

Ticker ITRX AUS CDSI [series number] [tenor] 

Index ITRAXX.AUSTRALIA : All Series 

Currency USD 

Quoting 

Convention 

and 

Minimum 

Increment 

CLOB: 0.0025 Basis Points 

Trading Protocols other than CLOB: As agreed by counterparties 

Minimum Size 

 

CLOB: 1,000,000 Basis Points 

Trading Protocols other than CLOB: As agreed by counterparties 

Trading 

Conventions 

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller 

owns the credit risk of the instrument. 

Swap Conventions Traded on spread 

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis. 

Swap Tenor Any 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of 

the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit 

Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol). 

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller. 

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, which 

is present valued and paid immediately to the seller. 

Trading Hours and 

Venue 

00:01 -24:00 Sunday-Friday; Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear US, Inc.;Credit LLC; ICE Clear Europe Limited; LCH.Clearnet LtdSA.; 

Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set in Part 150 of the CFTC Regulations 

Reportable Levels As set in the CFTC Regulation 15.03 
93 

RULE 1212. MAT CDS Index Contracts – North America Investment Grade 5Y 

Contract Overview An agreement to buy or sell protection on a basket of liquid North America based entities with an investment grade credit 

rating. 

Ticker CDX IG CDSI [series number] 5Y 

Index CDX.NA.IG: at any time, the then-current on-the-run series and the preceding series that was replaced by the current one 

Currency USD 

Quoting 

Convention and 

Minimum Price 

Increment 

CLOB: 0.0025 Basis Points 

Request for Quote Functionality for Streaming Quotes: 0.01 Basis Points 

Trading Protocols other than CLOB and Request for Quote Functionality for Streaming Quotes: As agreed by 

counterparties 

Minimum Size CLOB: 1,000,000 Basis Points 

Trading Protocols other than CLOB: As agreed by counterparties 

Trading 

Conventions 

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. Credit 

events include Bankruptcy and Failure to Pay. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller 

owns the credit risk of the instrument. 

Swap Conventions Traded on spread 

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis. 

Swap Tenor 5Y 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of 

the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Settlement 

Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit 

Derivatives Determination Committees and Auction Settlement Supplement, (ie, the Big Bang Protocol). 

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller. 

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, which 

is present valued and paid immediately to the seller. 

Trading Hours and 

Venue 

00:01 -24:00 Sunday-Friday; Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear US, Inc.;Credit LLC; ICE Clear Europe Limited; LCH.Clearnet LtdSA. 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set in Part 150 of the CFTC Regulations 

Reportable Levels As set in the CFTC Regulation 15.03 
94 

RULE 1213. MAT CDS Index Contract – North America High Yield 5Y 

Contract Overview An agreement to buy or sell protection on a basket of liquid North America based entities with a high yield credit rating. 

Ticker CDX HY CDSI [series number] 5Y 

Index CDX.NA.HY: at any time, the then-current on-the-run series and the preceding series that was replaced by the current 

one 

Currency USD 

Quoting 

Convention and 

Minimum 

Increment 

CLOB: $0.0025 

Request for Quote Functionality for Streaming Quotes: $0.0025 

Trading Protocols other than CLOB and Request for Quote Functionality for Streaming Quotes: As agreed by 

counterparties 

Minimum Size CLOB: $1,000,000 

Trading Protocols other than CLOB: As agreed by counterparties 

Trading 

Conventions 

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. Credit 

events include Bankruptcy, Failure to Pay and Restructuring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller owns 

the credit risk of the instrument. 

Swap Conventions Traded on price 

Fixed coupon payments are calculated at a spread of 500 bps and exchanged on a quarterly basis. 

Swap Tenor 5Y 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of 

the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit 

Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol). 

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller. 

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, which 

is present valued and paid immediately to the seller. 

Trading Hours and 

Venue 

00:01 -24:00 Sunday-Friday; Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear US, Inc.;Credit LLC; ICE Clear Europe Limited; LCH.Clearnet LtdSA. 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set in Part 150 of the CFTC Regulations 

Reportable Levels As set in the CFTC Regulation 15.03 
95 

RULE 1214. MAT CDS Index Contract –iTraxx Europe 5Y 

Contract Overview An agreement to buy or sell protection on a basket of liquid European based entities with an investment grade credit 

rating. 

Ticker iTRX EUR CDSI [series number] 5Y 

Index iTRAXX.EUROPE: at any time, the then-current on-the-run series and the preceding series that was replaced by the 

current one 

Currency EUR 

Quoting 

Convention and 

Minimum 

Increment 

CLOB: 0.0025 Basis Points 

Request for Quote Functionality for Streaming Quotes: 0.001 Basis Points 

Trading Protocols other than CLOB and Request for Quote Functionality for Streaming Quotes: As agreed by 

counterparties 

Minimum Size CLOB: 1,000,000 Basis Points 

Trading Protocols other than CLOB: As agreed by counterparties 

Trading 

Conventions 

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller owns 

the credit risk of the instrument. 

Swap Conventions Traded on spread 

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis. 

Swap Tenor 5Y 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of 

the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit 

Derivatives Determination Committees and Auction Settlement Supplement, (ie, the Big Bang Protocol). 

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller. 

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, which 

is present valued and paid immediately to the seller. 

Trading Hours and 

Venue 

00:01 - 24:00 Sunday-Friday; Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear US, Inc.;Credit LLC; ICE Clear Europe Limited; LCH.Clearnet LtdSA. 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set in Part 150 of the CFTC Regulations 

Reportable Levels As set in the CFTC Regulation 15.03 
96 

RULE 1215. MAT CDS Index Contract –iTraxx Europe Crossover 5Y 

Contract Overview The European Crossover index comprises 50 equally weighted credit default swaps on the most liquid sub-investment 

grade European corporate entities. 

Ticker ITRX XOVER CDSI [series number] 5Y 

Index iTRAXX.EUROPE CROSSOVER: at any time, the then-current on-the-run series and the preceding series that was 

replaced by the current one 

Currency EUR 

Quoting 

Convention 

and 

Minimum 

Increment 

CLOB: 0.0025 Basis Points 

Request for Quote Functionality for Streaming Quotes: 0.001 Basis Points 

Trading Protocols other than CLOB and Request for Quote Functionality for Streaming Quotes: As agreed by 

counterparties 

Minimum Size CLOB: 1,000,000 Basis Points 

Trading Protocols other than CLOB: As agreed by counterparties 

Trading 

Conventions 

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller 

owns the credit risk of the instrument 

Swap Conventions Traded on spread 

Fixed coupon payments are calculated at a spread of 500 bps and exchanged on a quarterly basis. 

Swap Tenor 5Y 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of 

the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit 

Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol). 

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller. 

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, which 

is present valued and paid immediately to the seller. 

Trading Hours and 

Venue 

00:01 - 24:00 Sunday-Friday; Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear US, Inc.;Credit LLC; ICE Clear Europe Limited; LCH.Clearnet LtdSA. 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set in Part 150 of the CFTC Regulations 

Reportable Levels As set in the CFTC Regulation 15.03 
97 

RULE 1216. Option – CDS Index Contract CDX North America High Yield 

Contract Overview An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF which 

is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit the 

underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”). 

Ticker CDX HY CDSI [Series] [Tenor] [Expiry] [Direction] [Strike] 

Underlying Swap CDS Index Contract – North America High Yield. 

Index of 

Underlying Swap 

CDX.NA.HY: Series 11 to current

Tenor of 

Underlying Swap 

Any 

Currency USD 

Quoting 

Convention and 

Minimum 

Increment 

As agreed by counterparties 

Minimum Size As agreed by counterparties 

Trading 

Conventions 

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby the buyer of 

protection pays a premium to the seller in case of a credit event occurring. Credit events include bankruptcy and failure 

to pay. 

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller 

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap. 

Option Strike 

Price 

Fixed coupon of the underlying swap 

Option Expiry 

Date 

As agreed by the parties 

Exercise method 

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on the 

Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the option, 

the counterparties must submit the underlying Swap for clearing to the Clearing House. 

 

Trading Hours and 

Venue 

00:01 -24:00 Sunday-Friday; Eastern Time 

Clearing House for 

the underlying 

Swap 

Chicago Mercantile Exchange, Inc.; ICE Clear US, Inc.;Credit LLC; ICE Clear Europe Limited; LCH.Clearnet LtdSA. or 

Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits Same as for the underlying Swap 

Reportable Levels Same as for the underlying Swap 
98 

RULE 1217. Option – CDS Index Contract CDX North America Investment Grade 

Contract Overview An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF which 

is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit the 

underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”). 

Ticker CDX IG CDSI [Series] [Tenor] [Expiry] [Direction] [Strike] 

Underlying Swap CDS Index Contract – North America Investment Grade. 

Index of 

Underlying Swap 

CDX.NA.IG: Series 11 to current

Tenor of 

Underlying Swap 

Any 

Currency USD 

Quoting 

Convention and 

Minimum 

Increment 

As agreed by counterparties 

Minimum Size As agreed by counterparties 

Trading 

Conventions 

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby the buyer of 

protection pays a premium to the seller in case of a credit event occurring. Credit events include bankruptcy and failure 

to pay. 

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller 

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap. 

Option Strike 

Price 

Fixed coupon of the underlying swap 

Option Expiry 

Date 

As agreed by the parties 

Exercise method 

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on the 

Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the option, 

the counterparties must submit the underlying Swap for clearing to the Clearing House. 

 

Trading Hours and 

Venue 

00:01 -24:00 Sunday-Friday; Eastern Time 

Clearing House for 

the underlying 

Swap 

Chicago Mercantile Exchange, Inc.; ICE Clear US, Inc.;Credit LLC; ICE Clear Europe Limited; LCH.Clearnet LtdSA. or 

Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits Same as for the underlying Swap 

Reportable Levels Same as for the underlying Swap 
99 

RULE 1218. Option – CDS Index Contract – CDX Emerging Markets 

Contract Overview An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF which 

is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit the 

underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”). 

Ticker CDX EM CDSI [Series] [Tenor] [Expiry] [Direction] [Strike] 

Underlying Swap CDS Index Contract – CDX Emerging Markets

Index of 

Underlying Swap 

CDX.EM: all series

Tenor of 

Underlying Swap 

Any 

Currency USD 

Quoting 

Convention and 

Minimum 

Increment 

As agreed by counterparties 

Minimum Size As agreed by counterparties 

Trading 

Conventions 

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby the buyer of 

protection pays a premium to the seller in case of a credit event occurring. Credit events include bankruptcy and failure 

to pay. 

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller 

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap. 

Option Strike 

Price 

Fixed coupon of the underlying swap 

Option Expiry 

Date 

As agreed by the parties 

Exercise method 

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on the 

Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the option, 

the counterparties must submit the underlying Swap for clearing to the Clearing House. 

 

Trading Hours and 

Venue 

00:01 -24:00 Sunday-Friday; Eastern Time 

Clearing House for 

the underlying 

Swap 

Chicago Mercantile Exchange, Inc.; ICE Clear US, Inc.;Credit LLC; ICE Clear Europe Limited; LCH.Clearnet LtdSA. or 

Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits Same as for the underlying Swap 

Reportable Levels Same as for the underlying Swap 
100 

RULE 1219. Option – CDS Index Contract – iTraxx Europe 

Contract Overview An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF which 

is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit the 

underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”). 

Ticker ITRX EUR CDSI [Series] [Tenor] [Expiry] [Direction] [Strike] 

Underlying Swap CDS Index Contract – European Investment Grade. An agreement to buy or sell protection on a basket of liquid 

European based entities with an investment grade credit rating. 

Index of 

Underlying Swap 

ITRAXX.EUROPE: Series 10 to current

Tenor of 

Underlying Swap 

Any 

Currency EUR 

Quoting 

Convention and 

Minimum 

Increment 

As agreed by counterparties 

Minimum Size As agreed by counterparties 

Trading 

Conventions 

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby the buyer of 

protection pays a premium to the seller in case of a credit event occurring. Credit events include bankruptcy and failure 

to pay. 

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller 

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap. 

Option Strike 

Price 

Fixed coupon of the underlying swap 

Option Expiry 

Date 

As agreed by the parties 

Exercise method 

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on the 

Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the option, 

the counterparties must submit the underlying Swap for clearing to the Clearing House. 

 

Trading Hours and 

Venue 

00:01 -24:00 Sunday-Friday; Eastern Time 

Clearing House for 

the underlying 

Swap 

Chicago Mercantile Exchange, Inc.; ICE Clear US, Inc.;Credit LLC; ICE Clear Europe Limited; LCH.Clearnet LtdSA. or 

Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits Same as for the underlying Swap 

Reportable Levels Same as for the underlying Swap 
101 

RULE 1220. Option – CDS Index Contract – iTraxx Europe Crossover 

Contract Overview An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF which 

is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit the 

underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”). 

Ticker ITRX XOVER CDSI [Series] [Tenor] [Expiry] [Direction] [Strike] 

Underlying Swap CDS Index Contract – Europe Crossover. An index comprising 50 equally weighted credit default swaps on the most 

liquid sub-investment grade European corporate entities. 

Index of 

Underlying Swap 

ITRAXX.EUROPE CROSSOVER: Series 10 to current

Tenor of 

Underlying Swap 

Any 

Currency EUR 

Quoting 

Convention and 

Minimum 

Increment 

As agreed by counterparties 

Minimum Size As agreed by counterparties 

Trading 

Conventions 

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby the buyer of 

protection pays a premium to the seller in case of a credit event occurring. Credit events include bankruptcy and failure 

to pay. 

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller 

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap. 

Option Strike 

Price 

Fixed coupon of the underlying swap 

Option Expiry 

Date 

As agreed by the parties 

Exercise method 

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on the 

Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the option, 

the counterparties must submit the underlying Swap for clearing to the Clearing House. 

Trading Hours and 

Venue 

00:01 -24:00 Sunday-Friday; Eastern Time 

Clearing House for 

the underlying 

Swap 

Chicago Mercantile Exchange, Inc.; ICE Clear US, Inc.;Credit LLC; ICE Clear Europe Limited; LCH.Clearnet LtdSA. or 

Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits Same as for the underlying Swap 

Reportable Levels Same as for the underlying Swap 
102 

RULE 1221. Option – CDS Index Contract – iTraxx Europe HiVol 

Contract Overview An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF which 

is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit the 

underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”). 

Ticker HIVOL CDSI [Series] [Tenor] [Expiry] [Direction] [Strike] 

Underlying Swap CDS Index Contract – European HiVol. 

Index of 

Underlying Swap 

ITRAXX.EUROPE HIVOL: Series 10 to current

Tenor of 

Underlying Swap 

Any 

Currency EUR 

Quoting 

Convention and 

Minimum 

Increment 

As agreed by counterparties 

Minimum Size As agreed by counterparties 

Trading 

Conventions 

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby the buyer of 

protection pays a premium to the seller in case of a credit event occurring. Credit events include bankruptcy and failure 

to pay. 

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller 

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap. 

Option Strike 

Price 

Fixed coupon of the underlying swap 

Option Expiry 

Date 

As agreed by the parties 

Exercise method 

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on the 

Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the option, 

the counterparties must submit the underlying Swap for clearing to the Clearing House. 

 

Trading Hours and 

Venue 

00:01 -24:00 Sunday-Friday; Eastern Time 

Clearing House for 

the underlying 

Swap 

n/a; Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits Same as for the underlying Swap 

Reportable Levels Same as for the underlying Swap 
103 

RULE 1222. CDS Index Contract – iTraxx Corp CEEMEA 

Contract Overview An agreement to buy or sell protection on a basket comprised of twenty five (25) of the most liquid corporate and quasisovereign entities from Central & Eastern European, Middle Eastern and African countries. 

Ticker iTraxx Corp CEEMEA CDSI [series number] [tenor] 

Index iTraxx CEEMEA: all series 

Currency USD 

Quoting 

Convention 

and 

Minimum 

Increment 

CLOB: $0.0025 

Trading Protocols other than CLOB: As agreed by counterparties 

Minimum Size CLOB: $1,000,000 

Trading Protocols other than CLOB: As agreed by counterparties 

Trading 

Conventions 

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller owns 

the credit risk of the instrument. 

Swap Conventions Traded on spread 

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis. 

Swap Tenor Any 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of 

the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit 

Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol). 

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller. 

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, which 

is present valued and paid immediately to the seller. 

Trading Hours and 

Venue 

00:01 -24:00 Sunday-Friday; Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear US, Inc.;Credit LLC; ICE Clear Europe Limited; LCH.Clearnet LtdSA. 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set in Part 150 of the CFTC Regulations 

Reportable Levels As set in the CFTC Regulation 15.03 
104 

RULE 1223. CDS Index Contract – LCDX 

Contract Overview An agreement to buy or sell protection on a basket comprised of a number of 100 reference entities, referencing first lien 

leveraged loans CDS. 

Ticker LCDX [series number] [tenor] 

Index LCDX: all series 

Currency USD 

Quoting 

Convention 

and 

Minimum 

Increment 

CLOB: $0.0025 

Trading Protocols other than CLOB: As agreed by counterparties 

Minimum Size CLOB: $1,000,000 

Trading Protocols other than CLOB: As agreed by counterparties 

Trading 

Conventions 

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller owns 

the credit risk of the instrument. 

Swap Conventions Traded on price 

Fixed coupon payments are calculated at a spread of 250 bps and exchanged on a quarterly basis. 

Swap Tenor Any 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of 

the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit 

Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol). 

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller. 

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, which 

is present valued and paid immediately to the seller. 

Trading Hours and 

Venue 

00:01 -24:00 Sunday-Friday; Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear US, Inc.;Credit LLC; ICE Clear Europe Limited; LCH.Clearnet LtdSA. or 

Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set in Part 150 of the CFTC Regulations 

Reportable Levels As set in the CFTC Regulation 15.03 
105 

RULE 1224. CDS Index Contract – MCDX 

Contract Overview An agreement to buy or sell protection on a basket comprised of a number of 50 CDS contracts referencing municipal 

issuers as the Reference Entity. 

Ticker MCDX [series number] [tenor] 

Index MCDX: all series 

Currency USD 

Quoting 

Convention 

and 

Minimum 

Increment 

CLOB: $0.0025 

Trading Protocols other than CLOB: As agreed by counterparties 

Minimum Size CLOB: $1,000,000 

Trading Protocols other than CLOB: As agreed by counterparties 

Trading 

Conventions 

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller owns 

the credit risk of the instrument. 

Swap Conventions Traded on spread 

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis. 

Swap Tenor Any 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of 

the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit 

Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol). 

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller. 

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, which 

is present valued and paid immediately to the seller. 

Trading Hours and 

Venue 

00:01 -24:00 Sunday-Friday; Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear US, Inc.;Credit LLC; ICE Clear Europe Limited; LCH.Clearnet LtdSA. or 

Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set in Part 150 of the CFTC Regulations 

Reportable Levels As set in the CFTC Regulation 15.03 
106 

RULE 1225. Option – CDS Index Contract – iTraxx SovX Western Europe 

Contract Overview An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF which 

is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit the 

underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”). 

Ticker iTRAXX SovX Western Europe CDSI [Series] [Tenor] [Expiry] [Direction] [Strike] 

Underlying Swap CDS Index Contract – iTRAXX SovX Western Europe 

Index of 

Underlying Swap 

iTRAXX SovX Western Europe: all series

Tenor of 

Underlying Swap 

Any 

Currency USD 

Quoting 

Convention and 

Minimum 

Increment 

As agreed by counterparties 

Minimum Size As agreed by counterparties 

Trading 

Conventions 

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby the buyer of 

protection pays a premium to the seller in case of a credit event occurring. Credit events include bankruptcy and failure 

to pay. 

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller 

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap. 

Option Strike 

Price 

Fixed coupon of the underlying swap 

Option Expiry 

Date 

As agreed by the parties 

Exercise method 

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on the 

Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the option, 

the counterparties must submit the underlying Swap for clearing to the Clearing House. 

 

Trading Hours and 

Venue 

00:01 -24:00 Sunday-Friday; Eastern Time 

Clearing House for 

the underlying 

Swap 

None. 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits Same as for the underlying Swap 

Reportable Levels Same as for the underlying Swap 
107 

RULE 1226. Option – CDS Index Contract – LCDX 

Contract Overview An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF which 

is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit the 

underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”). 

Ticker LCDX CDSI [Series] [Tenor] [Expiry] [Direction] [Strike] 

Underlying Swap CDS Index Contract – LCDX 

Index of 

Underlying Swap 

LCDX: all series

Tenor of 

Underlying Swap 

Any 

Currency USD 

Quoting 

Convention and 

Minimum 

Increment 

As agreed by counterparties 

Minimum Size As agreed by counterparties 

Trading 

Conventions 

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby the buyer of 

protection pays a premium to the seller in case of a credit event occurring. Credit events include bankruptcy and failure 

to pay. 

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller 

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap. 

Option Strike 

Price 

Fixed coupon of the underlying swap 

Option Expiry 

Date 

As agreed by the parties 

Exercise method 

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on the 

Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the option, 

the counterparties must submit the underlying Swap for clearing to the Clearing House. 

 

Trading Hours and 

Venue 

00:01 -24:00 Sunday-Friday; Eastern Time 

Clearing House for 

the underlying 

Swap 

Chicago Mercantile Exchange, Inc.; ICE Clear US, Inc.;Credit LLC; ICE Clear Europe Limited; LCH.Clearnet. Ltd SA. 

or Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits Same as for the underlying Swap 

Reportable Levels Same as for the underlying Swap 
108 

RULE 1227. Option – CDS Index Contract – MCDX 

Contract Overview An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF which 

is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit the 

underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”). 

Ticker MCDX CDSI [Series] [Tenor] [Expiry] [Direction] [Strike] 

Underlying Swap CDS Index Contract – MCDX 

Index of 

Underlying Swap 

MCDX: all series

Tenor of 

Underlying Swap 

Any 

Currency USD 

Quoting 

Convention and 

Minimum 

Increment 

As agreed by counterparties 

Minimum Size As agreed by counterparties 

Trading 

Conventions 

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby the buyer of 

protection pays a premium to the seller in case of a credit event occurring. Credit events include bankruptcy and failure 

to pay. 

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller 

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap. 

Option Strike 

Price 

Fixed coupon of the underlying swap 

Option Expiry 

Date 

As agreed by the parties 

Exercise method 

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on the 

Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the option, 

the counterparties must submit the underlying Swap for clearing to the Clearing House. 

Trading Hours and 

Venue 

00:01 -24:00 Sunday-Friday; Eastern Time 

Clearing House for 

the underlying 

Swap 

Chicago Mercantile Exchange, Inc.; ICE Clear US, Inc.;Credit LLC; ICE Clear Europe Limited; LCH.Clearnet LtdSA. or 

Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits Same as for the underlying Swap 

Reportable Levels Same as for the underlying Swap 
109 

RULE 1228. CDS Index Contract – iTraxx Asia Ex-Japan 

Contract Overview An agreement to buy or sell protection on a basket comprised of forty (40) liquid Asian (excluding Japanese) entities 

with primarily investment grade credit ratings that trade in the CDS market. 

Ticker iTraxx Asia ex-Japan CDSI [series number] [tenor] 

Index iTraxx Asia ex-Japan; all series 

Currency USD 

Quoting Convention 

and 

Minimum Increment 

CLOB: $0.0025 

Trading Protocols other than CLOB: As agreed by counterparties 

Minimum Size CLOB: $1,000,000 

Trading Protocols other than CLOB: As agreed by counterparties 

Trading Conventions Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The seller 

owns the credit risk of the instrument. 

Swap Conventions Traded on spread 

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis. 

Swap Tenor Any 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date 

of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Settlement Contingent payment – Payments related to credit event settlement will be determined pursuant to the 2014 ISDA 

Credit Derivatives Definitions, as published by the International Swaps and Derivatives Association, Inc. 

Fixed Quarterly cash payments – Reflected in basis points and paid by the protection buyer to the protection seller. 

Upfront fee payment – The upfront fee is a portion of the payments, expressed in percentage points of the notional, 

which is present valued and paid immediately to the seller. 

Trading Hours and 

Venue 

00:01 -24:00 Sunday-Friday; Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear US, Inc.;Credit LLC; ICE Clear Europe Limited; LCH.Clearnet 

LtdSA. 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 

 
110 

RULE 1229. CDS Index Contract – iTraxx Europe Non-Financial 

Contract Overview An agreement to buy or sell protection on a basket of one hundred (100) equally weighted credit default swaps 

on investment grade European entities. 

Ticker iTraxx Europe NONFIN CDSI [series number] [tenor] 

Index iTraxx Europe Non-Financial 

Currency EUR 

Quoting Convention 

and 

Minimum Increment 

CLOB: 0.0025 Basis Points 

Trading Protocols other than CLOB: As agreed by the counterparties 

Minimum Size CLOB: $1,000,000 

Trading Protocols other than CLOB: As agreed by the counterparties 

Trading Conventions Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The 

seller owns the credit risk of the instrument. 

Swap Conventions Traded on spread 

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis. 

Swap Tenor Any 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the 

start date of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2014 

ISDA Credit Derivatives Definitions, as published by the International Swaps and Derivatives Association, Inc. 

Fixed Quarterly cash payments - Reflected in basis points and paid by the protection buyer to the protection 

seller. 

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the 

notional, which is present valued and paid immediately to the seller. 

Trading Hours and Venue 00:01-24:00 Sunday-Friday; Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear US, Inc.;Credit LLC; ICE Clear Europe Limited; LCH.Clearnet 

LtdSA. or Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 
111 

CHAPTER 13. RATES CONTRACTS TERMS AND CONDITIONS 

RULE 1301. AUD BBR-BBSW Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional 

over a term to maturity. 

Ticker AUD SWAP vs Floating Index Maturity 

Currency AUD 

Floating Rate 

Index 

AUD BBR BBSW 

Floating Rate 

Index Maturity 

3, 6 months 

Fixed Rate Par; Custom Coupon 

Quoting 

Convention and 

Minimum 

Increment 

As agreed by the counterparties 

Minimum Size As agreed by the counterparties 

Trading 

Conventions 

Buy = Pay Fixed, Receive Float. 

Sell = Receive Fixed, Pay Float. 

Swap Conventions Fixed Leg 

 Payment: Semi-Annual, Quarterly 

 Day Count Conventions: ACT/365(Fixed) 

 Holiday Calendar: Australia 

 Business Day Conventions: Modified Following 

Floating Leg 

 Payment/Resets : Semi-Annual, Quarterly 

 Day Count Conventions: ACT/365(Fixed) 

 Holiday Calendar: Australia 

 Fixing Calendar: Australia 

 Business Day Conventions: Modified Following 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 28 days to up to 30 

years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments. Also 

known as the start date of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic 

Settlement: 

Payment and 

Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day Count 

Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first BBSW Fixing Date is two (2) Sydney business days prior to the Effective Date. 

Trade Start Types Spot: 

 A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot: 

 Any date where the Effective Date is a date other than the spot date. 

Settlement 

Procedure 

As determined by the Clearing House or an agreement between the counterparties. 

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time) 

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations. 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 
112 

RULE 1302. [Reserved] 
113 

RULE 1303. EUR Euribor Fixed-to-Floating Swap Contract* 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional 

over a term to maturity. 

Ticker EUR SWAP vs [Floating Index Maturity] 

Currency EUR 

Floating Rate 

Index 

EURIBOR 

Floating Rate 

Index Maturity 

1, 3, 6, 12 months 

Fixed Rate  Par 

 Custom coupon 

 Standard coupon; the then-current rates for Market Agreed Coupon (“MAC”) 

Quoting 

Convention and 

Minimum 

Increment 

As agreed by the counterparties 

Contract Size Fixed notional; as agreed by the counterparties 

Minimum Size As agreed by the counterparties 

Trading 

Conventions 

Buy = Pay Fixed, Receive Float 

Sell = Receive Fixed, Pay Float 

Swap Conventions Fixed Leg 

 Payment: Quarterly, Semi-Annual, Annual 

 Day Count Conventions: 30/360, ACT/360, 30E/360 

 Holiday Calendar: Target 

 Business Day Conventions: Modified Following 

Floating Leg 

 Payment/Resets : Monthly, Quarterly, Semi-Annual, Annual 

 Day Count Conventions: ACT/360, 30/360 

 Holiday Calendar: Target 

 Fixing Calendar: Target 

 Business Day Conventions: Modified Following 

Swap Tenor The duration of time from the effective date to the maturity date. A non-MAT or non-MAC EUR EURIBOR Fixed-toFloating Swap Contract can have a tenor from 28 days to up to 50 years. A MAC EUR EURIBOR Fixed-to-Floating 

Swap Contract can have a tenor from 1 year to 30 years. 

Effective Date The date on which the parties begin calculating accrued obligations such as fixed and floating interest rate payments. This 

is also known as the start date of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic 

Settlement: 

Payment and 

Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day Count 

Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first Euribor Fixing Date is 2 Target business days prior to the Effective Date of the swap. 

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot: Any date where the Effective Date is a date other than the spot date. 

International Money Market (“IMM”): One of the four quarterly IMM dates. 

Settlement 

Procedure 

As determined by the Clearing House 

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time) 

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd, Eurex Clearing Aktiengesellschaft. or 

Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations. 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 

____________________________________ 

* Certain EUR EURIBOR Fixed-to-Floating swap contracts are subject to “made available to trade” determinations and must be traded as set 

forth in Rule 522. For the full list of terms of MAT swap contracts, please see the current list of “Swaps Made Available to Trade” at 

http://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm. 
114 

RULE 1304. [Reserved] 

RULE 1305. [Reserved] 

RULE 1306. [Reserved] 
115 

RULE 1307. EUR OIS Eonia Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional 

over a term to maturity. 

Ticker EUR SWAP OIS [Trade Start Type] [tenor] 

Currency EUR 

Floating Rate 

Index 

EUR-EONIA-OIS-Compound 

Fixed Rate Par; Custom Coupon 

Quoting 

Convention 

Minimum 

Increment 

As agreed by counterparties 

Minimum Size As agreed by counterparties

Trading 

Conventions 

Buy = Pay Fixed, Receive Float. 

Sell = Receive Fixed, Pay Float. 

Swap Conventions Fixed Leg 

 Payment: Quarterly, Semi-annual, Annual 

 Day Count Conventions: ACT/360, 30/360, ACT/365 

 Holiday Calendar: Target 

 Business Day Conventions: Modified Following 

Floating Leg 

 Payment/Resets : Quarterly, Semi-annual, Annual 

 Day Count Conventions: ACT/360 

 Holiday Calendar: Target 

 Fixing Calendar: Target 

 Business Day Conventions: Modified Following 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 1 week to as long as 

50 years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments. Also 

known as the start date of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic 

Settlement: 

Payment and 

Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day Count 

Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first EONIA Fixing Date is the trade date. 

Trade Start Types Spot: 

 A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot: 

 Any date where the effective date is a date other than the spot date. 

Settlement 

Procedure 

As determined by the Clearing House 

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft or 

Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations. 

Speculative Limits As set in Part 150 of the CFTC Regulations 

Reportable Levels As set in CFTC Regulation 15.03 
116 

RULE 1308. USD OIS Fed Funds Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional 

over a term to maturity. 

Ticker USD SWAP OIS [Maturity] 

Currency USD 

Floating Rate 

Index 

USD-FED-FUND H.15 OIS Compound 

Fixed Rate Par; Custom Coupon 

Quoting 

Convention 

Minimum 

Increment 

As agreed by counterparties 

Minimum Size As agreed by counterparties 

Trading 

Conventions 

Buy = Pay Fixed, Receive Float. 

Sell = Receive Fixed, Pay Float. 

Swap Conventions Fixed Leg 

 Payment: Quarterly, Semi-annual, Annual 

 Day Count Conventions: ACT/360, Act/365, 30/360 

 Holiday Calendar: New York 

 Business Day Conventions: Modified Following 

Floating Leg 

 Payment/Resets : Quarterly, Annual 

 Day Count Conventions: ACT/360 

 Holiday Calendar: New York 

 Fixing Calendar: New York 

 Business Day Conventions: Modified Following 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 1 week to up to 50 

years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments. Also 

known as the start date of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic 

Settlement: 

Payment and 

Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day Count 

Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first Fed Funds Fixing Date is 2 New York business days prior to the Effective Date. 

Trade Start Types Spot: 

 A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot: 

 Any date where the effective date is a date other than the spot date. 

Settlement 

Procedure 

As determined by the Clearing House 

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd.. Eurex Clearing Aktiengesellschaft or 

Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations. 

Speculative Limits As set in Part 150 of the CFTC Regulations 

Reportable Levels As set in CFTC Regulation 15.03 
117 

RULE 1309. CHF LIBOR Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional 

over a term to maturity. 

Ticker CHF SWAP vs [Floating Index Maturity] 

Currency CHF 

Floating Rate 

Index 

CHF-LIBOR-BBA 

Floating Rate 

Index Maturity 

3, 6 months 

Fixed Rate Par; Custom Coupon 

Quoting 

Convention and 

Minimum 

Increment 

As agreed by the counterparties 

Minimum Size As agreed by the counterparties 

Trading 

Conventions 

Buy = Pay Fixed, Receive Float. 

Sell = Receive Fixed, Pay Float. 

Swap Conventions Fixed Leg 

 Payment: Quarterly, Semi-annually, Annual 

 Day Count Conventions: 30/360, ACT/360 

 Holiday Calendar: Zurich 

 Business Day Conventions: Modified Following 

Floating Leg 

 Payment/Resets : Quarterly, Semi-Annual 

 Day Count Conventions: ACT/360 

 Holiday Calendar: Zurich 

 Fixing Calendar: Switzerland 

 Business Day Conventions: Modified Following 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 28 days to as long as 

30 years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments. Also 

known as the start date of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic 

Settlement: 

Payment and 

Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day Count 

Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first LIBOR Fixing Date is 2 London business days prior to the Effective Date. 

Trade Start Types Spot: 

 A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot: 

 Any date where the effective date is a date other than the spot date. 

Settlement 

Procedure 

As determined by the Clearing House or an agreement between the counterparties 

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft or 

Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations. 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 
118 

RULE 1310. GBP LIBOR Fixed-to-Floating Swap Contract* 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional 

over a term to maturity. 

Ticker GBP SWAP vs [Floating Index Maturity] 

Currency GBP 

Floating Rate 

Index 

LIBOR 

Floating Rate 

Index Maturity 

3, 6 months 

Fixed Rate  Par 

 Custom coupon 

 Standard coupon; the then-current rates for Market Agreed Coupon (“MAC”) 

Quoting 

Convention and 

Minimum 

Increment 

As agreed by the counterparties 

Contract Size Fixed notional; as agreed by the counterparties 

Minimum Size GBP 1000 

Trading 

Conventions 

Buy = Pay Fixed, Receive Float 

Sell = Receive Fixed, Pay Float 

Swap Conventions Fixed Leg 

 Payment: Quarterly, Semi-Annual, Annual 

 Day Count Conventions: ACT/365, ACT/360, ACT/365F 

 Holiday Calendar: London 

 Business Day Conventions: Modified Following 

Floating Leg 

 Payment/Resets : Quarterly, Semi-Annual 

 Day Count Conventions: ACT/365, ACT/360, ACT/365F 

 Holiday Calendar: London 

 Fixing Calendar: London 

 Business Day Conventions: Modified Following 

Swap Tenor The duration of time from the effective date to the maturity date. A non-MAT GBP LIBOR Fixed-to-Floating Swap 

Contract can have a tenor from 28 days to up to 50 years. 

Effective Date The date on which the parties begin calculating accrued obligations such as fixed and floating interest rate payments. This 

is also known as the start date of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic 

Settlement: 

Payment and 

Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day Count 

Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First LIBOR 

Fixing Date 

For non-MAT GBP LIBOR Fixed-to-Floating Swap Contracts, the first LIBOR Fixing Date is the Effective Date. For 

MAT GBP LIBOR Fixed-to-Floating Swap Contracts, the first LIBOR Fixing Date is two (2) London business days prior 

to the Effective Date. 

Trade Start Types Spot: A new swap where the Effective Date is T from the trade date. 

Non-Spot: Any date where the Effective Date is a date other than the spot date. 

International Money Market (“IMM”): One of the four quarterly IMM dates. 

Settlement 

Procedure 

As determined by the Clearing House 

Trading Hours 00:01 - 24:00 Sunday-Friday (Eastern Time) 

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft or 

Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations. 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 

____________________________________ 

* Certain GBP LIBOR Fixed-to-Floating swap contracts are subject to “made available to trade” determinations and must be traded as set forth 

in Rule 522. For the full list of terms of MAT swap contracts, please see the current list of “Swaps Made Available to Trade” at 

http://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm. 
119 

RULE 1311. GBP Basis Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying two floating interest rates to a specified notional over a 

term to maturity. 

Ticker GBP SWAP VS [floating rate 1] V [floating rate 2] [tenor] 

Currency GBP 

Floating Rate 

Index 

1 Month GBP-LIBOR 

3 Month GBP-LIBOR 

6 Month GBP-LIBOR 

Quoting 

Convention and 

Minimum 

Increment 

As agreed by the counterparties 

Minimum Size As agreed by the counterparties 

Trading 

Conventions 

Buy = Pay Spread 

Sell = Receive Spread 

Swap Conventions Floating Leg 1 

 Payment/Resets: Monthly, Quarterly, Semi-annual 

 Day Count Conventions: ACT/360, or as agreed by the counterparties 

 Compounding Method: Flat 

 Holiday Calendar: England 

 Fixing Calendar: England 

 Business Day Conventions: Modified Following 

 Floating Leg 2 

 Payment/Resets: Monthly, Quarterly, Semi-annual 

 Day Count Conventions: ACT/360, or as agreed by the counterparties 

 Holiday Calendar: England 

 Fixing Calendar: England 

 Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to up to 50 

years. 

Effective Date The date on which parties begin calculating accrued obligations such as floating interest rate payments (i.e., the start date 

of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic 

Settlement: 

Payment and 

Resets 

Floating Leg 1: The payment amount of the Floating Leg 1 is based on the following: Notional, Payment Frequency, Day 

Count Convention, Floating Interest Rate Index, and Floating Reset Dates. 

Floating Leg 2: The payment amount of the Floating Leg 2 is based on the following: Notional, Payment Frequency, Day 

Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first LIBOR Fixing Date is two London business days prior to the Effective Date. 

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Settlement 

Procedure 

As determined by the Clearing House 

Trading Hours 00:01-24:00 Sunday-Friday Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft or Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations. 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 
120 

RULE 1312. JPY LIBOR (6M) Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional 

over a term to maturity. 

Ticker [tenor] JPY SWAP VS 6M LBR 

Currency JPY 

Floating Rate 

Index 

6 Month JPY-LIBOR 

Fixed Rate Par; Custom Coupon 

Quoting 

Convention and 

Minimum 

Increment 

As agreed by counterparties 

Minimum Size As agreed by counterparties 

Trading 

Conventions 

Buy = Pay Fixed, Receive Float. 

Sell = Receive Fixed, Pay Float. 

Swap Conventions Fixed Leg 

 Payment: Quarterly, Semi-annual, Annual 

 Day Count Conventions: ACT/360, 30/360, ACT/365(Fixed) 

 Holiday Calendar: London, Tokyo 

 Business Day Conventions: Modified Following 

Floating Leg 

 Payment/Resets : Semi-Annual 

 Day Count Conventions: ACT/360 

 Holiday Calendar: London, Tokyo 

 Fixing Calendar: England; Japan 

 Business Day Conventions: Modified Following 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 28 days to as long as 

40 years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments. Also 

known as the start date of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic 

Settlement: 

Payment and 

Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day Count 

Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first LIBOR Fixing Date is 2 London business days prior to the Effective Date. 

Trade Start Types Spot: 

 A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot: 

 Any date where the effective date is a date other than the spot date. 

Settlement 

Procedure 

As determined by the Clearing House 

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft or 

Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations. 

Speculative Limits As set in Part 150 of the CFTC Regulations 

Reportable Levels As set in CFTC Regulation 15.03 
121 

RULE 1313. [Reserved] 
122 

RULE 1314. USD LIBOR Fixed-to-Floating Swap Contract* 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional 

over a term to maturity. 

Ticker USD SWAP VS [Floating Index Maturity] 

Currency USD 

Floating Rate 

Index 

LIBOR 

Floating Rate 

Index Maturity 

1, 3, 6, 12 months 

Fixed Rate  Par 

 Custom Coupon 

 Standard coupon; the then-current rates for Market Agreed Coupon (“MAC”) 

Contract Size Fixed notional, as agreed by the counterparties 

Minimum Size As agreed by the counterparties 

Trading 

Conventions 

Buy = Pay Fixed, Receive Float 

Sell = Receive Fixed, Pay Float 

Swap Conventions Fixed Leg 

 Payment: Monthly, Quarterly, Semi-Annual, Annual 

 Day Count Conventions: 30/360, ACT/360/ ACT/365 

 Holiday Calendar: London, New York 

 Business Day Conventions: Modified Following 

Floating Leg 

 Payment/Resets: Monthly, Quarterly, Semi-Annual 

 Day Count Conventions: ACT/360 

 Holiday Calendar: London, New York 

 Fixing Calendar: London 

 Business Day Conventions: Modified Following 

Swap Tenor  The duration of time from the effective date to the maturity date. A non-MAT USD LIBOR Fixed-to-Floating Swap 

Contract can have a Tenor from 28 days to up to 50 years. 

Effective Date The date on which the parties begin calculating accrued obligations such as fixed and floating interest rate payments. 

This is also known as the start date of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic 

Settlement: 

Payment and 

Resets 

 Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention and Fixed Interest Rate. 

 Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

 Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first LIBOR Fixing Date is two (2) London business days prior to the Effective Date 

Trade Start Types  Spot: A new swap where the Effective Date is T+2 from the trade date 

 Non-Spot: Any date where the Effective Date is a date other than the spot date 

 International Money Market (“IMM”): Next two (2) IMM dates 

Settlement 

Procedure 

As determined by the Clearing House 

Trading Hours 00:01 -24:00; Sunday-Friday (Eastern Time) 

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft or 

Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 

____________________________________ 

* Certain USD LIBOR Fixed-to-Floating swap contracts are subject to “made available to trade” determinations and must be traded as set forth 

in Rule 522. For the full list of terms of MAT swap contracts, please see the current list of “Swaps Made Available to Trade” at 

http://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm. 
123 

RULE 1315. USD Basis Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying two floating interest rates to a specified notional over a 

term to maturity. 

Ticker USD SWAP [floating rate 1] V [floating rate 2] [tenor] 

Currency GBP 

Floating Rate 

Index 

1 Month USD-LIBOR 

3 Month USD-LIBOR 

6 Month USD-LIBOR 

SOFR 

Fed Funds 

Quoting 

Convention and 

Minimum 

Increment 

As agreed by the counterparties 

Minimum Size As agreed by the counterparties 

Trading 

Conventions 

Buy = Pay Spread 

Sell = Receive Spread 

Swap Conventions Floating Leg 1 

 Payment/Resets: Monthly, Quarterly, Semi-annual, Annual, At Maturity 

 Day Count Conventions: ACT/360, or as agreed by the counterparties 

 Compounding Method: Flat, Exclude Spread 

 Holiday Calendar: England, US 

 Fixing Calendar: USGS 

 Business Day Conventions: Modified Following 

 Floating Leg 2 

 Payment/Resets : Monthly, Quarterly, Semi-annual, Annual, At Maturity 

 Day Count Conventions: ACT/360, or as agreed by the counterparties 

 Holiday Calendar: England, US 

 Fixing Calendar: USGS 

 Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to up to 50 

years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments (i.e., the 

start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic 

Settlement: 

Payment and 

Resets 

Floating Leg 1: The payment amount of the Floating Leg 1 is based on the following: Notional, Payment Frequency, Day 

Count Convention, Floating Interest Rate Index, and Floating Reset Dates. 

Floating Leg 2: The payment amount of the Floating Leg 2 is based on the following: Notional, Payment Frequency, Day 

Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first LIBOR Fixing Date is two London business days prior to the Effective Date. If Fed Funds or SOFR is one of the 

index leg tenors, the first Fixing Date will equal the effective date of the swap. 

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Settlement 

Procedure 

As determined by the Clearing House 

Trading Hours 00:01-24:00 Sunday-Friday Eastern Time 

Clearing House 1 month, 3 month, and 6 month LIBOR rates only: 

Chicago Mercantile Exchange, Inc. 

All rates: 

Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft or Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations. 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 
124 

RULE 1316. [Reserved] 
125 

RULE 1317. SEK STIBOR (3M) Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional 

over a term to maturity. 

Ticker SEK SWAP VS 3M [Trade Start Type] [tenor] 

Currency SEK 

Floating Rate 

Index 

3 Month SEK-STIBOR-SIDE 

Fixed Rate Par; Custom Coupon 

Quoting 

Convention and 

Minimum 

Increment 

As agreed by counterparties 

Minimum Size As agreed by counterparties 

Trading 

Conventions 

Buy = Pay Fixed, Receive Float. 

Sell = Receive Fixed, Pay Float. 

Swap Conventions Fixed Leg 

 Payment: Quarterly, Semi-Annual, Annual 

 Day Count Conventions: 30/360, ACT/360, ACT/365 

 Holiday Calendar: Stockholm 

 Business Day Conventions: Modified Following 

Floating Leg 

 Payment/Resets : Quarterly, Semi-Annual 

 Day Count Conventions: ACT/360 

 Holiday Calendar: Stockholm 

 Fixing Calendar: Stockholm 

 Business Day Conventions: Modified Following 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 28 days to as long as 

15 years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments. Also 

known as the start date of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic 

Settlement: 

Payment and 

Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day Count 

Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first STIBOR Fixing Date is 2 Stockholm business days prior to the Effective Date. 

Trade Start Types Spot: 

 A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot: 

 Any date where the effective date is a date other than the spot date. 

Settlement 

Procedure 

As determined by the Clearing House or an agreement between the counterparties 

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations. 

Speculative Limits As set in Part 150 of the CFTC Regulations 

Reportable Levels As set in CFTC Regulation 15.03 
126 

RULE 1318. USD SOFR OIS Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional 

over a term to maturity. 

Ticker USD SOFR OIS [Tenor] 

Currency USD 

Floating Rate Index 

SOFR 

Fixed Rate Par; Custom Coupon 

Contract SizeQuoting 

Convention and 

Minimum Increment

As agreed by the counterparties 

Minimum Size As agreed by the counterparties 

Trading Conventions Buy = Pay Fixed, Receive Float. 

Sell = Receive Fixed, Pay Float. 

Swap Conventions Fixed Leg 

 Payment: Annual 

 Day Count Conventions: ACT/360 or as agreed by the counterparties. 

 Holiday Calendars: U.S. Government Securities Business Day 

 Business Day Conventions: Modified Following with adjustment to period end dates 

Floating Leg 

 Payment/Resets: Daily, Annual 

 Day Count Conventions: ACT/360, or as agreed by the counterparties 

 Holiday Calendars: U.S Government Securities Business Day 

 Business Day Conventions: Modified Following with adjustment to period end dates 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to up to 

50 years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments (i.e., 

the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic Settlement: 

Payment and Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first SOFR Fixing Date is equal to the effective date of the swap. 

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Settlement Procedure As determined by the Clearing House 

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time) 

Clearing Venue Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations. 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 
127 

RULE 1319. [Reserved] 

RULE 1320. [Reserved] 

RULE 1321. [Reserved] 

RULE 1322. [Reserved] 

RULE 1323. [Reserved] 

RULE 1324. [Reserved] 

RULE 1325. [Reserved] 

RULE 1326. [Reserved] 
128 

RULE 1327. CAD CDOR CBA (3M) Fixed-to-Floating Swap Contract 

Contract 

Overview

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional over 

a term to maturity. 

Ticker CAD SWAP 3M [Trade Start Type] [tenor] 

Currency CAD 

Floating Rate 

Index 

3 Month CAD CDOR CBA 

Fixed Rate Par; Custom Coupon 

Contract Size As agreed by counterparties 

Minimum Size As agreed by counterparties 

Trading 

Conventions 

Buy = Pay Fixed, Receive Float. 

Sell = Receive Fixed, Pay Float. 

Swap 

Conventions 

Fixed Leg 

 Payment: Semi-Annual 

 Day Count Conventions: ACT/365F 

 Holiday Calendar: Canada 

 Business Day Conventions: Modified Following 

Floating Leg 

 Payment/Resets: Quarterly, Semi-Annual 

 Day Count Conventions: ACT/365F 

 Holiday Calendar: Canada 

 Business Day Conventions: Modified Following 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 28 days to as long as 

50 years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments. Also 

known as the start date of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic 

Settlement: 

Payment and 

Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day Count 

Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Libor Fixing 

Date 

The first CDOR Fixing Date is equal to the Effective Date. 

Trade Start 

Types 

Spot: 

 A new swap where the Effective Date is T+0 from the trade date. 

Non-Spot: 

 Any date where the effective date is a date other than the spot date. 

Settlement 

Procedure 

As determined by the Clearing House or an agreement between the counterparties 

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations. 

Speculative 

Limits 

As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 
129 

RULE 1328. Interest Rate MXN TIIE (28D) Fixed-To-Floating Swap Contract 

Contract 

Overview

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional over 

a term to maturity. 

Ticker MXN SWAP vs. 28D [tenor] 

Currency MXN 

Floating Rate 

Index 

28 Days Interbank Equilibrium Interest Rate (Tasa de Interes Interbancaria de Equilibrio) 

Fixed Rate Par; Custom Coupon 

Contract Size As agreed by counterparties 

Minimum Size As agreed by counterparties 

Trading 

Conventions 

Buy = Pay Fixed, Receive Float. 

Sell = Receive Fixed, Pay Float. 

Swap 

Conventions 

Fixed Leg 

 Payment: 28 Days 

 Day Count Conventions: ACT/360 

 Holiday Calendar: Mexico 

 Business Day Conventions: Modified Following 

Floating Leg 

 Payment/Resets: 28 Days 

 Day Count Conventions: ACT/360 

 Holiday Calendar: Mexico 

 Business Day Conventions: Modified Following 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 3 months to as long as 

260 months. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments. Also 

known as the start date of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic 

Settlement: 

Payment and 

Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day Count 

Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Libor Fixing 

Date 

The first Mexican Interbank Fixing Date is one Mexican business day prior to the Effective Date. 

Trade Start 

Types 

Spot: 

 A new swap where the Effective Date is T+1 from the trade date. 

Settlement 

Procedure 

As determined by the Clearing House 

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations. 

Speculative 

Limits 

As set forth in Part 150 of the CFTC Regulations 
130 

RULE 1329. [Reserved] 

RULE 1330. [Reserved] 
131 

RULE 1331. AUD OIS RBACOR Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional 

over a term to maturity. 

Ticker AUD OIS SWAP [Trade Start Type] [Tenor] 

Currency AUD 

Floating Rate 

Index 

RBACOR (Interbank Overnight Cash Rate) 

Fixed Rate Par; Custom Coupon 

Contract Size As agreed by counterparties 

Minimum Size As agreed by counterparties 

Trading 

Conventions 

Buy = Pay Fixed, Receive Float. 

Sell = Receive Fixed, Pay Float. 

Swap Conventions Fixed Leg 

 Payment: Annual 

 Day Count Conventions: ACT/365 

 Holiday Calendar: Australia 

 Business Day Conventions: Modified Following with adjustment to period end dates 

Floating Leg 

 Payment/Resets : Annual 

 Day Count Conventions: ACT/365 

 Holiday Calendar: Australia 

 Fixing Calendar: Australia 

 Business Day Conventions: Modified Following with adjustment to period end dates 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 1 month to 24 

months. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments. Also 

known as the start date of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic 

Settlement: 

Payment and 

Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day Count 

Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first Libor Fixing Date is T+1. 

Trade Start Types Spot: 

 A new swap where the Effective Date is T+1 from the trade date. 

Non Spot 

 Any date other than the effective date. 

Settlement 

Procedure 

As determined by the Clearing Venue 

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations. 

Speculative Limits As set in Part 150 of the CFTC Regulations 

Reportable Levels As set in CFTC Regulation 15.03 
132 

RULE 1332. [Reserved] 
133 

RULE 1333. GBP OIS SONIA Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional 

over a term to maturity. 

Ticker GBP SWAP vs SON [tenor] 

Currency GBP 

Floating Rate 

Index 

SONIA 

Fixed Rate Par; Custom coupon 

Contract Size As agreed by counterparties 

Minimum Size As agreed by counterparties 

Trading 

Conventions 

Buy = Pay Fixed, Receive Float. 

Sell = Receive Fixed, Pay Float. 

Swap Conventions Fixed Leg 

 Payment: Quarterly, Annual, Semi-Annual 

 Day Count Conventions: ACT/365, ACT/360, 30/360 

 Holiday Calendar: London 

 Business Day Conventions: Modified Following with adjustment to period end dates 

Floating Leg 

 Payment/Resets : Quarterly, Annual, Semi-Annual 

 Day Count Conventions: ACT/365, ACT/360, 30/360 

 Holiday Calendar: London 

 Fixing Calendar: London 

 Business Day Conventions: Modified Following with adjustment to period end dates 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 5 days to up to 50 

years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments. Also 

known as the start date of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic 

Settlement: 

Payment and 

Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day Count 

Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first Libor Fixing Date is equal to the trade date. 

Trade Start Types Spot: 

 A new swap where the Effective Date is T+0 from the trade date. 

Non Spot 

 Any date other than the effective date. 

Settlement 

Procedure 

As determined by the Clearing Venue 

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time 

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft or 

Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations. 

Speculative Limits As set in Part 150 of the CFTC Regulations 

Reportable Levels As set in CFTC Regulation 15.03 
134 

RULE 1334. Option – USD LIBOR Fixed-to-Floating Swap Contract 

Contract Overview An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF 

which is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit the 

underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”). 

Ticker IRS USD [Underlying Tenor] [Strike] [Expiry Date] 

Underlying Swap USD LIBOR Fixed-to-Floating Swap Contract 

Index of Underlying 

Swap 

LIBOR (3M) 

Tenor of Underlying 

Swap 

Any 

Currency USD 

Quoting Convention 

and 

Minimum Increment 

As agreed by counterparties 

Minimum Size As agreed by counterparties 

Trading Conventions A payer option gives the owner of the option the right to enter into a swap where they pay the fixed leg and receive 

the floating leg. 

A receiver option gives the owner of the option the right to enter into a swap in which they will receive the fixed leg 

and pay the floating leg. 

Option Strike Price Fixed coupon of the underlying swap 

Option Expiry Date As agreed by the parties 

Option Settlement 

Type 

Cash or a delivery of a cleared swap 

Exercise method The owner of the option must notify the writer of the option of the owner’s intent to exercise the option during 

business hours on the expiration date of the option and the manner of the exercise: cash or physical (delivery). 

Notice shall be in the form and manner as agreed by the counterparties. If the counterparties elected the exercise by 

physical delivery, the counterparties must submit the Swap for clearing to the Clearing House. 

Trading Hours and 

Venue 

00:01 - 24:00 Sunday-Friday; Eastern Time 

Clearing House for the 

underlying Swap 

Chicago Mercantile Exchange, Inc.; ICE Clear US, Inc.;Credit LLC; ICE Clear Europe Limited; LCH.Clearnet Ltd. 

or Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits Same as for the underlying Swap 

Reportable Levels Same as for the underlying Swap 
135 

RULE 1335. NOK NIBOR Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker NOK SWAP vs [Floating Index Maturity] 

Currency NOK 

Floating Rate Index NIBOR 

Floating Rate Index Maturity 6 months 

Fixed Rate Par; custom coupon 

Quoting Convention and 

Minimum Increment 

As agreed by the counterparties 

Contract Size As agreed by the counterparties 

Minimum Size As agreed by the counterparties 

Trading Conventions Buy = Pay Fixed, Receive Float 

Sell = Receive Fixed, Pay Float 

Swap Conventions Fixed Leg 

o Payment: Annual 

o Day Count Conventions: 30/360 

o Holiday Calendar: Norway 

o Business Day Conventions: Modified Following 

Floating Leg 

o Payment/Resets: Semi-Annual/ Semi-Annual 

o Day Count Conventions: ACT/360 

o Holiday Calendar: Norway 

o Business Day Conventions: Modified Following 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to 

up to 50 years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic Settlement: 

Payment and Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first NIBOR Fixing Date is two Norwegian business days prior to the Effective Date of the swap. 

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties 

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time) 

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 

 
136 

RULE 1336. DKK CIBOR Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker DKK SWAP vs [Floating Index Maturity] 

Currency DKK 

Floating Rate Index CIBOR 

Floating Rate Index Maturity 6 months 

Fixed Rate Par; custom coupon 

Quoting Convention and 

Minimum Increment 

As agreed by the counterparties 

Contract Size As agreed by the counterparties 

Minimum Size As agreed by the counterparties 

Trading Conventions Buy = Pay Fixed, Receive Float 

Sell = Receive Fixed, Pay Float 

Swap Conventions Fixed Leg 

o Payment: Annual 

o Day Count Conventions: 30/360 

o Holiday Calendar: Denmark 

o Business Day Conventions: Modified Following 

Floating Leg 

o Payment/Resets: Semi-Annual/Semi-Annual 

o Day Count Conventions: ACT/360 

o Holiday Calendar: Denmark 

o Business Day Conventions: Modified Following 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to 

up to 50 years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic Settlement 

Payment and Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first CIBOR Fixing Date is two Danish business days prior to the Effective Date of the swap. 

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties 

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time) 

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 

 
137 

RULE 1337. HKD HIBOR Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker HKD SWAP vs [Floating Index Maturity] 

Currency HKD 

Floating Rate Index HIBOR 

Floating Rate Index Maturity 3 months 

Fixed Rate Par; custom 

Quoting Convention and 

Minimum Increment 

As agreed by the counterparties 

Contract Size As agreed by the counterparties 

Minimum Size As agreed by the counterparties 

Trading Conventions Buy = Pay Fixed, Receive Float 

Sell = Receive Fixed, Pay Float 

Swap Conventions Fixed Leg 

o Payment: Quarterly 

o Day Count Conventions: ACT/365 

o Holiday Calendar: Hong Kong 

o Business Day Conventions: Modified Following 

Floating Leg 

o Payment/Resets: Quarterly/ Quarterly 

o Day Count Conventions: ACT/365 

o Holiday Calendar: Hong Kong 

o Business Day Conventions: Modified Following 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to 

up to 50 years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic Settlement 

Payment and Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first HIBOR Fixing Date is equal to the Effective Date of the swap. 

Trade Start Types Spot: A new swap where the Effective Date is T+0 from the trade date. 

Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties 

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time) 

Clearing Venue Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 

 
138 

RULE 1338. PLN WIBOR Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker PLN SWAP vs [Floating Index Maturity] 

Currency PLN 

Floating Rate Index WIBOR 

Floating Rate Index Maturity 6 months 

Fixed Rate Par; custom coupon 

Quoting Convention and 

Minimum Increment 

As agreed by the counterparties 

Contract Size As agreed by the counterparties 

Minimum Size As agreed by the counterparties 

Trading Conventions Buy = Pay Fixed, Receive Float 

Sell = Receive Fixed, Pay Float 

Swap Conventions Fixed Leg 

o Payment: Annual 

o Day Count Conventions: ACT/ACT 

o Holiday Calendar: Poland 

o Business Day Conventions: Modified Following 

Floating Leg 

o Payment/Resets: Semi-Annual/Semi-Annual 

o Day Count Conventions: ACT/365 

o Holiday Calendar: Poland 

o Business Day Conventions: Modified Following 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to 

up to 50 years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic Settlement 

Payment and Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first WIBOR Fixing Date is two Polish business days prior to the Effective Date of the swap. 

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties 

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time) 

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 

 
139 

RULE 1339. ZAR JIBAR Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker ZAR SWAP vs [Floating Index Maturity] 

Currency ZAR 

Floating Rate Index JIBAR 

Floating Rate Index Maturity 3 months 

Fixed Rate Par; custom coupon 

Quoting Convention and 

Minimum Increment 

As agreed by the counterparties 

Contract Size As agreed by the counterparties 

Minimum Size As agreed by the counterparties 

Trading Conventions Buy = Pay Fixed, Receive Float 

Sell = Receive Fixed, Pay Float 

Swap Conventions Fixed Leg 

o Payment: Quarterly 

o Day Count Conventions: ACT/365 

o Holiday Calendar: South Africa 

o Business Day Conventions: Modified Following 

Floating Leg 

o Payment/Resets: Quarterly/Quarterly 

o Day Count Conventions: ACT/365 

o Holiday Calendar: South Africa 

o Business Day Conventions: Modified Following 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to 

up to 50 years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic Settlement 

Payment and Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first JIBAR Fixing Date is equal to the Effective Date of the swap. 

Trade Start Types Spot: A new swap where the Effective Date is T+0 from the trade date. 

Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties 

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time) 

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 

 
140 

RULE 1340. SGD SIBOR Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker SGD SWAP vs [Floating Index Maturity] 

Currency SGD 

Floating Rate Index SIBOR 

Floating Rate Index Maturity 6 months 

Fixed Rate Par; custom coupon 

Quoting Convention and 

Minimum Increment 

As agreed by the counterparties 

Contract Size As agreed by the counterparties 

Minimum Size As agreed by the counterparties 

Trading Conventions Buy = Pay Fixed, Receive Float 

Sell = Receive Fixed, Pay Float 

Swap Conventions Fixed Leg 

o Payment: Semi-Annual 

o Day Count Conventions: ACT/365 

o Holiday Calendar: Singapore 

o Business Day Conventions: Modified Following 

Floating Leg 

o Payment/Resets: Semi-Annual/ Semi-Annual 

o Day Count Conventions: ACT/365 

o Holiday Calendar: Singapore 

o Business Day Conventions: Modified Following 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to 

up to 50 years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic Settlement: 

Payment and Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first SIBOR Fixing Date is two Singapore business days prior to the Effective Date of the swap. 

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties 

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time) 

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 

 
141 

RULE 1341. HUF BUBOR Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker HUF SWAP vs [Floating Index Maturity] 

Currency HUF 

Floating Rate Index BUBOR 

Floating Rate Index Maturity 6 months 

Fixed Rate Par; custom coupon 

Quoting Convention and 

Minimum Increment 

As agreed by the counterparties 

Contract Size As agreed by the counterparties 

Minimum Size As agreed by the counterparties 

Trading Conventions Buy = Pay Fixed, Receive Float 

Sell = Receive Fixed, Pay Float 

Swap Conventions Fixed Leg 

o Payment: Annual 

o Day Count Conventions: ACT/365 

o Holiday Calendar: Hungary 

o Business Day Conventions: Modified Following 

Floating Leg 

o Payment/Resets: Semi-Annual/Semi-Annual 

o Day Count Conventions: ACT/360 

o Holiday Calendar: Hungary 

o Business Day Conventions: Modified Following 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to 

up to 50 years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic Settlement: 

Payment and Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first BUBOR Fixing Date is two Hungarian business days prior to the Effective Date of the swap. 

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties 

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time) 

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 

 
142 

RULE 1342. KRW South Korean Won 3 Month Certificate of Deposit Fixed-to-Floating 

Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker KRW SWAP vs [Floating Index Maturity] 

Currency KRW 

Floating Rate Index South Korean Won 3 Month Certificate of Deposit 

Floating Rate Index Maturity 3 months 

Fixed Rate Par; custom coupon 

Quoting Convention and 

Minimum Increment 

As agreed by the counterparties 

Contract Size As agreed by the counterparties 

Minimum Size As agreed by the counterparties 

Trading Conventions Buy = Pay Fixed, Receive Float 

Sell = Receive Fixed, Pay Float 

Swap Conventions Fixed Leg 

 Payment: Quarterly 

 Day Count Conventions: ACT/365 

 Holiday Calendar: South Korea 

 Business Day Conventions: Modified Following 

Floating Leg 

 Payment/Resets: Quarterly/Quarterly 

 Day Count Conventions: ACT/365 

 Holiday Calendar: South Korea 

 Business Day Conventions: Modified Following 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to 

up to 50 years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic Settlement 

Payment and Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first South Korean Won 3 Month Certificate of Deposit Fixing Date is one South Korean business day 

prior to the Effective Date. 

Trade Start Types Spot: A new swap where the Effective Date is T+1 from the trade date. 

Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties 

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time) 

Clearing House BilateralChicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 

 
143 

RULE 1343. CZK PRIBOR Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker CZK SWAP vs [Floating Index Maturity] 

Currency CZK 

Floating Rate Index PRIBOR 

Floating Rate Index Maturity 6 months 

Fixed Rate Par; custom coupon 

Quoting Convention and 

Minimum Increment 

As agreed by the counterparties 

Contract Size As agreed by the counterparties 

Minimum Size As agreed by the counterparties 

Trading Conventions Buy = Pay Fixed, Receive Float 

Sell = Receive Fixed, Pay Float 

Swap Conventions Fixed Leg 

o Payment: Annual 

o Day Count Conventions: ACT/360 

o Holiday Calendar: Czech Republic 

o Business Day Conventions: Modified Following 

Floating Leg 

o Payment/Resets: Semi-Annual/ Semi-Annual 

o Day Count Conventions: ACT/360 

o Holiday Calendar: Czech Republic 

o Business Day Conventions: Modified Following 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to 

up to 50 years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic Settlement: 

Payment and Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first PRIBOR Fixing Date is two Czech business days prior to the Effective Date of the swap. 

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties 

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time) 

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 

 
144 

RULE 1344. CLP Indice Cámara Promedio Rate Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker CLP SWAP vs [Floating Index Maturity] 

Currency CLP 

Floating Rate Index Indice Cámara Promedio Rate 

Floating Rate Index Maturity 1 day 

Fixed Rate Par; custom coupon 

Quoting Convention and 

Minimum Increment 

As agreed by the counterparties 

Contract Size As agreed by the counterparties 

Minimum Size As agreed by the counterparties 

Trading Conventions Buy = Pay Fixed, Receive Float 

Sell = Receive Fixed, Pay Float 

Swap Conventions Fixed Leg 

o Payment: Semi-Annual 

o Day Count Conventions: ACT/360 

o Holiday Calendar: Chile 

o Business Day Conventions: Modified Following 

Floating Leg 

o Payment/Resets: Semi-Annual/Semi-Annual 

o Day Count Conventions: ACT/360 

o Holiday Calendar: Chile 

o Business Day Conventions: Modified Following 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to 

up to 50 years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic Settlement: 

Payment and Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first Indice Cámara Promedio Rate Fixing Date is equal to the Effective Date of the swap. 

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties 

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time) 

Clearing House Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 

 
145 

RULE 1345. MYR KLIBOR Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker MYR SWAP vs [Floating Index Maturity] 

Currency MYR 

Floating Rate Index KLIBOR 

Floating Rate Index Maturity 3 months 

Fixed Rate Par; custom coupon 

Quoting Convention and 

Minimum Increment 

As agreed by the counterparties 

Contract Size As agreed by the counterparties 

Minimum Size As agreed by the counterparties 

Trading Conventions Buy = Pay Fixed, Receive Float 

Sell = Receive Fixed, Pay Float 

Swap Conventions Fixed Leg 

o Payment: Quarterly 

o Day Count Conventions: ACT/365 

o Holiday Calendar: Malaysia 

o Business Day Conventions: Modified Following 

Floating Leg 

o Payment/Resets: Quarterly/Quarterly 

o Day Count Conventions: ACT/365 

o Holiday Calendar: Malaysia 

o Business Day Conventions: Modified Following 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to 

up to 50 years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic Settlement 

Payment and Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first KLIBOR Fixing Date is equal to the Effective Date of the swap. 

Trade Start Types Spot: A new swap where the Effective Date is T+0 from the trade date. 

Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties 

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time) 

Clearing House Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 

 
146 

RULE 1346. TWD TAIBOR Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker TWD SWAP vs [Floating Index Maturity] 

Currency TWD 

Floating Rate Index TAIBOR 

Floating Rate Index Maturity 3 months 

Fixed Rate Par; custom coupon 

Quoting Convention and 

Minimum Increment 

As agreed by the counterparties 

Contract Size As agreed by the counterparties 

Minimum Size As agreed by the counterparties 

Trading Conventions Buy = Pay Fixed, Receive Float 

Sell = Receive Fixed, Pay Float 

Swap Conventions Fixed Leg 

o Payment: Quarterly 

o Day Count Conventions: ACT/365 

o Holiday Calendar: Taiwan 

o Business Day Conventions: Modified Following 

Floating Leg 

o Payment/Resets: Quarterly/Quarterly 

o Day Count Conventions: ACT/365 

o Holiday Calendar: Taiwan 

o Business Day Conventions: Modified Following 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to 

up to 50 years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic Settlement: 

Payment and Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first TAIBOR Fixing Date is two Taiwan business days prior to the Effective Date of the swap. 

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties 

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time) 

Clearing House Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 
147 

RULE 1347. INR OIS FBIL MIBOR Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker INR SWAP vs [Floating Index Maturity] 

Currency INR 

Floating Rate Index FBIL Overnight MIBOR 

Floating Rate Index Maturity 1 day 

Fixed Rate Par; custom coupon 

Quoting Convention and 

Minimum Increment 

As agreed by the counterparties 

Contract Size As agreed by the counterparties 

Minimum Size As agreed by the counterparties 

Trading Conventions Buy = Pay Fixed, Receive Float 

Sell = Receive Fixed, Pay Float 

Swap Conventions Fixed Leg 

 Payment: Annual 

 Day Count Conventions: ACT/365 

 Holiday Calendar: India 

 Business Day Conventions: Modified Following 

Floating Leg 

 Payment/Resets: Annual/Daily 

 Day Count Conventions: ACT/365 

 Holiday Calendar: India 

 Business Day Conventions: Modified Following 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to 

up to 50 years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic Settlement 

Payment and Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first FBIL Overnight MIBOR Fixing Date is equal to the Effective Date of the swap. 

Trade Start Types Spot: A new swap where the Effective Date is T+1 from the trade date. 

Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties 

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time) 

Clearing House BilateralChicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 
148 

RULE 1348. BRL Brazilian Interfinancial Offered Rate (1D) Zero Coupon Fixed-toFloating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker BRL SWAP vs [Floating Index Maturity] 

Currency BRL 

Floating Rate Index Brazilian Interfinancial Offered Rate (DI Rate) 

Floating Rate Index Maturity 1 day 

Fixed Rate Par; custom coupon 

Quoting Convention and 

Minimum Increment 

As agreed by the counterparties 

Contract Size As agreed by the counterparties 

Minimum Size As agreed by the counterparties 

Trading Conventions Buy = Pay Fixed, Receive Float 

Sell = Receive Fixed, Pay Float 

Swap Conventions Fixed Leg 

 Payment: At Maturity 

 Day Count Conventions: DU/252 

 Holiday Calendar: Brazil 

 Business Day Conventions: Following 

Floating Leg 

 Payment/Resets: At maturity/daily 

 Day Count Conventions: DU/252 

 Holiday Calendar: Brazil 

 Business Day Conventions: Following 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to 

up to 50 years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic Settlement 

Payment and Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first Brazilian Interfinancial Offered Rate Fixing Date is equal to the Effective Date of the swap. 

Trade Start Types Spot: A new swap where the Effective Date is T+0 from the trade date. 

Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties 

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time) 

Clearing House Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 
149 

RULE 1349. THB Thai Baht Interest Rate Fixing (6M) Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker THB SWAP vs [Floating Index Maturity] 

Currency THB 

Floating Rate Index Thai Baht Interest Rate Fixing (THBFIX) 

Floating Rate Index Maturity 6 months 

Fixed Rate Par; custom coupon 

Quoting Convention and 

Minimum Increment 

As agreed by the counterparties 

Contract Size As agreed by the counterparties 

Minimum Size As agreed by the counterparties 

Trading Conventions Buy = Pay Fixed, Receive Float 

Sell = Receive Fixed, Pay Float 

Swap Conventions Fixed Leg 

o Payment: Weekly, Monthly, Quarterly, Semi-Annually, Annually 

o Day Count Conventions: ACT/365, or as otherwise agreed by the counterparties 

o Holiday Calendar: Thailand 

o Business Day Conventions: Modified Following 

Floating Leg 

o Payment/Resets: Weekly, Monthly, Quarterly, Semi-Annually, Annually 

o Day Count Conventions: ACT/365, or as otherwise agreed by the counterparties 

o Holiday Calendar: Thailand 

o Business Day Conventions: Modified Following 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to 

up to 50 years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic Settlement: 

Payment and Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first Thai Baht Interest Rate Fixing Date is two Thai business days prior to the Effective Date of the 

swap. 

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties 

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time) 

Clearing House Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 
150 

RULE 1350. CNY China Fixing Repo (7D) Rate Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker CNY SWAP vs [Floating Index Maturity] 

Currency CNY 

Floating Rate Index China Fixing Repo (7D) Rate

Floating Rate Index Maturity 7 days 

Fixed Rate Par; custom coupon 

Quoting Convention and 

Minimum Increment 

As agreed by the counterparties 

Contract Size As agreed by the counterparties 

Minimum Size As agreed by the counterparties 

Trading Conventions Buy = Pay Fixed, Receive Float 

Sell = Receive Fixed, Pay Float 

Swap Conventions Fixed Leg 

o Payment: Weekly, Monthly, Quarterly, Semi-Annually, Annually 

o Day Count Conventions: ACT/365, or as otherwise agreed by the counterparties 

o Holiday Calendar: China Interbank 

o Business Day Conventions: Modified Following 

Floating Leg 

o Payment/Resets: Weekly, Monthly, Quarterly, Semi-Annually, Annually 

o Day Count Conventions: ACT/365, or as otherwise agreed by the counterparties 

o Holiday Calendar: China Interbank 

o Business Day Conventions: Modified Following 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to 

up to 50 years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic Settlement 

Payment and Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first China Fixing Repo (7D) Rate Fixing Date is one business day prior to the Effective Date of the 

swap. 

Trade Start Types Spot: A new swap where the Effective Date is T+1 from the trade date. 

Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties 

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time) 

Clearing House BilateralChicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 

 
151 

RULE 1351. NZD BKBM Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker NZD [Tenor] Swap 

Currency NZD 

Floating Rate Index Bank Bill Benchmark Rate (BKBM) 

Floating Rate Index Maturity 3 months 

Fixed Rate Par; custom coupon 

Quoting Convention and 

Minimum Increment 

As agreed by the counterparties 

Contract Size As agreed by the counterparties 

Minimum Size As agreed by the counterparties 

Trading Conventions Buy = Pay Fixed, Receive Float 

Sell = Receive Fixed, Pay Float 

Swap Conventions Fixed Leg 

 Payment: Monthly, Quarterly, Semi-Annual, Annual, At Maturity 

 Day Count Conventions: ACT/365.FIXED or as agreed by the counterparties. 

 Holiday Calendars: Auckland, Wellington 

 Business Day Conventions: Modified Following with adjustment to period end dates 

Floating Leg 

 Payment/Resets : Quarterly 

 Day Count Conventions: ACT/365.FIXED, or as agreed by the counterparties 

 Holiday Calendars: Auckland, Wellington 

 Business Day Conventions: Modified Following with adjustment to period end dates 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to up 

to 50 years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments 

(i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic Settlement 

Payment and Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first BKBM Fixing Date is equal to the trade date of the swap. 

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties 

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time) 

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd. or Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 
152 

RULE 1352. CHF SARON Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker CHF SWAP OIS [Tenor] 

Currency CHF 

Floating Rate Index Swiss Average Rate Overnight 

Floating Rate Index Maturity 1 day 

Fixed Rate Par; custom coupon 

Quoting Convention and 

Minimum Increment 

As agreed by the counterparties 

Contract Size As agreed by the counterparties 

Minimum Size As agreed by the counterparties 

Trading Conventions Buy = Pay Fixed, Receive Float 

Sell = Receive Fixed, Pay Float 

Swap Conventions Fixed Leg 

 Payment: Annual, at Maturity 

 Day Count Conventions: ACT/360 or as agreed by the counterparties. 

 Holiday Calendar: Switzerland 

 Business Day Conventions: Modified Following with adjustment to period end dates 

Floating Leg 

 Payment/Resets: Annual, at Maturity 

 Day Count Conventions: ACT/360 or as agreed by the counterparties 

 Holiday Calendar: Switzerland 

 Business Day Conventions: Modified Following with adjustment to period end dates 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 7 days to up 

to 50 years. 

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments 

(i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs. 

Periodic Settlement 

Payment and Resets 

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first SARON Fixing Date is equal to the effective date of the swap. 

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot: Any date where the Effective Date is a date other than the spot date. 

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties 

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time) 

Clearing House LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft or Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 

 

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153 

CHAPTER 14. FOREIGN EXCHANGE CONTRACTS TERMS AND CONDITIONS 

RULE 1401. Foreign Exchange Contract – Non-Deliverable Forward 

Contract 

Overview 

A non-deliverable forward (NDF) is an outright forward in which counterparties settle the difference between the 

contracted NDF price or rate and the prevailing spot price or rate on an agreed notional amount. 

Reference 

Currency 

Non-deliverable currency 

 BRL Brazilian Real 

 ARS Argentine Peso 

 CNY Chinese Renminbi 

 IDR Indonesian Rupiah 

 INR Indian Rupee 

 KRW South Korean Won 

 MYR Malaysian Ringgit 

 PHP Philippine Peso 

 TWD Taiwan Dollar 

 VND Vietnamese đồng 

 EGP Egyptian pound 

 RUB Russian ruble 

 KZT Kazakh tenge 

 CLP Chilean Peso 

 COP Colombian Peso 

 PEN Peruvian nuevo sol 

 UAH Ukrainian hryvnia 

 NGN Nigerian naira 

 GHS Ghanaian cedi 

 PKR Pakistani rupee 

Settlement 

Currency 

See currency list below 

Quoting 

Convention and 

Minimum 

Increment 

Notional amount, as agreed by counterparties 

Minimum Size Notional amount, as agreed by counterparties 

Notional 

Currency 

Currency in which contract size is expressed in 

Trading 

Conventions 

Buy or Sell which refers to the contract size expressed in notional currency 

Forward Rate Currency Exchange rate expressed as the amount of Reference currency per unit of Settlement currency 

Trade Date The date on which parties enter into the contract 

Settlement Date Specified settlement or payment date 

Fixing Date The date at which the difference between the prevailing market exchange rate and the agreed upon exchange rate is 

calculated.

Settlement 

Procedure 

Bilateral settlement performed in settlement currency based on the exchange rate published by sources set forth in 

Attachment B hereto. 

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time 

Clearing House Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations. 

Speculative 

Limits 

As set in Part 150 of the CFTC Regulations 

Reportable Levels As set in CFTC Regulation 15.03 
154 

Currency List

 GBP British Pound MXN Mexican Peso THB Thai Baht 

AED UAE Dirham GEL Georgia Lari MYR Malaysian Ringgit (NDF) THO Thai Baht Onshore 

AFN Afghanistan Afghani GMD Gambian Dalasi MZM Mozambique Metical TJS Tajikistan Somoni 

AMD Armenia Dram GNF Guinea Franc MZN New Mozambique Metical TND Tunisian Dinar 

ANG Neth. Ant. Guilder GTQ Guatemala Quetzal NGN Nigeria Naira (NDF) TOP Tonga Pa’Anga 

AOA Angolan Kwanza GYD Guyana Dollar NID New Iraqi Dinar TRY Turkish Lira 

ARS Argentine Peso (NFD) HKD Hong Kong Dollar NIO Nicaragua Cordoba TTD Trinidad/Tobago Dol 

ARS Argentine Peso HNL Honduras Lempira NLG Dutch Guilder TWD Taiwan Dollar (NDF) 

AUD Australian Dollar HRK Croatia Kuna NOK Norwegian Krone TZS Tanzanian Shilling 

AWG Aruban Guilder HTG Haiti Gourde NPR Nepalese Rupee UAH Ukraine Hryvnia (NDF) 

BAM Bosnia-Herze Convrt Mrka HUF Hungarian Forint NZD New Zealand Dollar UDI Mexican UDI 

BBD Barbados Dollar IDR Indonesian Rupiah (NDF) OMR Omani Rial UGX Ugandan Shilling 

BDT Banglaldesh Taka ILS Israeli Shekel PAD Panamanian Balboa USD US Dollar 

BGD Bulgarian Lev INR Indian Rupee (NDF) PEN Peruvian New Sol USDCLF Chilean Unidad SP 

BHD Bahraini Dinar ISK Iceland Krona PGK Papua N.G. Kina x10000 

BIF Burundi Franc JMD Jamaica Dollar PHP Philippines Peso (NDF) UYU Uruguay Peso 

BMD Bermudian Dollar JOD Jordanian Dinar PKR Pakistani Rupee UZS Uzbekistan Sum 

BND Brunei Dollar JPY Japanese Yen PLN Polish Zloty VEE Venezuela Essential Rate 

BOB Bolivian Boliviano KES Kenyan Shilling PTE Portuguese Escudo VEF Venezuelan Bolivar 

BRL Brazilian Real (NDF) KGS Kyrgyzstan Som PYG Paraguay Guarani VND Vietnamese Dong (NDF) 

BSD Bahamas Dollar KHR Cambia Riel WAR Qatari Riyal VUV Vanuatu Vatu 

BWP Botswana Pula KMF Comoros Franc ROL Romanian Leu WST Samoa (West) Tala 

BYR Belarus Ruble KRW South Korean Won (NDF) RON New Romanian Leu XAF CFA Franc Beac 

BZD Belize Dollar KWD Kuwaiti Dinar RSD Serbian Dinar XCD East Caribbean Dollar 

CAD Canadian Dollar KYD Cayman Islands Dollar RUB Russian Ruble (NDF) XDR Special Drawing Rights 

CDF Congolese Franc KZT Kazakhstan Tenge RWF Rwanda Franc XOF CFA Franc Bceao 

CHF Swiss Franc LAK Laos Kip SAR Saudi Riyal XPF Pacific Island Franc 

CLF Chilean UF LBP Lebanese Pound SBD Solomon Is. Dollar XSU Sucre 

CLP Chilean Peso LKR Sri Lankan Rupee SCR Seychelles Rupee YER Yemeni Rial 

CNY China Renminbi (NDF) LTL Lithuanian Litas SDD Sudanese Dinar ZAR S. African Rand 

COP Colombian Peso LVL Latvian Lats SDG New Sudanese Pound ZMK Zambian Kwacha 

CRC Costa Rican Colon MAD Moroccan Dirham SDP Old Sudanese Pound ZMW Zambia Kwacha (NDF) 

CVE Cape Verde Escudo MDL Moldova Leu SEK Swedish Korna ZWR Zimbabwe Dollar 

CZK Czech Koruna MGA Malagascy Ariary SGD Singapore Dollar 

DJF Djibouti Franc MKD Macedonia Denar SIT Slovenia Tolar 

DKK Danish Krone MMK Myanmar Kyat SKK Slovakia Koruna 

DOP Dominican Repb. MNT Mongolian Togrog SLL Sierra Leone Leone 

DZD Algerian Dinar MOP Macau Pataca SOS Somali Shilling 

EGP Egyptian Pound (NDF) MRO Mauritania Ouguiya SRD Suriname Dollar 

ERN Eritrean Nakfa MUR Mauritius Rupee SSP South Sudanese Pound 

EUR Euro MVR Maldives Rufiyaa STD Sao Tome Dobra 

FJD Fiji Dollar MWK Malawi Kwacha SVC El Salvador Colon 
155 

Attachment B 

Exchange Rate Sources 

Currency Primary Fixing Source Description Secondary Fixing 

Source 

Description 

Brazilian Real (BRL) BRL PTAX The BRL PTAX Rate is 

published at 

approximately 6:00 PM 

São Paulo time on the 

Valuation Date. 

The BZFXPTAX Index 

refers to the average rate 

displayed by Brazil's 

Central Bank under the 

transaction PTAX800, in 

the SISBACEN (Central 

Bank System), regarding 

the notation 220-USD 

(moeda 220 - Dolar dos 

Estados Unidos). 

EMTA BRL Industry 

Survey Rate (BRL 12) 

The EMTA BRL 

Industry Survey Rate is 

determined pursuant to 

the EMTA BRL Industry 

Survey Rate 

Methodology dated 

March 1, 2004. 

Argentine Peso (ARS) EMTA ARS Industry 

Survey Rate 

The EMTA ARS 

Industry Survey Rate 

resulting from the 

EMTA ARS Industry 

Survey Rate 

Methodology dated as of 

January 2, 2003, is 

available only on a 

Business Day in both 

Buenos Aires and New 

York City. 

This rate quotation 

appears on EMTA's 

website, 

http://www.emta.org.

EMTA ARS Indicative 

Survey Rate

The EMTA ARS 

Industry Survey Rate 

resulting from the 

EMTA ARS Industry 

Survey Rate 

Methodology dated as of 

January 2, 2003, is 

available only on a 

Business Day in both 

Buenos Aires and New 

York City. 

Chinese Renminbi 

(CNY) 

CNY SAEC The CNY SAEC 

(CNY01) Rate is 

published at 

approximately 9:15 a.m., 

Beijing time on the 

Valuation Date. 

This is the daily CNY 

fixing price released by 

China Foreign Exchange 

Trading System. In the 

interbank market, the 

fluctuation should not 

exceed +/-1% of the 

average price. The price 

of this index starts from 

Jan 4,2006, when China 

introduced OTC trading 

system in interbank 

currency market. For 

more historical prices, 

please refer to HP of 

CYCFUSDP Index. 

SFEMC CNY Indicative 

Survey Rate 

The SFEMC CNY 

Indicative Survey Rate is 

determined pursuant to 

the SFEMC CNY 

Indicative Survey Rate 

Methodology dated 

December 1, 2004. 

Indonesian Rupiah 

(IDR) IDR VWAP 

The IDR VWAP 

(IDR03) Rate is 

published at 

approximately 11:30 

a.m., Singapore time, on 

the Valuation Date. 

As of 6th Aug 2013, the 

Association of Banks 

Singapore's (ABS) IDR 

Spot FX benchmark 

SFEMC IDR Indicative 

Survey Rate 

The SFEMC IDR 

Indicative Survey Rate is 

determined pursuant to 

the SFEMC IDR 

Indicative Survey Rate 

Methodology dated 

December 1, 2004. 
156 

transitions from a 

surveyed benchmark to a 

traded benchmark. It 

will be changed from a 

trimmed arithmetic mean 

of submissions 

contributed by a panel of 

banks (Contributor 

Banks) to a rate based on 

the Volume Weighted 

Average Price (VWAP) 

of actual interbank 

transactions. 

Indian Rupee (INR) 

 INR RBIB 

The INR RBIB (INR01) 

Rate is published at 

approximately 12:30 

p.m. Mumbai time on the 

Valuation Date. 

The Rupee Reference 

Rate is the rate based on 

12.00 noon dollar-rupee 

rates offered by various 

banks in Mumbai. 

SFEMC INR Indicative 

Survey Rate 

The SFEMC INR 

Indicative Survey Rate is 

determined pursuant to 

the SFEMC INR 

Indicative Survey Rate 

Methodology dated 

December 1, 2004. 

South Korean Won 

(KRW) 

KRW KFTC18 The KRW KFTC18 

(KRW02) Rate is 

published at 

approximately 3:30 p.m. 

Seoul time on the 

Valuation Date. 

The basic exchange rate 

of the Korean won 

against the US dollar is 

determined as the 

transaction volumeweighted average of the 

rates applied in daily 

transactions between 

foreign exchange banks 

brokered through Seoul 

Money Brokerage 

Services, Ltd.(SMBS) 

and another brokerage 

house, and is announced 

at 3:00 pm every 

business day. 

SFEMC KRW Indicative 

Survey Rate 

The SFEMC KRW 

Indicative Survey Rate is 

determined pursuant to 

the SFEMC KRW 

Indicative Survey Rate 

Methodology dated 

December 1, 2004. 

Malaysian Ringgit 

(MYR) 

MYR ABS The MYR ABS 

(MYR01) Rate is 

published at 

approximately 11:30 

a.m. Singapore time on 

the Valuation Date. 

Published by the Central 

Bank of Malaysia (Bank 

Nagara) 

SFEMC MYR Indicative 

Survey Rate 

The SFEMC MYR 

Indicative Survey Rate is 

determined pursuant to 

the SFEMC MYR 

Indicative Survey Rate 

Methodology dated July 

15, 2005. 

Philippine Peso (PHP) PHP PDSPESO The PHP PDSPESO 

(PHP06) Rate is 

published at 

approximately 11:30 

a.m., Manila time, on the 

Valuation Date. 

Produced by the Bankers 

Association of 

Philippines. 

The SFEMC PHP 

Indicative Survey Rate is 

determined pursuant to 

the SFEMC PHP 

Indicative Survey Rate 

Methodology dated 

December 1, 2004. 

SFEMC PHP Indicative 

Survey Rate 

Taiwan Dollar (TWD) TWD TAIFX1 The TWD TAIFX1 Rate 

is published at 

approximately 11:00 

a.m. Taipei time on the 

SFEMC TWD Indicative 

Survey Rate 

The SFEMC TWD 

Indicative Survey Rate is 

determined pursuant to 

the SFEMC TWD 
157 

Valuation Date by 

Taipei Forex Inc. 

Indicative Survey Rate 

Methodology dated 

December 1, 2004. 

Vietnamese đồng 

(VND) 

VND The Association of 

Banks Singapore's 

(ABS) 

 

Egyptian pound (EGP) EGP FEMF Published by Central 

Bank of Egypt Treasury. 

Rates are updated only 

when there are FX Spot 

transactions among the 

39 participating banks. 

EMTA EGP Indicative 

Survey Rate 

The EMTA EGP 

Indicative Survey Rate is 

determined pursuant to 

the EMTA EGP 

Indicative Survey Rate 

Methodology dated as of 

May 24, 2010. 

Russian ruble (RUB) RUB CME-EMTA The RUB CME-EMTA 

Ruble Rate is determined 

pursuant to the Chicago 

Mercantile Exchange / 

EMTA, Inc. Daily 

Russian Ruble Per U.S. 

Dollar Reference Rate 

Methodology Effective 

June 16, 2005. 

EMTA RUB Indicative 

Survey Rate 

The EMTA RUB 

Indicative Survey Rate is 

determined pursuant to 

the EMTA RUB 

Indicative Survey 

Methodology effective 

June 16, 2005. 

Kazakh tenge (KZT) KZT KASE The KZT KASE Rate is 

published by the 

Kazakhstan Stock 

Exchange Inc. at 

approximately 11:00 am, 

Almaty, time. 

EMTA KZT Indicative 

Survey Rate 

The EMTA KZT 

Indicative Survey Rate is 

determined pursuant to 

the EMTA KZT 

Indicative Survey 

Methodology effective 

March 16, 2009. 

Chilean Peso (CLP) CLP DÓLAR OBS Chilean Observed Dollar 

Exchange Rate (Dolar 

Observado) - Chilean 

Central Bank Rates are 

published daily for 

operations settled in the 

prior business day. 

EMTA CLP Indicative 

Survey Rate 

The EMTA CLP 

Indicative Survey Rate is 

determined pursuant to 

the EMTA CLP 

Indicative Survey Rate 

Methodology dated as of 

August 1, 2006. 

Colombian Peso (COP) COP TRM The Market 

Representative Exchange 

Rate (Tasa 

Representativa del 

Mercado) states the daily 

exchange rate in the 

Colombian market, 

settled in the previous 

business day. It 

corresponds to the 

arithmetic average of the 

average weighed bid and 

offer rates of interbank 

and transfer operations, 

completed by authorized 

market intermediaries. 

The Superintendencia 

Financiera of Colombia 

is obligated by law 

(Article 80 of the 

Exchange Regulation - 

Board of Directors of the 

Central Bank) to 

calculate and publish the 

TRM. 

 

Peruvian Nuevo sol 

(PEN) 

PEN INTERBANK 

AVE 

The data required to 

calculate this rate are 

derived from the 

interbank market 

transacted over ICAP 

Datatec and published by 

Superintendecia de 

Banca Peru. 

EMTA PEN Indicative 

Survey Rate 

The EMTA PEN 

Indicative Survey Rate is 

determined pursuant to 

the EMTA 

PEN Indicative Survey 

Rate Methodology dated 

as of August 1, 2006 
158 

Ukrainian Hryvnia 

(UAH) 

EMTA UAH Industry 

Survey Rate 

The EMTA UAH 

Industry Survey Rate is 

posted on Thomson 

Reuters Screen 

EMTAUAHFIX Page at 

approximately 11:30 am, 

Kiev Time. 

EMTA UAH Indicative 

Survey Rate 

The EMTA UAH 

Indicative Survey Rate is 

determined pursuant to 

the EMTA UAH 

Indicative Survey 

Methodology effective 

March 16, 2009. 

Nigerian Naira (NGN) NGN FMDA FMDA - Financial Mkt EMTA NGN Indicative 

Survey Rate 

The EMTA NGN 

Indicative Survey Rate is 

determined pursuant to 

the NGN Indicative 

Survey Rate 

Methodology dated as of 

December 27, 2010. 

Ghanaian Cedi (GHS) GHS ICAP The GHS ICAP rate 

(GHS01) is determined 

by ICAP Broking 

Services South Africa 

(Pty) Ltd. not later than 

1:00 p.m., Accra time, 

based on a poll of 

onshore FX dealers. 

EMTA GHS Indicative 

Survey Rate 

The EMTA GHS 

Indicative Survey Rate is 

determined pursuant to 

the GHS Indicative 

Survey Rate 

Methodology dated as of 

May 9, 2012. 

Pakistani Rupee (PKR) PKR SBPK The PKR SBPK Rate is 

published at 

approximately 2:30 pm, 

Karachi time, on the 

Valuation Date by State 

Bank of Pakistan 

SFEMC PKR Indicative 

Survey Rate 

The SFEMC PKR 

Indicative Survey Rate is 

determined pursuant to 

the SFEMC PKR 

Indicative Survey Rate 

Methodology dated as of 

July 14, 2008. 

Bloomberg Fixing Source BFIX: 

The Bloomberg FX Fixing rates (“BFIX”) are fixed and published every 30 minutes on the hour and half-hour (liquidity permitting). The BFIX 

prices are created by taking a short-term Time-Weighted Average Price (TWAP) of the geometric mid-rates of Bloomberg Generic (BGN) prices 

leading up to and following the fixing time. 

By using a short-term TWAP to create the fixing, it ensures that BFIX rates are unsusceptible to spikes and manipulations in the market at fixing 

time. The length of time used in the TWAP varies from currency to currency, and may in fact vary over time, based on the average tick arrival 

frequency of the specific currency pair. By using the geometric average to calculate mid-rates, it ensures that BFIX prices are perfectly invertible 

(e.g., the USDEUR fix is exactly 1 / EURUSD fix). BFIX prices are published on the BLOOMBERG PROFESSIONAL(R) service within 15 

seconds of the fixing time. 

A linear time-weighted average of quotes is used leading up to the fixing time and for a short time after the fix. For major currencies, this linear 

TWAP starts eleven seconds before the fix and then decays for six seconds after the fix. For less liquid currencies, the approaching side of the 

TWAP envelope might be longer than eleven seconds, depending on the quoting frequency of the specific currency pair. The decay after the fix 

time is always six seconds. 

BFIX rates are available on BFIX <GO> and throughout the Bloomberg terminal and API. 

Bloomberg BGN Reference Price 

BGN is a sophisticated pricing algorithm that produces highly accurate bid and ask quotes that are derived from hundreds of quality sources, 

including indicative and executable price quotes from money-center and regional banks, broker-dealers, inter-dealer brokers, and trading 

platforms. 

The Bloomberg Generic represents Bloomberg's highest-quality FX and Precious Metals rate source and is designed to match market-consensus 

executable bid/ask rates and to be resistant to manipulation by market participants. 

For each currency pair the BGN values are based on FX and Precious Metals rates from a select subset of Bloomberg's more than 1000 price 

contributors. The specific members of the subset are chosen by an automated data quality and consistency scoring algorithm and reviewed 

periodically. No contributor knows whether or not their prices are included in any BGN set of input prices. These input prices are run through 

Bloomberg's proprietary blending algorithm which automatically mitigates the effect of outlier quotes and creates a market consensus bid-ask pair 

of prices for each currency pair. 
159 

RULE 1402. Foreign Exchange Contract – Vanilla FX Option 

Contract 

Overview 

A foreign-exchange option (commonly shortened to just FX option or currency option) is a derivative financial 

instrument that gives the owner the right but not the obligation to exchange money denominated in one currency into 

another currency at a pre-agreed exchange rate on a specified date. 

Trade Date The date on which parties enter into the contract 

Option Style American / European 

 A European option may be exercised only at the expiration date of the option, i.e. at a single pre-defined point in 

time. 

 An American option on the other hand may be exercised at any time before the expiration date. 

Option Type Put/ Call 

 Call option – the right to buy an asset at a fixed date and price. 

 Put option – the right to sell an asset a fixed date and price. 

Call Currency Currency for call option 

Put Currency Currency for put option 

Strike Price The exchange rate agreed upon inception of the contract at which the investor can exercise an option. 

Expiration Date Date at which option contract expires 

Expiration Time Time at which option contract expires 

Settlement Date Settlement date of the option contract 

Premium Premium amount expressed in premium currency 

Premium 

currency 

Currency in which option premium is expressed in 

Premium Date Date on which premium amount is due 

Quoting 

Convention 

and Minimum 

Increment 

Notional amount, as agreed by counterparties 

Minimum Size Notional amount, as agreed by counterparties 

Notional 

Currency 

Currency in which contract size is expressed in 

Settlement 

Procedure 

Bilateral settlement performed in settlement currency 

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time 

Clearing House Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations. 

Speculative 

Limits 

As set in Part 150 of the CFTC Regulations 

Reportable 

Levels 

As set in CFTC Regulation 15.03 
160 

Currency List

 GBP British Pound MXN Mexican Peso THB Thai Baht 

AED UAE Dirham GEL Georgia Lari MYR Malaysian Ringgit (NDF) THO Thai Baht Onshore 

AFN Afghanistan Afghani GMD Gambian Dalasi MZM Mozambique Metical TJS Tajikistan Somoni 

AMD Armenia Dram GNF Guinea Franc MZN New Mozambique Metical TND Tunisian Dinar 

ANG Neth. Ant. Guilder GTQ Guatemala Quetzal NGN Nigeria Naira (NDF) TOP Tonga Pa’Anga 

AOA Angolan Kwanza GYD Guyana Dollar NID New Iraqi Dinar TRY Turkish Lira 

ARS Argentine Peso (NFD) HKD Hong Kong Dollar NIO Nicaragua Cordoba TTD Trinidad/Tobago Dol 

ARS Argentine Peso HNL Honduras Lempira NLG Dutch Guilder TWD Taiwan Dollar (NDF) 

AUD Australian Dollar HRK Croatia Kuna NOK Norwegian Krone TZS Tanzanian Shilling 

AWG Aruban Guilder HTG Haiti Gourde NPR Nepalese Rupee UAH Ukraine Hryvnia (NDF) 

BAM Bosnia-Herze Convrt Mrka HUF Hungarian Forint NZD New Zealand Dollar UDI Mexican UDI 

BBD Barbados Dollar IDR Indonesian Rupiah (NDF) OMR Omani Rial UGX Ugandan Shilling 

BDT Banglaldesh Taka ILS Israeli Shekel PAD Panamanian Balboa USD US Dollar 

BGD Bulgarian Lev INR Indian Rupee (NDF) PEN Peruvian New Sol USDCLF Chilean Unidad SP 

BHD Bahraini Dinar ISK Iceland Krona PGK Papua N.G. Kina x10000 

BIF Burundi Franc JMD Jamaica Dollar PHP Philippines Peso (NDF) UYU Uruguay Peso 

BMD Bermudian Dollar JOD Jordanian Dinar PKR Pakistani Rupee UZS Uzbekistan Sum 

BND Brunei Dollar JPY Japanese Yen PLN Polish Zloty VEE Venezuela Essential Rate 

BOB Bolivian Boliviano KES Kenyan Shilling PTE Portuguese Escudo VEF Venezuelan Bolivar 

BRL Brazilian Real (NDF) KGS Kyrgyzstan Som PYG Paraguay Guarani VND Vietnamese Dong (NDF) 

BSD Bahamas Dollar KHR Cambia Riel WAR Qatari Riyal VUV Vanuatu Vatu 

BWP Botswana Pula KMF Comoros Franc ROL Romanian Leu WST Samoa (West) Tala 

BYR Belarus Ruble KRW South Korean Won (NDF) RON New Romanian Leu XAF CFA Franc Beac 

BZD Belize Dollar KWD Kuwaiti Dinar RSD Serbian Dinar XCD East Caribbean Dollar 

CAD Canadian Dollar KYD Cayman Islands Dollar RUB Russian Ruble (NDF) XDR Special Drawing Rights 

CDF Congolese Franc KZT Kazakhstan Tenge RWF Rwanda Franc XOF CFA Franc Bceao 

CHF Swiss Franc LAK Laos Kip SAR Saudi Riyal XPF Pacific Island Franc 

CLF Chilean UF LBP Lebanese Pound SBD Solomon Is. Dollar XSU Sucre 

CLP Chilean Peso LKR Sri Lankan Rupee SCR Seychelles Rupee YER Yemeni Rial 

CNY China Renminbi (NDF) LTL Lithuanian Litas SDD Sudanese Dinar ZAR S. African Rand 

COP Colombian Peso LVL Latvian Lats SDG New Sudanese Pound ZMK Zambian Kwacha 

CRC Costa Rican Colon MAD Moroccan Dirham SDP Old Sudanese Pound ZMW Zambia Kwacha (NDF) 

CVE Cape Verde Escudo MDL Moldova Leu SEK Swedish Korna ZWR Zimbabwe Dollar 

CZK Czech Koruna MGA Malagascy Ariary SGD Singapore Dollar 

DJF Djibouti Franc MKD Macedonia Denar SIT Slovenia Tolar 

DKK Danish Krone MMK Myanmar Kyat SKK Slovakia Koruna 

DOP Dominican Repb. MNT Mongolian Togrog SLL Sierra Leone Leone 

DZD Algerian Dinar MOP Macau Pataca SOS Somali Shilling 

EGP Egyptian Pound (NDF) MRO Mauritania Ouguiya SRD Suriname Dollar 

ERN Eritrean Nakfa MUR Mauritius Rupee SSP South Sudanese Pound 

EUR Euro MVR Maldives Rufiyaa STD Sao Tome Dobra 

FJD Fiji Dollar MWK Malawi Kwacha SVC El Salvador Colon 
161 

RULE 1403. Foreign Exchange Contract – Exotic FX Option 

Contract Overview An exotic foreign-exchange option is an option which has more than one trigger relating to the determination of the 

payoff. 

Trade Date The date on which parties enter into the contract 

Option Style American / European 

 A European option may be exercised only at the expiration date of the option, i.e. at a single pre-defined 

point in time. 

 An American option on the other hand may be exercised at any time before the expiration date. 

Option Type Put/ Call 

 Call option – the right to buy an asset at a fixed date and price. 

 Put option – the right to sell an asset a fixed date and price. 

Call Currency Currency for call option 

Put Currency Currency for put option 

Strike Price The currency exchange rate at which the investor can exercise an option. 

Expiration Date Date at which option contract expires 

Barrier Low Pre-set low barrier level either springs the option into existence or extinguishes an already existing option. 

Barrier High Pre-set high barrier level either springs the option into existence or extinguishes an already existing option. 

Barrier Style American / European 

Barrier Direction The four types of barrier options are: 

 Up-and-out: spot price starts below the barrier level and has to move up for the option to be knocked out. 

 Down-and-out: spot price starts above the barrier level and has to move down for the option to become null 

and void. 

 Up-and-in: spot price starts below the barrier level and has to move up for the option to become activated. 

 Down-and-in: spot price starts above the barrier level and has to move down for the option to become 

activated. 

Expiration Time Time at which option contract expires (cut off time) 

Settlement Date Settlement date of the option contract 

Premium Premium amount expressed in premium currency 

Premium currency Currency in which option premium is expressed in 

Premium Date Date on which premium amount is due 

Quoting Convention 

and Minimum 

Increment 

Notional amount, as agreed by counterparties 

Notional Currency Currency in which contract size is expressed in 

Settlement Procedure Bilateral settlement performed in settlement currency 

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time 

Clearing House Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations. 

Speculative Limits As set in Part 150 of the CFTC Regulations 

Reportable Levels As set in CFTC Regulation 15.03 
162 

Currency List

 GBP British Pound MXN Mexican Peso THB Thai Baht 

AED UAE Dirham GEL Georgia Lari MYR Malaysian Ringgit (NDF) THO Thai Baht Onshore 

AFN Afghanistan Afghani GMD Gambian Dalasi MZM Mozambique Metical TJS Tajikistan Somoni 

AMD Armenia Dram GNF Guinea Franc MZN New Mozambique Metical TND Tunisian Dinar 

ANG Neth. Ant. Guilder GTQ Guatemala Quetzal NGN Nigeria Naira (NDF) TOP Tonga Pa’Anga 

AOA Angolan Kwanza GYD Guyana Dollar NID New Iraqi Dinar TRY Turkish Lira 

ARS Argentine Peso (NFD) HKD Hong Kong Dollar NIO Nicaragua Cordoba TTD Trinidad/Tobago Dol 

ARS Argentine Peso HNL Honduras Lempira NLG Dutch Guilder TWD Taiwan Dollar (NDF) 

AUD Australian Dollar HRK Croatia Kuna NOK Norwegian Krone TZS Tanzanian Shilling 

AWG Aruban Guilder HTG Haiti Gourde NPR Nepalese Rupee UAH Ukraine Hryvnia (NDF) 

BAM Bosnia-Herze Convrt Mrka HUF Hungarian Forint NZD New Zealand Dollar UDI Mexican UDI 

BBD Barbados Dollar IDR Indonesian Rupiah (NDF) OMR Omani Rial UGX Ugandan Shilling 

BDT Banglaldesh Taka ILS Israeli Shekel PAD Panamanian Balboa USD US Dollar 

BGD Bulgarian Lev INR Indian Rupee (NDF) PEN Peruvian New Sol USDCLF Chilean Unidad SP 

BHD Bahraini Dinar ISK Iceland Krona PGK Papua N.G. Kina x10000 

BIF Burundi Franc JMD Jamaica Dollar PHP Philippines Peso (NDF) UYU Uruguay Peso 

BMD Bermudian Dollar JOD Jordanian Dinar PKR Pakistani Rupee UZS Uzbekistan Sum 

BND Brunei Dollar JPY Japanese Yen PLN Polish Zloty VEE Venezuela Essential Rate 

BOB Bolivian Boliviano KES Kenyan Shilling PTE Portuguese Escudo VEF Venezuelan Bolivar 

BRL Brazilian Real (NDF) KGS Kyrgyzstan Som PYG Paraguay Guarani VND Vietnamese Dong (NDF) 

BSD Bahamas Dollar KHR Cambia Riel WAR Qatari Riyal VUV Vanuatu Vatu 

BWP Botswana Pula KMF Comoros Franc ROL Romanian Leu WST Samoa (West) Tala 

BYR Belarus Ruble KRW South Korean Won (NDF) RON New Romanian Leu XAF CFA Franc Beac 

BZD Belize Dollar KWD Kuwaiti Dinar RSD Serbian Dinar XCD East Caribbean Dollar 

CAD Canadian Dollar KYD Cayman Islands Dollar RUB Russian Ruble (NDF) XDR Special Drawing Rights 

CDF Congolese Franc KZT Kazakhstan Tenge RWF Rwanda Franc XOF CFA Franc Bceao 

CHF Swiss Franc LAK Laos Kip SAR Saudi Riyal XPF Pacific Island Franc 

CLF Chilean UF LBP Lebanese Pound SBD Solomon Is. Dollar XSU Sucre 

CLP Chilean Peso LKR Sri Lankan Rupee SCR Seychelles Rupee YER Yemeni Rial 

CNY China Renminbi (NDF) LTL Lithuanian Litas SDD Sudanese Dinar ZAR S. African Rand 

COP Colombian Peso LVL Latvian Lats SDG New Sudanese Pound ZMK Zambian Kwacha 

CRC Costa Rican Colon MAD Moroccan Dirham SDP Old Sudanese Pound ZMW Zambia Kwacha (NDF) 

CVE Cape Verde Escudo MDL Moldova Leu SEK Swedish Korna ZWR Zimbabwe Dollar 

CZK Czech Koruna MGA Malagascy Ariary SGD Singapore Dollar 

DJF Djibouti Franc MKD Macedonia Denar SIT Slovenia Tolar 

DKK Danish Krone MMK Myanmar Kyat SKK Slovakia Koruna 

DOP Dominican Repb. MNT Mongolian Togrog SLL Sierra Leone Leone 

DZD Algerian Dinar MOP Macau Pataca SOS Somali Shilling 

EGP Egyptian Pound (NDF) MRO Mauritania Ouguiya SRD Suriname Dollar 

ERN Eritrean Nakfa MUR Mauritius Rupee SSP South Sudanese Pound 

EUR Euro MVR Maldives Rufiyaa STD Sao Tome Dobra 

FJD Fiji Dollar MWK Malawi Kwacha SVC El Salvador Colon 
163 

RULE 1404. Foreign Exchange Contract – Precious Metals Swaps 

 

Contract 

Overview 

A precious metals contract is a cash settled agreement between two counterparties whereby one counterparty agrees to 

pay a fixed amount to the other counterparty on a given date, and in exchange the second counterparty will pay a floating 

amount to the first counterparty on the same given date. The fixed amount paid is determined based on the notional 

quantity traded and the price of the reference commodity. The floating amount paid is determined based on the notional 

quantity and the price of an applicable futures contract based on the reference commodity over an agreed future 

calculation period. 

Reference 

Commodities 

 Gold 

 Silver 

 Palladium 

 Platinum 

Contracts on 

Reference 

Commodities 

 NYMEX Palladium 

 NYMEX Platinum 

 COMEX Gold 

 COMEX Silver ICE Gasoil (Monthly) 

Settlement 

Currency 

A currency listed below. 

Quoting 

Convention 

and Minimum 

Increment 

Notional amount, as agreed by counterparties 

Minimum Size Notional amount, as agreed by counterparties 

Notional 

Currency 

A currency listed below. 

Trading 

Conventions 

Buy or Sell which refers to whether or not the fixed amount is paid (buy) or received (sell) 

Calculation 

Period 

Can be a single date or date range over which the reference price of the commodity will be calculated. If a date range the 

reference price will be averaged across all days. 

Trade Date The date on which counterparties enter into the contract 

Settlement Date Specified settlement or payment date when the fixed payment amount and the floating payment amount are exchanged 

(can be netted) 

Settlement 

Procedure 

Bilateral cash settlement performed in settlement currency 

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations. 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 
164 

Currency List

 GBP British Pound MXN Mexican Peso THB Thai Baht 

AED UAE Dirham GEL Georgia Lari MYR Malaysian Ringgit (NDF) THO Thai Baht Onshore 

AFN Afghanistan Afghani GMD Gambian Dalasi MZM Mozambique Metical TJS Tajikistan Somoni 

AMD Armenia Dram GNF Guinea Franc MZN New Mozambique Metical TND Tunisian Dinar 

ANG Neth. Ant. Guilder GTQ Guatemala Quetzal NGN Nigeria Naira (NDF) TOP Tonga Pa’Anga 

AOA Angolan Kwanza GYD Guyana Dollar NID New Iraqi Dinar TRY Turkish Lira 

ARS Argentine Peso (NFD) HKD Hong Kong Dollar NIO Nicaragua Cordoba TTD Trinidad/Tobago Dol 

ARS Argentine Peso HNL Honduras Lempira NLG Dutch Guilder TWD Taiwan Dollar (NDF) 

AUD Australian Dollar HRK Croatia Kuna NOK Norwegian Krone TZS Tanzanian Shilling 

AWG Aruban Guilder HTG Haiti Gourde NPR Nepalese Rupee UAH Ukraine Hryvnia (NDF) 

BAM Bosnia-Herze Convrt Mrka HUF Hungarian Forint NZD New Zealand Dollar UDI Mexican UDI 

BBD Barbados Dollar IDR Indonesian Rupiah (NDF) OMR Omani Rial UGX Ugandan Shilling 

BDT Banglaldesh Taka ILS Israeli Shekel PAD Panamanian Balboa USD US Dollar 

BGD Bulgarian Lev INR Indian Rupee (NDF) PEN Peruvian New Sol USDCLF Chilean Unidad SP 

BHD Bahraini Dinar ISK Iceland Krona PGK Papua N.G. Kina x10000 

BIF Burundi Franc JMD Jamaica Dollar PHP Philippines Peso (NDF) UYU Uruguay Peso 

BMD Bermudian Dollar JOD Jordanian Dinar PKR Pakistani Rupee UZS Uzbekistan Sum 

BND Brunei Dollar JPY Japanese Yen PLN Polish Zloty VEE Venezuela Essential Rate 

BOB Bolivian Boliviano KES Kenyan Shilling PTE Portuguese Escudo VEF Venezuelan Bolivar 

BRL Brazilian Real (NDF) KGS Kyrgyzstan Som PYG Paraguay Guarani VND Vietnamese Dong (NDF) 

BSD Bahamas Dollar KHR Cambia Riel WAR Qatari Riyal VUV Vanuatu Vatu 

BWP Botswana Pula KMF Comoros Franc ROL Romanian Leu WST Samoa (West) Tala 

BYR Belarus Ruble KRW South Korean Won (NDF) RON New Romanian Leu XAF CFA Franc Beac 

BZD Belize Dollar KWD Kuwaiti Dinar RSD Serbian Dinar XCD East Caribbean Dollar 

CAD Canadian Dollar KYD Cayman Islands Dollar RUB Russian Ruble (NDF) XDR Special Drawing Rights 

CDF Congolese Franc KZT Kazakhstan Tenge RWF Rwanda Franc XOF CFA Franc Bceao 

CHF Swiss Franc LAK Laos Kip SAR Saudi Riyal XPF Pacific Island Franc 

CLF Chilean UF LBP Lebanese Pound SBD Solomon Is. Dollar XSU Sucre 

CLP Chilean Peso LKR Sri Lankan Rupee SCR Seychelles Rupee YER Yemeni Rial 

CNY China Renminbi (NDF) LTL Lithuanian Litas SDD Sudanese Dinar ZAR S. African Rand 

COP Colombian Peso LVL Latvian Lats SDG New Sudanese Pound ZMK Zambian Kwacha 

CRC Costa Rican Colon MAD Moroccan Dirham SDP Old Sudanese Pound ZMW Zambia Kwacha (NDF) 

CVE Cape Verde Escudo MDL Moldova Leu SEK Swedish Korna ZWR Zimbabwe Dollar 

CZK Czech Koruna MGA Malagascy Ariary SGD Singapore Dollar 

DJF Djibouti Franc MKD Macedonia Denar SIT Slovenia Tolar 

DKK Danish Krone MMK Myanmar Kyat SKK Slovakia Koruna 

DOP Dominican Repb. MNT Mongolian Togrog SLL Sierra Leone Leone 

DZD Algerian Dinar MOP Macau Pataca SOS Somali Shilling 

EGP Egyptian Pound (NDF) MRO Mauritania Ouguiya SRD Suriname Dollar 

ERN Eritrean Nakfa MUR Mauritius Rupee SSP South Sudanese Pound 

EUR Euro MVR Maldives Rufiyaa STD Sao Tome Dobra 

FJD Fiji Dollar MWK Malawi Kwacha SVC El Salvador Colon 
165 

RULE 1405. Foreign Exchange Contract – Average Rate Forward 

 

Contract Overview An average rate forward allows the buyer the ability to create a hedge rate for a future exposure by locking in forward 

points and a spot rate. At some point in the future, there is an averaging period of daily spot observations to determine 

an average rate which, when compared to the hedge rate, will set the payout. Unlike options, this hedge tool is a 

forward contract and has no premium cost associated with it. 

Currency Pair Underlying currency instrument composed of ISO currency codes (ISO 4217) of the base currency and the counter 

currency, separating them with a slash character; see currency list below 

Settlement Currency See currency list below 

Quoting Convention 

and Minimum 

Increment 

Notional amount, as agreed by counterparties 

Minimum Size $1

Notional Currency Currency in which contract size is expressed 

Trading Conventions Buy or Sell which refers to the contract size expressed in notional currency 

Forward Rate Currency Exchange rate expressed as the amount of Reference currency per unit of Settlement currency 

Trade Date The date on which parties enter into the contract 

Settlement Date Settlement or payment date 

Fixing Date End of observation period specified by counterparties

Frequency Observation frequency specified by counterparties 

Settlement 

Procedure 

Bilateral settlement performed in settlement currency based on the exchanges rate published by either Bloomberg 

(BFIX) or Reuters (WM/Reuters) 

Trading Hours 00:01 - 24:00 Sunday-Friday (Eastern Time) 

Clearing House Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations. 

Speculative Limits As set forth in Part 150 of the CFTC Regulations 

Reportable Levels As set forth in CFTC Regulation 15.03 
166 

Currency List

 GBP British Pound MXN Mexican Peso THB Thai Baht 

AED UAE Dirham GEL Georgia Lari MYR Malaysian Ringgit (NDF) THO Thai Baht Onshore 

AFN Afghanistan Afghani GMD Gambian Dalasi MZM Mozambique Metical TJS Tajikistan Somoni 

AMD Armenia Dram GNF Guinea Franc MZN New Mozambique Metical TND Tunisian Dinar 

ANG Neth. Ant. Guilder GTQ Guatemala Quetzal NGN Nigeria Naira (NDF) TOP Tonga Pa’Anga 

AOA Angolan Kwanza GYD Guyana Dollar NID New Iraqi Dinar TRY Turkish Lira 

ARS Argentine Peso (NFD) HKD Hong Kong Dollar NIO Nicaragua Cordoba TTD Trinidad/Tobago Dol 

ARS Argentine Peso HNL Honduras Lempira NLG Dutch Guilder TWD Taiwan Dollar (NDF) 

AUD Australian Dollar HRK Croatia Kuna NOK Norwegian Krone TZS Tanzanian Shilling 

AWG Aruban Guilder HTG Haiti Gourde NPR Nepalese Rupee UAH Ukraine Hryvnia (NDF) 

BAM Bosnia-Herze Convrt Mrka HUF Hungarian Forint NZD New Zealand Dollar UDI Mexican UDI 

BBD Barbados Dollar IDR Indonesian Rupiah (NDF) OMR Omani Rial UGX Ugandan Shilling 

BDT Banglaldesh Taka ILS Israeli Shekel PAD Panamanian Balboa USD US Dollar 

BGD Bulgarian Lev INR Indian Rupee (NDF) PEN Peruvian New Sol USDCLF Chilean Unidad SP 

BHD Bahraini Dinar ISK Iceland Krona PGK Papua N.G. Kina x10000 

BIF Burundi Franc JMD Jamaica Dollar PHP Philippines Peso (NDF) UYU Uruguay Peso 

BMD Bermudian Dollar JOD Jordanian Dinar PKR Pakistani Rupee UZS Uzbekistan Sum 

BND Brunei Dollar JPY Japanese Yen PLN Polish Zloty VEE Venezuela Essential Rate 

BOB Bolivian Boliviano KES Kenyan Shilling PTE Portuguese Escudo VEF Venezuelan Bolivar 

BRL Brazilian Real (NDF) KGS Kyrgyzstan Som PYG Paraguay Guarani VND Vietnamese Dong (NDF) 

BSD Bahamas Dollar KHR Cambia Riel WAR Qatari Riyal VUV Vanuatu Vatu 

BWP Botswana Pula KMF Comoros Franc ROL Romanian Leu WST Samoa (West) Tala 

BYR Belarus Ruble KRW South Korean Won (NDF) RON New Romanian Leu XAF CFA Franc Beac 

BZD Belize Dollar KWD Kuwaiti Dinar RSD Serbian Dinar XCD East Caribbean Dollar 

CAD Canadian Dollar KYD Cayman Islands Dollar RUB Russian Ruble (NDF) XDR Special Drawing Rights 

CDF Congolese Franc KZT Kazakhstan Tenge RWF Rwanda Franc XOF CFA Franc Bceao 

CHF Swiss Franc LAK Laos Kip SAR Saudi Riyal XPF Pacific Island Franc 

CLF Chilean UF LBP Lebanese Pound SBD Solomon Is. Dollar XSU Sucre 

CLP Chilean Peso LKR Sri Lankan Rupee SCR Seychelles Rupee YER Yemeni Rial 

CNY China Renminbi (NDF) LTL Lithuanian Litas SDD Sudanese Dinar ZAR S. African Rand 

COP Colombian Peso LVL Latvian Lats SDG New Sudanese Pound ZMK Zambian Kwacha 

CRC Costa Rican Colon MAD Moroccan Dirham SDP Old Sudanese Pound ZMW Zambia Kwacha (NDF) 

CVE Cape Verde Escudo MDL Moldova Leu SEK Swedish Korna ZWR Zimbabwe Dollar 

CZK Czech Koruna MGA Malagascy Ariary SGD Singapore Dollar 

DJF Djibouti Franc MKD Macedonia Denar SIT Slovenia Tolar 

DKK Danish Krone MMK Myanmar Kyat SKK Slovakia Koruna 

DOP Dominican Repb. MNT Mongolian Togrog SLL Sierra Leone Leone 

DZD Algerian Dinar MOP Macau Pataca SOS Somali Shilling 

EGP Egyptian Pound (NDF) MRO Mauritania Ouguiya SRD Suriname Dollar 

ERN Eritrean Nakfa MUR Mauritius Rupee SSP South Sudanese Pound 

EUR Euro MVR Maldives Rufiyaa STD Sao Tome Dobra 

FJD Fiji Dollar MWK Malawi Kwacha SVC El Salvador Colon 
167 

RULE 1406. Foreign Exchange Contract – ARS Non-Deliverable Forward 

Contract Overview A non-deliverable forward (NDF) is an outright forward in which counterparties settle the difference 

between the contracted NDF price or rate and the prevailing spot price or rate on an agreed notional amount. 

Reference Currency (i.e., NonDeliverable Currency)

ARS Argentine Peso 

Settlement Currency See currency list below 

Quoting Convention and 

Minimum Increment

Notional amount, as agreed by counterparties 

Minimum Size Notional amount, as agreed by counterparties 

Notional Currency Currency in which contract size is expressed in, as agreed by counterparties 

Trading Conventions Buy or Sell, which refers to the contract size expressed in notional currency 

Forward Rate Currency Exchange rate expressed as the amount of Reference currency per unit of Settlement Currency 

Trade Date The date on which parties enter into the contract 

Settlement Date Specified settlement or payment date, as agreed by counterparties 

Fixing Date The date at which the difference between the prevailing market exchange rate and the agreed upon exchange 

rate is calculated.

Settlement Procedure Bilateral settlement performed in settlement currency based on the EMTA ARS Industry Survey Rate / 

EMTA ARS Indicative Survey Rate (secondary); BFIX or BGN. 

Trading Hours 00:01 - 24:00 (ET), Sunday-Friday 

Clearing House Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations. 

Speculative Limits As set in Part 150 of the CFTC Regulations 

Reportable Levels As set in CFTC Regulation 15.03 

 
168 

Currency List

 GBP British Pound MXN Mexican Peso THB Thai Baht 

AED UAE Dirham GEL Georgia Lari MYR Malaysian Ringgit (NDF) THO Thai Baht Onshore 

AFN Afghanistan Afghani GMD Gambian Dalasi MZM Mozambique Metical TJS Tajikistan Somoni 

AMD Armenia Dram GNF Guinea Franc MZN New Mozambique Metical TND Tunisian Dinar 

ANG Neth. Ant. Guilder GTQ Guatemala Quetzal NGN Nigeria Naira (NDF) TOP Tonga Pa’Anga 

AOA Angolan Kwanza GYD Guyana Dollar NID New Iraqi Dinar TRY Turkish Lira 

ARS Argentine Peso (NFD) HKD Hong Kong Dollar NIO Nicaragua Cordoba TTD Trinidad/Tobago Dol 

ARS Argentine Peso HNL Honduras Lempira NLG Dutch Guilder TWD Taiwan Dollar (NDF) 

AUD Australian Dollar HRK Croatia Kuna NOK Norwegian Krone TZS Tanzanian Shilling 

AWG Aruban Guilder HTG Haiti Gourde NPR Nepalese Rupee UAH Ukraine Hryvnia (NDF) 

BAM Bosnia-Herze Convrt Mrka HUF Hungarian Forint NZD New Zealand Dollar UDI Mexican UDI 

BBD Barbados Dollar IDR Indonesian Rupiah (NDF) OMR Omani Rial UGX Ugandan Shilling 

BDT Banglaldesh Taka ILS Israeli Shekel PAD Panamanian Balboa USD US Dollar 

BGD Bulgarian Lev INR Indian Rupee (NDF) PEN Peruvian New Sol USDCLF Chilean Unidad SP 

BHD Bahraini Dinar ISK Iceland Krona PGK Papua N.G. Kina x10000 

BIF Burundi Franc JMD Jamaica Dollar PHP Philippines Peso (NDF) UYU Uruguay Peso 

BMD Bermudian Dollar JOD Jordanian Dinar PKR Pakistani Rupee UZS Uzbekistan Sum 

BND Brunei Dollar JPY Japanese Yen PLN Polish Zloty VEE Venezuela Essential Rate 

BOB Bolivian Boliviano KES Kenyan Shilling PTE Portuguese Escudo VEF Venezuelan Bolivar 

BRL Brazilian Real (NDF) KGS Kyrgyzstan Som PYG Paraguay Guarani VND Vietnamese Dong (NDF) 

BSD Bahamas Dollar KHR Cambia Riel WAR Qatari Riyal VUV Vanuatu Vatu 

BWP Botswana Pula KMF Comoros Franc ROL Romanian Leu WST Samoa (West) Tala 

BYR Belarus Ruble KRW South Korean Won (NDF) RON New Romanian Leu XAF CFA Franc Beac 

BZD Belize Dollar KWD Kuwaiti Dinar RSD Serbian Dinar XCD East Caribbean Dollar 

CAD Canadian Dollar KYD Cayman Islands Dollar RUB Russian Ruble (NDF) XDR Special Drawing Rights 

CDF Congolese Franc KZT Kazakhstan Tenge RWF Rwanda Franc XOF CFA Franc Bceao 

CHF Swiss Franc LAK Laos Kip SAR Saudi Riyal XPF Pacific Island Franc 

CLF Chilean UF LBP Lebanese Pound SBD Solomon Is. Dollar XSU Sucre 

CLP Chilean Peso LKR Sri Lankan Rupee SCR Seychelles Rupee YER Yemeni Rial 

CNY China Renminbi (NDF) LTL Lithuanian Litas SDD Sudanese Dinar ZAR S. African Rand 

COP Colombian Peso LVL Latvian Lats SDG New Sudanese Pound ZMK Zambian Kwacha 

CRC Costa Rican Colon MAD Moroccan Dirham SDP Old Sudanese Pound ZMW Zambia Kwacha (NDF) 

CVE Cape Verde Escudo MDL Moldova Leu SEK Swedish Korna ZWR Zimbabwe Dollar 

CZK Czech Koruna MGA Malagascy Ariary SGD Singapore Dollar 

DJF Djibouti Franc MKD Macedonia Denar SIT Slovenia Tolar 

DKK Danish Krone MMK Myanmar Kyat SKK Slovakia Koruna 

DOP Dominican Repb. MNT Mongolian Togrog SLL Sierra Leone Leone 

DZD Algerian Dinar MOP Macau Pataca SOS Somali Shilling 

EGP Egyptian Pound (NDF) MRO Mauritania Ouguiya SRD Suriname Dollar 

ERN Eritrean Nakfa MUR Mauritius Rupee SSP South Sudanese Pound 

EUR Euro MVR Maldives Rufiyaa STD Sao Tome Dobra 

FJD Fiji Dollar MWK Malawi Kwacha SVC El Salvador Colon 

 
169 

RULE 1407. Foreign Exchange Contract – KES Non-Deliverable Forward 

Contract Overview A non-deliverable forward (NDF) is an outright forward in which counterparties settle the difference 

between the contracted NDF price or rate and the prevailing spot price or rate on an agreed notional 

amount. 

Reference Currency (i.e., NonDeliverable Currency) KES Kenyan Shilling 

Settlement Currency See currency list below 

Quoting Convention 

and Minimum Increment 

Notional amount, as agreed by the counterparties. 

Minimum Size Notional amount, as agreed by the counterparties. 

Notional Currency Currency in which contract size is expressed in, as agreed by the counterparties. 

Trading Conventions Buy or Sell, which refers to the contract size expressed in notional currency. 

Forward Rate Currency Exchange rate expressed as the amount of Reference Currency per unit of Settlement 

Currency. 

Trade Date The date on which parties enter into the contract. 

Settlement Date Specified settlement or payment date, as agreed by the counterparties. 

Fixing Date The date at which the difference between the prevailing market exchange rate and the agreed upon 

exchange rate is calculated. 

Settlement Procedure Bilateral settlement performed in settlement currency based on the EMTA KES Industry Survey 

Rate or BFIX. 

Trading Hours 00:01 - 24:00 (ET), Sunday-Friday. 

Clearing Venue Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations. 

Speculative Limits As set forth in Part 151 of the CFTC Regulations. 

Reportable Levels As set forth in CFTC Regulation 15.03. 

 
170 

Currency List

 GBP British Pound MXN Mexican Peso THB Thai Baht 

AED UAE Dirham GEL Georgia Lari MYR Malaysian Ringgit (NDF) THO Thai Baht Onshore 

AFN Afghanistan Afghani GMD Gambian Dalasi MZM Mozambique Metical TJS Tajikistan Somoni 

AMD Armenia Dram GNF Guinea Franc MZN New Mozambique Metical TND Tunisian Dinar 

ANG Neth. Ant. Guilder GTQ Guatemala Quetzal NGN Nigeria Naira (NDF) TOP Tonga Pa’Anga 

AOA Angolan Kwanza GYD Guyana Dollar NID New Iraqi Dinar TRY Turkish Lira 

ARS Argentine Peso (NFD) HKD Hong Kong Dollar NIO Nicaragua Cordoba TTD Trinidad/Tobago Dol 

ARS Argentine Peso HNL Honduras Lempira NLG Dutch Guilder TWD Taiwan Dollar (NDF) 

AUD Australian Dollar HRK Croatia Kuna NOK Norwegian Krone TZS Tanzanian Shilling 

AWG Aruban Guilder HTG Haiti Gourde NPR Nepalese Rupee UAH Ukraine Hryvnia (NDF) 

BAM Bosnia-Herze Convrt Mrka HUF Hungarian Forint NZD New Zealand Dollar UDI Mexican UDI 

BBD Barbados Dollar IDR Indonesian Rupiah (NDF) OMR Omani Rial UGX Ugandan Shilling 

BDT Banglaldesh Taka ILS Israeli Shekel PAD Panamanian Balboa USD US Dollar 

BGD Bulgarian Lev INR Indian Rupee (NDF) PEN Peruvian New Sol USDCLF Chilean Unidad SP 

BHD Bahraini Dinar ISK Iceland Krona PGK Papua N.G. Kina x10000 

BIF Burundi Franc JMD Jamaica Dollar PHP Philippines Peso (NDF) UYU Uruguay Peso 

BMD Bermudian Dollar JOD Jordanian Dinar PKR Pakistani Rupee UZS Uzbekistan Sum 

BND Brunei Dollar JPY Japanese Yen PLN Polish Zloty VEE Venezuela Essential Rate 

BOB Bolivian Boliviano KES Kenyan Shilling PTE Portuguese Escudo VEF Venezuelan Bolivar 

BRL Brazilian Real (NDF) KGS Kyrgyzstan Som PYG Paraguay Guarani VND Vietnamese Dong (NDF) 

BSD Bahamas Dollar KHR Cambia Riel WAR Qatari Riyal VUV Vanuatu Vatu 

BWP Botswana Pula KMF Comoros Franc ROL Romanian Leu WST Samoa (West) Tala 

BYR Belarus Ruble KRW South Korean Won (NDF) RON New Romanian Leu XAF CFA Franc Beac 

BZD Belize Dollar KWD Kuwaiti Dinar RSD Serbian Dinar XCD East Caribbean Dollar 

CAD Canadian Dollar KYD Cayman Islands Dollar RUB Russian Ruble (NDF) XDR Special Drawing Rights 

CDF Congolese Franc KZT Kazakhstan Tenge RWF Rwanda Franc XOF CFA Franc Bceao 

CHF Swiss Franc LAK Laos Kip SAR Saudi Riyal XPF Pacific Island Franc 

CLF Chilean UF LBP Lebanese Pound SBD Solomon Is. Dollar XSU Sucre 

CLP Chilean Peso LKR Sri Lankan Rupee SCR Seychelles Rupee YER Yemeni Rial 

CNY China Renminbi (NDF) LTL Lithuanian Litas SDD Sudanese Dinar ZAR S. African Rand 

COP Colombian Peso LVL Latvian Lats SDG New Sudanese Pound ZMK Zambian Kwacha 

CRC Costa Rican Colon MAD Moroccan Dirham SDP Old Sudanese Pound ZMW Zambia Kwacha (NDF) 

CVE Cape Verde Escudo MDL Moldova Leu SEK Swedish Korna ZWR Zimbabwe Dollar 

CZK Czech Koruna MGA Malagascy Ariary SGD Singapore Dollar 

DJF Djibouti Franc MKD Macedonia Denar SIT Slovenia Tolar 

DKK Danish Krone MMK Myanmar Kyat SKK Slovakia Koruna 

DOP Dominican Repb. MNT Mongolian Togrog SLL Sierra Leone Leone 

DZD Algerian Dinar MOP Macau Pataca SOS Somali Shilling 

EGP Egyptian Pound (NDF) MRO Mauritania Ouguiya SRD Suriname Dollar 

ERN Eritrean Nakfa MUR Mauritius Rupee SSP South Sudanese Pound 

EUR Euro MVR Maldives Rufiyaa STD Sao Tome Dobra 

FJD Fiji Dollar MWK Malawi Kwacha SVC El Salvador Colon 
Annex A 

Excerpt from ISDA Dodd Frank Act-Swap Transaction 

Reporting Party Requirements 

Product Attribute Determination 

RP Tiebreaker Logic  ‐ Rates

Trade Type Explanation Reporting Party

Cap/ Floor When a single Fixed Rate Payer exists Fixed Rate Payer. Otherwise, Reverse ASCII sort, first LEI/Entity ID

Debt Option All Option Buyer

Exotic All Reverse   ASCII sort, first LEI/Entity ID

FRA All Fixed Rate Payer

IRS Basis All Reverse   ASCII sort, first LEI/Entity ID

IRS Fix‐Fix All Reverse   ASCII sort, first LEI/Entity ID

IRS Fix‐Float All Fixed Rate Payer

IRSwap: Inflation When a single Fixed Rate Payer exists Fixed Rate Payer. Otherwise, Reverse ASCII sort, first LEI/Entity ID

IRSwap: OIS All Fixed Rate Payer

Swaption All Option Buyer

XCCY Basis All Reverse   ASCII sort, first LEI/Entity ID

XCCY Fix‐Fix All Reverse   ASCII sort, first LEI/Entity ID

XCCY Fix‐Float All Fixed Rate Payer

Tiebreaker Logic

When the participant identifier tiebreaker is invoked the following processes will be used: 

1a. Determining identifiers 

When an entity has multiple entity identifiers (“IDs”), the following hierarchy 

will be used to determine which entity ID to use in the RP determination logic: 

(A) LEI/CICI is used before DTCC GTR ID which is used before an 

AVOX ID which is used before any other identifier. 

1b. Identifier Tiebreaker Logic Scenarios 

i. When both firms must have an LEI/CiCI then rank based on the two LEI/CICIs. 

ii. When one firm has an LEI/CICI and the other firm has a DTCC ID but 

does not have an LEI then rank based on the comparison of the LEI/CICI to 

the DTCC ID. 

iii. When one firm has an LEI/CICI and the other firm has an AVOX ID but 

does not have an LEI then rank based on the comparison of the LEI/CICI to 

the AVOX ID. 
iv. When neither firm has an LEI/CICI and both firms have a DTCC ID 

then rank based on the two DTCC IDs. 

v. When neither firm has an LEI/CICI and one firm has a DTCC ID and the 

other firm has only an AVOX ID then rank based on the comparison of the 

DTCC ID to the AVOX ID. 

vi. A firm will be the RP when that firm has a DTCC ID or LEI/CICI and the other 

has neither an LEI/CICI nor a DTCC ID nor an AVOX ID. Please note that in all 

cases the RP will have a DTCC ID and by extension will have an LEI/CICI. 

2. Determining sort order of identifiers 

(A) LEI/CICI, DTCC GTR IDs, and AVOX IDs are comprised of characters 

from the following set {0‐9, A‐Z}. 

(B) For avoidance of doubt, before comparing IDs convert all IDs to UPPER CASE 

only.

(C) For comparison basis the sort order will be reverse ASCII sort order. 

For avoidance of doubt the following are sort order of precedence: 

(D) Z, Y, X, W, V, U, T, S, R, Q, P, O, N, M, L, K, J, I, H, G, F, E, D, C, B, A, 9, 

8, 7, 6, 5, 4, 3, 2, 1, 0.

3. When comparing two IDs the RP will be the firm with the first ID in the list when sorted 

in reverse ASCII sort order.